中国股票市场流动性：基于日间数据吉布斯抽样的测算

流动性是市场生命力。如何准确测算流动性,是理论界和市场投资者都很关注的问题。本文介绍了流动性测算的吉布斯抽样方法,并运用其测度了中国股票市场在2006～2009年间的股票流动性。实证结果发现,我国股票市场的流动性在这四年间,均值为0.0537,这一结果的均值要远远高于以高频数据测度的流动性。     

资本市场的效率

允许多个交易所相互竞争是资本市场发展的客观需要。无限多样的金融产品或工具。相互之间流动性、风险、投资者偏好、投资价值各不相同，没有一个市场可以满足所有投资者和融资者的全部需求。但建立多个市场不难。重要的是相互竞争。因为没有竞争。我们无从知道该从哪个方向来监管和规范市场。     

基于微观市场的限价委托单对沪深A股流动性研究

流动性是股票市场正常运营的核心基础,限价委托单对于股票市场的流动性影响很大.同时,限价委托单在世界各国证券市场中提供流动性方面发挥着极其重要的作用.东京证交所,流动性有关内容均为投资者通过限价委托实现的.在专业的纽约证交所中,接近一大半的流动性是投资者通过限价委托实现.可见,限价委托单在证交所中地位不可小觑.因此,基于微观市场的限价委托单对沪深A股流动性研究很有必要性.本文主要探讨了流动性内涵以及流动性对我国股票市场的重要影响作用.之后探究了委托单的类型以及限价委托单与在委托单中地位.本文中心在于探讨了国内外有关于微观市场的限价委托单对股市流动性文献研究.总结已研究成果,分析方法的不足,从而更好地从微观市场限价委托方面探究如何影响股市流动性问题.     

投资者结构模式变迁与市场流动性风险

本文研究了市场流动性风险与投资者结构模式之间的关系。随着机构投资者的不断发展壮大,我国投资者结构模式发生了重要转变,然而新的投资者结构模式下,市场流动性的波动结构是否有所不同？本文以流动性水平变化率为研究对象,构建了包含虚拟变量的TGARCH模型对其波动方程进行拟合,研究发现：机构投资者壮大后市场流动性风险显著降低;机构占主导后市场流动性风险受新信息的影响权重较之前增大,而旧有信息对流动性风险的影响相比以前减小。     

流动性风险的特性

近年来,随着对流动性研究的深入,人们发现证券流动性之间存在协动现象(co-movement)。所谓流动性的协动是指单个证券与证券组合之间、证券组合与整个证券市场之间以及证券组合与行业之间的流动性变化存在趋同现象。证券市场中若存在流动性的协动现象,则在市场出现流动性危机时,投资者无法通过分散投资来完全化解该类风险,即市场上存在着系统的流动性风险。     

企业财务披露对市场价值的影响：企业社会责任披露的调节与投资者评价的中介作用

文章从国内外公共事件切入，整合以往对于企业财务披露如何通过投资者进而来影响市场价值以及企业社会责任如果通过投资者这一利益相关者来影响企业的市场价值这两个研究问题，以我国代表性上市公司的情况作为实证研究对象，分析企业社会责任的调节作用以及投资者评价的中介作用，以便研究上市公司的财务绩效和企业社会责任如何来共同通过投资者的评价进而来影响企业的市场价值。     

公司信息透明度治理作用的相关研究综述

本文认为,透明的公司信息除了通过降低投资者的估计风险和提高证券流动性来降低外部融资成本以外,还具有公司治理功能。信息透明度的公司治理功能,即信息透明度有助于解决代理冲突问题和信息不对称问题,促进经理激励契约的约束有效性,保护投资者的利益。这对于中国证券市场上投资者保护及信息披露机制等方面的制度建设和资本市场健康发展有深远意义。     

公司信息透明度治理作用的相关研究综述

本文认为，透明的公司信息除了通过降低投资者的估计风险和提高证券流动性来降低外部融资成本以外。还具有公司治理功能。信息透明度的公司治理功能，即信息透明度有助于解决代理冲突问题和信息不对称问题，促进经理激励契约的约束有效性，保护投资者的利益。这对于中国证券市场上投资者保护及信息披露机制等方面的制度建设和资本市场健康发展有深远意义。     

流动性溢价理论研究述评

资产流动性是否影响资产的价格一直是资本市场理论研究的热点问题,也是投资者决策的重要理论依据之一。本文系统回顾了国内外有关流动性溢价理论的研究现状,分析了我国股市流动性溢价的影响因素,并指出了我国在流动性溢价理论研究方面所存在的问题以及未来的研究方向。     

从市场流动性分析公司财务策略

本文在分析市场流动性及其影响因素的基础上,论述了上市公司可以通过股票拆细、提高财务信息披露质量、加强投资者关系管理、发行认股权证等财务策略来提高公司股票流动性,以降低股权资本成本。     

基于流动性调整CAViaR模型的风险度量方法

本文提出了流动性风险度量的一个新的方法,流动性调整的CAViaR模型。该模型能够直接反映资产流动性的变动对未来风险的影响,并在此基础上计算资产未来经过流动性调整的风险VaR,从而使投资者能够更好地管理风险,尤其是流动性风险。实证研究表明,该模型能够较好地刻画中国股市流动性风险的动态变化特征;并且发现股票流动性的大幅下降通常导致未来风险明显加大,且正向流动性下降所带来的风险往往较负向流动性要更大,因此更值得投资者关注。     

Retail investors’ trading and stock market liquidity

The paper investigates the relation between retail investors’ participation in trading and aggregate stock market liquidity. The findings show a positive and significant relation between retail investors’ trading and stock market liquidity. Examination of the determinants of retail investors’ trading reveals that, on average, retail investors with more diversified trading activity tend to trade when liquidity is higher, the frequency of their arrival to the market is not affected by the level of liquidity, and retail investors are willing to trade at a lower liquidity level as sellers than as buyers. Moreover, retail investors’ trading does not create price noise at the aggregate market level. Overall, the evidence suggests that retail investors contribute to market quality.     

