流动性、流动性波动与股票预期收益——基于沪市高频交易数据的经验研究

Liquidity,Liquidity Volatility and Expected Stock Returns:Empirical Research Based on HFT Data in Shanghai

本文基于2011-2017年沪市分时高频交易数据,构建买卖价差指标以衡量市场流动性与流动性波动水平,探讨市场流动性、流动性波动对股票预期收益的影响。研究发现:市场流动性对股票预期收益存在负向影响,证明上海股市存在非流动性溢价;流动性波动对股票预期收益存在负向影响,分位数分组、剔除离群值后估计结果稳健。研究还发现,相较于上涨与反弹阶段,股市处于震荡与下跌阶段时,市场流动性对股票预期收益的影响更大;相较于上海市场,深圳市场流动性对股票预期收益的影响更大。本文的研究结论对改善我国股市流动性、提升股票市场质量具有深刻的政策启示。

Based on the time-sharing and high-frequency trading data in Shanghai stock markefrom 2011 to 2017,the paper builds bid-ask spread indicators to measure market liquidity and volatility of liquidity,and then discusses the impact of market liquidity,liquidity volatility on the expected return of stocks.Results show that:market liquidity has a negative impact on the expected return of stocks impact,proving the existence of illiquidity premium in Shanghai stock market.Liquidity volatility also has negative effect on the expected return of stock.After quantile grouping,eliminating outliers,the results are still robust.In addition,the study also finds that,compared with the rise and rebound phase,market liquidity has bigger influence on expected return of stocks in the shock and decline phase. Compared with Shanghai market, liquidity of Shenzhen market has bigger influence on stock's earnings.The study has profound policy implications for improving the liquidity and quality of China's stock market.