信息效率与流动性溢价关系研究

Research on Relationship Between Information Efficiency and Liquidity Premium

从信息效率维度对信息与流动性溢价关系进行研究,并从机构持股比例角度进行验证,进一步讨论市场流动性冲击对两者关系的影响.研究发现:中国股票市场存在明显的流动性溢价;低信息效率下流动性溢价更高,低机构持股比例股票由于信息效率低表现出更高的流动性溢价;在市场流动性冲击下,流动性溢价在低信息效率情形下跳跃式增加,信息效率与流动性溢价关系明显增强.研究结论对完善和丰富信息与流动性溢价关系研究有一定理论价值,为投资者配置符合自身风险偏好的投资组合、监管机构对市场进行监管提供参考.

The relationship between information and liquidity premium is studied from the dimension of information efficiency,and verified from the perspective of institutional shareholding ratios.Then the impact of market liquidity shock on their relationship is further discussed.It is found that there is an obvious liquidity premium in Chinese stock market,the liquidity premium is higher under low information efficiency and the stocks with low institutional shareholding ratios show higher liquidity premium due to low information efficiency,and under the impact of market liquidity,the liquidity premium increases by leaps under the condition of low information efficiency,and the relationship between information efficiency and liquidity premium is significantly enhanced.The research conclusion has a certain theoretical value for improving and enriching the research on the relationship between information and liquidity premium,and provides a valuable reference for investors to allocate portfolios in line with their own risk preferences and regulators to supervise the market.