基于分位回归模型的证券市场流动性溢价研究

Investigating Liquidity Premium in Stock Market:Evidence from Quantile Regression Model

针对中国股市行业内的流动性溢价现象存在性检验问题,利用中国上海股市的行业交易数据,选择非流动性指标作为度量市场流动性的因子,运用分位数回归模型并根据证监会行业分类将证券市场划分成15个行业大类,对其流动性溢价问题进行了实证研究。实证结果表明:非流动性指标(ILLIQ)与股票收益率在各行业中具有正相关性,即流动性溢价普遍存在于中国上海股市各行业内;但对于个别行业,其流动性溢价只在收益的高分位点显著。

For the existence problem of liquidity premium phenomena in the industries of stock market, the paper exploits the industry data of China＇s A-share market and takes illiquidity indicator as the factor to measure market liquidity, and it conducts an empirical research with quantile regression model and dividing stock market into 15 industries according to the CSRC industry classification. The empirical results show that the illiquidity index has a positive correlation with stock returns in various industries, which means that liquidity premium phenomena generally exist in all industries of China＇s A-share market, while for individual industries it only exists on the dispersions of returns in the upper quantile region.