流动性能提高套利交易的盈利吗?——基于中国股市的证据

Does Liquidity Improve Returns on Arbitrage?——Evidence from the Chinese Stock Market

本文以新兴市场重要组成部分之一的中国股市为例,对市场总体流动性水平与套利交易盈利能力间的关系进行了深入分析。与成熟资本市场中的状况相反,本文研究发现,在控制了Fama-French三因子后,套利交易的预期盈利随着市场流动性水平的提高而增加,表明市场异象造成的错误定价并不会随着流动性的提高而被投资者的套利交易所纠正,这体现了不成熟市场的特征,且反映了套利的无效率。另外,本文在分析中还考虑了流动性风险和时变因素风险暴露等可能对研究结论造成影响的因素,并且在进一步研究后得到了与前文相一致的结论。

Using the increasingly important Chinese market as a case study, this paper provides an in-depth analysis of the relationship between market liquidity and the profitability of arbitrage transactions for emerging markets. After controlling three Fama-French factors, evidence based on the Chinese stock market shows that expected returns on arbitrage increase as market liquidity rises. These results indicate that market mispricing due to market anomalies is not corrected for by investor arbitrage despite the occurrence of liquidity improvements. This condition reflects the characteristics of an immature market and the presence of arbitrage inefficiency. In addition , the paper considers factors that may influence these findings for the Chinese market, such as liquidity risk and time-varying risk exposure. The results of these additional studies support our previous conclusions.