财务状况、成交量、价差对股票收益率影响的研究:以上市商业银行为例

Research on the Influence of Financial Status,Trading Volume and Spread on Stock Return Rate:Take Listed Commercial Banks as Example

股票收益率的高低取决于财务状况和流动性等影响因素。鉴于此,以上市商业银行为样本,从财务数据和流动性两个方面,选取其代表性变量构建了DEA交叉效率的面板模型,探讨其对股票收益率的影响程度。研究结果表明:DEA交叉效率能有效解释财务状况对股票收益率的正向影响,且上市商业银行板块DEA交叉效率对财务状况影响的大小与对股票收益率的影响呈现出一致性。成交量对股票收益率具有负向影响,价差对股票收益率既有正向影响,又有负向影响,具有非对称性,描述了投资者的行为偏差。DEA交叉效率的变系数面板模型能有效且准确地刻画财务状况、成交量和价差对股票收益率的影响。

The rate of return on stocks depends on factors such as financial condition and liquidity.In view of this,taking listed commercial banks as samples,from the two aspects of financial data and liquidity,the representative variable is selected to construct the panel model of DEA cross-efficiency,and its influence on stock return rate is discussed.The empirical results show that:DEA cross Efficiency can effectively explain the positive impact of financial conditions on stock returns.Moreover,the impact of the DEA cross-efficiency of listed commercial banks on the financial situation is consistent with the impact on stock returns.Trading volume has a negative impact on stock return,and price spread has a positive and negative impact on stock return,it has asymmetry and characterizes the investor behavior bias.The variable coefficient panel model of DEA cross-efficiency can effectively and accurately describe the impact of financial status,volume and spread on stock returns.