证券市场流动性、收益与投机性泡沫——基于中国A股市场的实证分析

Stock Market Liquidity,Returns and Speculative Bubbles——Empirical Analysis Based on China A-share Market

针对非流动性溢价现象,本文提出了与传统解释不相同的投机性泡沫理论,即因为异质信念的存在导致投资者非理性的投机性交易,而投机性的交易往往使得交易活动更加频繁,所以高流动性必然伴随着较多的投机性泡沫且其股票价格被高估,因此期望收益率降低,所以产生了非流动性溢价现象。然后我们以中国A股市场为例,借助盈余公告,实证分析了流动性和投机性之间的关系。实证结果支持我们的假设,从而验证了投机性泡沫理论的解释。

In this paper,the theory of speculative bubbles that distinguishes from traditional interpretation is proposed for illiquidity premium phenomenon.The existence of different beliefs leads to irrational investors' speculative transactions and the speculative transactions often make transactions more frequently,so high liquidity will inevitably be accompanied with more speculative bubbles.That would lead to stock price overvalued and expectation returns would be reduced.So illiquidity premium phenomena appear in market.Then we perform empirical analysis based on China A-share market earnings announcement.The empirical results support our hypothesis.So the theory of speculative bubbles has been confirmed.