文档介绍：我国股票市场的系统流动性实证研究
于鑫龚仰树
(上海财经大学金融学院,上海 200433)
摘要: 1997年的亚洲金融危机显示出个股的流动性受到市场因素的强烈影响,市场微观结构的研究更多地开始关注市场的系统性因素。本文以上海证券交易所全部A股的日交易数据为样本,证实了我国股市存在系统流动性,与美国、香港股市相比,这一因素的影响更显著;根据流通股每年的流通市值分组检验,发现与香港股市相似,我国股市存在着“倒U”形态的规模效应;与发达股票市场不同,我国股市系统流动性的显著性比例与流通市值无明显的单调关系。
关键词:系统流动性,市场微观结构,规模效应
作者简介:于鑫,上海财经大学金融学博士生,研究方向:证券期货理论与市场微观结构。龚仰树,上海财经大学金融学院教授、博士生导师。
中图分类号: 文献标识码:A
An empirical research on the existence of systematic liquidity in Chinese stock market
Abstract: Events such as the 1997 East Asian financial crisis indicate that individual firm liquidity is strongly influenced by market-wide factors. Recent microstructure research has shifted in emphasis monality by examining systematic factor in security markets. This paper use all the daily transaction data of A-share stocks in the stock exchange of Shanghai and find, paring with NYSE and the stock exchange of Hong Kong, the Chinese stock market has more monality in liquidity, and that the systematic liquidity has the inverted “U shape” when we partition the firms in to five portfolios based on yearly market capitalization. Finally, the sensitivity to liquidity doesn’t have a significant monotonic relationship with capitalization for A-share stocks in Shanghai exchange.
Keywords: commonality in liquidity, market microstructure, size effect
联系方式(于鑫):
手机:**********
E-mail:yuxin0218@
住址:上海市杨浦区国权北路80弄上海财经大学研究生公寓5701B室
邮编:20