非做市商制度下的股票流动性数理描述:对Kyle(1985)的发展和延伸  

A New Mathematical Formulation of Stock Liquidity under Non-Market-Maker System:Development and Extension from Kyle(1985)

作　　者：陈春春[1,2] 张永林[1] 

机构地区：[1]北京师范大学经济与工商管理学院,北京100875 [2]苏黎世大学经济学院

出　　处：《金融经济学研究》2014年第6期39-53,共15页Financial Economics Research

基　　金：国家自然科学基金重点项目(71133001);国家留学基金项目(201306040087);瑞士SNF(Programm NFS/NCCR)基金(Capital adequacy;valuation;and portfolio selection for insurance companies);瑞士GFZ基金会资助;北京师范大学经济与工商管理学院与瑞士苏黎世大学经济学院共同合作的阶段性成果

摘　　要：从投资主体、投资决策、交易方式及交易制度四个方面，对Kyle（1985）的股票流动性数理描述进行了修正，得到非做市商制度下的股票流动性数理描述，并以沪深A股上市公司1991—2013年的数据对新数理描述的可靠性进行验证。结论表明，股票流动性与噪声交易的波动负相关，这不符合Kyle流动性数理描述的观点但却与本文的新数理描述一致。为了确保结果的稳健性，本文在实证中使用了两种估计方法（GLS和MLE），更换了流动性的测算方式，甚至还替换了控制变量、调整了样本空间等等，而最终各参数均显著且未发生较大变化。From four aspects of investors, investment decisions, trading method, and trading system,Kyle（ 1985）＇s stock liquidity mathematical formulation was modified, and finally a new mathematical formulation of the stock liquidity under non -market -maker system was deduced. Then we used the data of Shanghai and Shenzhen a -share listed companies from 1991 to 2013 to test its reliability ,and conclusions showed ：there is a negative correlation between liquidity and volatility of noise trading, which does not comply with Kyle （ 1985 ） ＇ s point of view but it is strongly consistent with this article. To ensure the robustness of the results, we ran regressions through two estimator （ GLS and MLE）, used substitute measurement for stock liquidity, even changed the control variables and adjusted the sample space, etc., the regression parameters always remained significant and didn＇t change much.

关 键 词：股票流动性 做市商制度 广义最小二乘估计 极大似然估计 

分 类 号：F830.91[经济管理—金融学]