低频流动性指标优劣评估——基于中国股票市场的实证分析  

An Evaluation of Low-frequency Liquidity Proxies:An Empirical Analysis Based on the Chinese Stock Market

作　　者：万孝园 杨朝军[2] 吕大永[2] WAN Xiao-yuan;YANG Chao-jun;LV Da-yong(The School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310018,China;Antai College of Economics and Management,Shanghai Jiao Tong University,Shanghai 200030,China)

机构地区：[1]浙江财经大学金融学院,浙江杭州310018 [2]上海交通大学安泰经济与管理学院,上海200030

出　　处：《预测》2018年第2期50-55,共6页Forecasting

基　　金：国家自然科学基金资助项目(71273170)

摘　　要：利用2006~2015年中国股市的高频交易数据,本文以宽度、深度和价格冲击三个维度的流动性指标作为基准指标,对近20年文献中常用的流动性低频指标进行评估。根据横截面相关系数、时间序列相关系数和预测误差三项评估标准,实证研究发现:在中国股票市场上,宽度维度的低频指标中Roll_(KL)指标最优;深度维度的低频指标中交易量指标最优;价格冲击维度的低频指标中Amihud_(YCJ)指标最优,Amihud也是一个很好的指标。本文的研究为今后中国股票市场的流动性研究提供了参考。Using the high-frequency transaction data from 2006 to 2015 in the Chinese stock market,we compute liquidity benchmarks of three dimensions-width,depth,and price impact,and run horseraces of low-frequency liquidity proxies,which are commonly used in the literature of past two decades,against liquidity benchmarks.Based on three performance metrics,i.e.,average cross-sectional correlation,portfolio time-series correlation,and prediction error,our empirical results show that in the Chinese stock market,Roll KL is the best low-frequency liquidity proxy in the width dimension;trading volume is the best low-frequency liquidity proxy in the depth dimension;Amihud YCJ is the best low-frequency liquidity proxy in the price impact dimension and Amihud is also a good one.This paper provides a reference for future studies on liquidity in the Chinese stock market.

关 键 词：流动性指标 宽度 深度 价格冲击 

分 类 号：F832.5[经济管理—金融学]