Liquidity skewness premium

Risk-averse investors may dislike decrease of liquidity rather than increase of liquidity, and thus there can be asymmetric preference in variation of liquidity. In addition, investors are likely to avoid extreme illiquidity. This paper examines whether the skewness of an individual firm’s liquidity capturing asymmetric distribution of liquidity and extreme illiquidity is priced in the US stock market. Using the skewness of the daily price impact, we find that it is positively priced, and this positive relation is significant up to eight months after controlling for other effects. Moreover, we find our results remain significant with the skewness of alternative liquidity measures, i.e., dollar-volume, and turnover.     

Economic policy uncertainty and illiquidity return premium

In this study, we examine the relation between the price of liquidity, or illiquidity return premium, and the economic policy uncertainty (EPU). On average, an illiquid portfolio earns a 0.597% higher monthly return than a liquid portfolio. The results further show that the EPU index has a positive relationship with the illiquidity return premium. This indicates that investors require higher compensation for holding illiquid stocks when there is a higher economic uncertainty. We also show that EPU affects the illiquidity return premium through the market illiquidity channel. The rise of EPU could increase the risk of illiquid stocks and make investors more risk-averse, thereby requiring higher compensation for illiquidity. Finally, it is found that the relationship between EPU and the illiquidity return premium is stronger when market liquidity is impaired and during crises.     

Determinants of commonality in liquidity: Evidence from an order-driven emerging market

Using an extensive, time-series, cross-sectional data-set of actively traded Indian stocks with up to 1.75 million firm-day observations, we discern the key determinants of commonality in liquidity among emerging markets. The paper shows evidence for both supply-side and demand-side factors contributing to liquidity commonality. However, the results are more supportive towards supply-side rationale for liquidity commonality among the firms where regulators and banks play an important source of commonality in liquidity, especially during market turmoil. Results are partially driven by the fact that the Indian stick exchange is an order-driven market. Economic activities like cheap exports and undervalued currency, rather than correlated trading by the institutional investors determine the demand for liquidity. These findings endorse the effect of high firm value, market return, liquidity, volatility, turnover, and alternate proxies of commonality in liquidity estimation.     

我国债券市场流动性的现状及对策浅识

债券市场是金融市场的重要组成部分,债券流动性作为具有能够迅速低市场成本交易的能力,是债券市场发展必不可少的条件。近年来我国债券市场发展迅速,但由于交易平台、交易制度、交易品种和投资者结构等方面的原因,导致我国债券市场的流动性发展缓慢。本文通过对债券市场流动性现状的分析,找出债券市场流动性缺失的原因,并结合我国的实际情况提出相应的策略。     

Funding liquidity risk and the low-volatility anomaly: Evidence from the Taiwan stock market

We investigate whether the funding liquidity risk to institutional investors influences the negative relation between expected returns and variance (the ‘‘Low-volatility anomaly’’). With the Taiwan stock market as a setting, we implement a multivariate Markov switching model and use the funding liquidity risk to model the time-varying transition probabilities of the regime-switching process to capture changes in the funding liquidity risk regime. Our evidence documents that the low-volatility anomaly is most pronounced when there is high funding liquidity risk. When there is low funding liquidity risk, however, the low-volatility anomaly has a significant reversal. These results imply that the increased funding liquidity risk due to financial shock transmitted from parent banks is associated with higher selling pressure on institutional investors’ high-volatility stocks, leading to the low-volatility anomaly.     

Mispricing in the odd lots market in Brazil

We study the case of mispricing in the odd lots equity market in Brazil. Contrary to expectation, odd lot investors are paying higher prices than round lot investors. The pricing difference between markets is affected by market returns, volatility and spreads. Our main hypothesis is that; once the assets traded in the odd lot market are more illiquid than their counterparts, the mispricing is driven by liquidity factors. Additionally, we show that the mispricing yields an arbitrage opportunity that is not being traded away in the Brazilian market. Therefore, we propose regulators to review the market design for odd lots in Brazil. We argue that reducing the minimal trading unit in the round lots market would benefit investors.     

Foreign equity flows: Boon or bane to the liquidity of Malaysian stock market?

This paper examines the impact of gross foreign equity inflows on aggregate liquidity of the Malaysian stock market using newly assembled foreign trading data and the best performing bid-ask spread proxy. Employing vector autoregression, we discover a one-way causality from gross inflows to aggregate liquidity, and foreign investors erode liquidity of the Malaysian stock market. Additional analyses reveal that uncertainties in the U.S. markets negatively affect aggregate liquidity through the flows of foreign institutions, whose positive feedback trading destabilizes the local bourse. Despite the shocks, there is sufficient liquidity provision from local state-backed institutional funds and local proprietary day traders.