股市资金面和持股结构对股票流动性的影响——基于深市订单深度和买卖价差的实证检验  

The Influence of Funds Supply and Equity-structure on Micro-liquidity——An Empirical Study Based on Data of Order Depth and Bid Spread from Shenzhen Stock Exchange

作　　者：乔国荣 马遥 毛婧宁 徐博文 QIAO Guorong;MA Yao;MAO Jingning;XU Bowen

机构地区：[1]中证资本市场运行统计监测中心市场分析部 [2]中证资本市场运行统计监测中心数据服务部

出　　处：《金融监管研究》2021年第5期49-65,共17页Financial Regulation Research

摘　　要：股市资金面和持股结构能否对个股流动性产生影响?本文基于2015年股市异常波动期间深市上市公司样本,构建固定效应面板模型,实证检验了股市资金面水平和持股结构对个股订单深度和买卖价差的影响,旨在进一步揭示股票市场整体流动性与微观个股流动性间的关系,为监管部门提供政策依据。分析结果表明:第一,股市资金面充裕水平对个股流动性有全局性正向影响,股票市场整体的流动性越高,越有助于提升个股的流动性;第二,持股结构这一异质性因素对个股流动性有负向影响,持股集中度越高、股东数越少,个股的流动性则相对越差,也意味着股价信息含量可能更低。这为管理层掩饰坏消息从而加大股价崩盘风险提供了新的补充解释。本文研究结论有助于理解股票流动性变化的原因,丰富了相关领域研究,并为监管部门制定相关政策、维护市场稳定运行提供了新视角。Can the capital level and shareholding structure of the stock market affect the liquidity of individual stocks?Based on data of stocks on Shenzhen Stock Exchange during 2014-2015,this paper empirically tests the influence of capital adequacy and shareholding structure on the order depth and bid ask spread of individual stocks by constructing a fixed effect panel model,aiming to further reveal the relationship between the overall liquidity of the stock market and the micro liquidity of individual stocks,and put forward policy suggestions for the regulatory authorities.The results show that:Firstly,the level of capital adequacy has a positive impact on the liquidity of individual stocks.The higher the liquidity of the stock market,the more helpful it is to improve the liquidity of individual stocks.Secondly,the heterogeneity of ownership structure has a negative impact on the liquidity of individual stocks.The higher the ownership concentration and the less the number of shareholders,the worse the liquidity of individual stocks.It also means that the information content of stock price may be less.It can probably provide a new supplementary explanation for the standpoint that the management covering up bad news will increase the risk of stock price crash.The conclusion of this paper not only helps to better understand the reasons for the changes in stock liquidity,but also enriches the research in related fields,and provides a new perspective for the regulatory authorities to formulate relevant policies to maintain the stable operation of the market.

关 键 词：股市资金面 持股结构 订单深度 买卖价差 

分 类 号：F830.91[经济管理—金融学]