收益率差异视角下我国股票流动性测度指标的比较研究  

A comparative study on Chinese stock liquidity measure in perspective of different return

作　　者：李延军[1] 史笑迎 

机构地区：[1]河北工业大学经济管理学院,天津300401

出　　处：《金融发展研究》2016年第11期19-25,共7页Journal Of Financial Development Research

基　　金：河北省社会科学基金项目"证券市场流动性风险测度与组合管理策略研究"(HB16YJ030);天津市哲学社会科学规划课题"京津冀金融资源跨区域流动与优化配置研究"(TJYY16-001)

摘　　要：在传统资产定价模型中依次引入换手率、成交金额、Amihud非流动性比率三种流动性度量指标,构造出改进后的Fama三因子模型,通过Fama-Macbeth两阶段回归的方法来探讨我国A股市场流动性溢价效应以及三种流动性度量指标的不同表现;然后,采用分位数回归的方法进一步检验三种流动性指标各自的适用范围。研究表明:中国A股市场存在较为显著的流动性风险溢价现象;不同的流动性指标与股票收益率之间的关系不同,换手率适合在低收益率情况下流动性的测度,Amihud非流动性比率更适合在中高收益率情况下流动性的测度,而成交金额指标未能通过检验,表现相对较差。On the basis of the traditional asset pricing model, this paper introduces the turnover, the traded amount, and the Amihud illiquidity measures to construct the improved Fama three factor model. Then through the Fama-Macbeth two-stage regression method, this paper discusses the issue of liquidity premium and analyzes the different results of the three measures. Then the paper uses the method of quantile regression to further explore the applicable scope of the three liquidity measures respectively. The research shows that there obviously exists the risk premium in the China＇s A-share market. The relationship between different liquidity indexes and stock return rate is different. The turnover is suitable to measure the liquidity under the low return rate. The Amihud illiquidity ratio is more suitable for liquidity measures under the condition of high return. However, the index of amount traded fails to pass the inspection and its performance is relatively poor.

关 键 词：流动性风险 流动性溢价 测度指标 Fama三因子模型 

分 类 号：F830.91[经济管理—金融学]