资金流冲击、投资者情绪与股票流动性的异质性变化

Capital Flow Impact, Investor Sentiment and Heterogeneity Changes of Stock Liquidity

利用我国A股样本股票2005~2016年的月度数据,分析了交易资金流对个股流动性的冲击效应,以及投资者情绪和股票个体特征在其中所起的作用。研究结果表明:个股交易资金流对其流动性具有显著负向冲击效应,随着交易资金流的增加,个股流动性会下降,而投资者悲观情绪在这种冲击中具有显著的放大效应;将资金流对流动性的冲击程度界定为股票流动性的敏感度并分析其异质性变化,结果表明收益率对情绪、账面市值比、规模因子更敏感,其流动性敏感度更高,更易受到资金流的冲击;融资融券制度加剧了交易资金流对股票流动性的冲击效应。

Based on the monthly data of the A-share sample stock from 2005 to 2016 in China,the paper analyzes the impact of transaction flow on the liquidity of individual stocks,and the role of investor sentiment and individual stock characteristics.The results show that the cash flow of individual stocks has a significantly negative impact on liquidity as the liquidity will decline with the increase of cash flow,and the investor’s pessimism plays a significant amplification role.Taking the impact of cash flow on liquidity as the sensitivity of stock liquidity,the paper analyzes its heterogeneity changes,and the results show that the stock rate of return is more sensitive to investor sentiment,book market value and scale,and more susceptible to the impact of cash flows.Further research shows that the margin system has exacerbated the impact of cash flow on the stock liquidity.