交易活跃程度与股票回报——基于上海股市的实证研究  

Trading Activity and Stock Return——Evidence from Shanghai Stock Exchange

作　　者：王春峰[1] 韩冬[1] 蒋祥林[1] 吴晓灵[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《天津大学学报（社会科学版）》2003年第3期194-201,共8页Journal of Tianjin University：Social Sciences

基　　金：国家杰出青年科学基金资助项目(70225002);国家自然科学基金资助项目(70041039);教育部跨世纪优秀人才基金资助项目(199901);教育部优秀青年教师教学科研奖励基金资助项目(2000-28).

摘　　要：利用衡量交易活跃程度的指标——交易金额(DVOL)和换手率(TURN)度量流动性,检验了上海股票市场流动性一阶矩、二阶矩与回报的关系。实证结果表明,在上海股票市场中,政策对流动性与回报之间的关系有很大影响。排除了政策出台月份数据后,流动性与股票回报呈显著负相关,流动性的水平(一阶矩)和波动(二阶矩)在截面上对股票回报有显著的解释作用。文章还从投资者行为、市场交易制度和市场监管等角度分析了造成上述现象的原因。This paper provides a test between liquidity level,liquidity volatility and stock return using the trading activity-DVOL (dollar volume) ,TURN (share turnover) as a liquidity proxy for liquidity in Shanghai Stock Exchange. The results suggest that the relation between liquidity and stock return is significantly affected by policy. After excluding the policy effect stock returns are significantly negatively related to liquidity. Liquidity level and liquidity volatility play a significant role in explaining the crosssectional variation in stock returns. Then it explains the phenomenon from the views of the investor's behavior, trade mechanism and market regulating in Chinese stock market.

关 键 词：交易活跃程度 流动性 资产定价 交易金额 换手率 

分 类 号：F830.91[经济管理—金融学]