公司规模与股票流动性关系研究——上海股市的经验证据

本文以上海股票市场中的股票为研究对象,通过实证研究发现,上市公司规模与其股票流动性之间存在着显著的正相关关系并对此作出相应解释;"流动性补偿"理论可以用来解释中国股市中的"规模效应"。同时,本文还对小规模上市公司股票高换手率与低流动性并存的现象进行合理解释。     

Spreads, Depths, and Quote Clustering on the NYSE and Nasdaq: Evidence after the 1997 Securities and Exchange Commission Rule Changes

This paper examines liquidity and quote clustering on the NYSE and Nasdaq using data after the two market reforms—the 1997 order–handling rule and minimum tick size changes. We find that Nasdaq–listed stocks exhibit wider spreads and smaller depths than NYSE–listed stocks and stocks with higher proportions of even–eighth and even–sixteenth quotes have wider quoted, effective, and realized spreads on both the NYSE and Nasdaq. This result differs from the findings by Bessembinder (1999, p. 404) that "trade execution costs on Nasdaq in late 1997 are no longer significantly explained by a tendency for liquidity providers to avoid odd–eighth quotations," and "odd–sixteenth avoidance has little relevance for explaining post–reform Nasdaq trading costs."     

我国的M1/M2(1978-2002):长期趋势、水平与周期波动

本对我国1978—2002年的M1／M2的长期趋势、水平和周期波动进行了研究，结果表明1978—1995年，中国的M1／M2呈急剧下降的态势，但是从1996至今则基本保持平稳。另外从国别比较来看，我国属于M1／M2比较高的国家(地区)之一，这表明我国的居民和企业由于支付制度、取款成本、规避税收等原因比美、日等国家的经济主体对M1的需求高很多。除开长期走势之外，中国的M1／M2还伴随着经济活动呈周期性的波动，实证分析结果表明1996年前的经济增长率是M1／M2周期波动的Granger原因，但1996年以后则必须由名义利率、通货膨胀率和股票市场交易量的变动才能说明M1／M2的波动。     

从汇率制度视角看我国商业银行的流动性过剩

从汇率制度角度透视我国当前的商业银行流动性过剩现象,目的在于为经济金融的进一步开放提供理论依据和决策参考。本文通过对“三元悖论”理论的解读和1998～2006年各季度数据的实证检验,揭示了我国商业银行流动性过剩与汇率制度之间存在密切相关性,即在我国现行的汇率制度下,外汇储备的不断增加直接导致了商业银行存差的扩大,造成金融系统乃至整个社会的流动性过剩。基于上述研究,作者提出了如下相关建议:完善我国汇率形成的市场机制,培育相对均衡汇率;深化我国外汇管理体制改革,有序开放资本市场;汇率制度改革要与其他政策改革协调配合。     

Reserve Requirements,Liquidity Risk,and Bank Lending Behavior

Although reserve requirements (RR) have been used in emerging markets to smooth credit cycles, the transmission mechanism remains blurry. Using bank‐level data, we unveil the interaction of RR with bank lending. We identify a new channel that works through a decline in banks’ liquid assets and loan supply due to an increase in RR. “Quantitative tightening” through RR raises the short‐term funding needs of the banking system, which is met by collateralized central bank lending, thus depleting banks’ unencumbered liquid assets. Our results suggest that such a shift in bank liquidity is associated with a significant change in lending.     

Relative Liquidity,Fund Flows and Short‐Term Demand: Evidence from Exchange‐Traded Funds

We show that highly liquid Exchange‐Traded Funds (ETFs), especially those that are more liquid than their underlying basket of securities (i.e., positive relative liquidity), are particularly attractive to investors. Using three definitions of liquidity, we find that relative liquidity predicts net fund flows, as well as inflows and outflows positively and significantly. We further document a liquidity clientele among institutional investors: (i) relative liquidity is significantly more important for short‐ than for long‐term investors; and (ii) relative liquidity is inversely related to investors’ average holding duration in the ETFs. These two findings provide evidence that relative liquidity encourages short‐term demand.     

ETF Premiums and Liquidity Segmentation

Exchange traded funds (ETFs) provide a means for investors to access assets indirectly that may be accessible at a high cost otherwise. I show that liquidity segmentation can explain the tendency for ETFs to trade at a premium to net asset value (NAV) as well as the life‐cycle pattern in premiums. ETFs with larger NAV tracking error standard deviations (TESDs) tend to trade at higher premiums and the liquidity benefits offered by foreign ETFs and fixed income ETFs are revealed to be the most valuable to investors. Further tests validate that TESD has the desirable properties of a liquidity segmentation measure.     

Liquidity operations during the financial crisis 2008/09: evidence from the relations between Korean won onshore and offshore markets

This paper addresses the interrelation of onshore and offshore markets before and after the Bank of Korea intervened in 2008/09. During the financial crisis, Korea faced a liquidity crunch and leveraged its high level of reserves to conduct swap agreements in late 2008. To analyse how the reforms affected the mean and volatility spillover in between the spot and NDF markets, an extended GARCH model is used. The main findings of this paper are that prior to the financial crisis, the spot market dominated the offshore market. This changed after South Korea addressed the won’s liquidity crunch at the height of the crisis. Mean and volatility spillover between the markets diminished and the price gap narrowed. In addition to the empirical results, the paper also underlines the significance of liquidity and robust capital requirements for central banks.     

The stock market effects of a securities transaction tax: Quasi-experimental evidence from Italy

In the aftermath of the financial crisis, in several countries new levies on the financial sector have been proposed and in some cases implemented. We focus in particular on the recent introduction of a securities transaction tax (STT) in Italy. A peculiarity of the Italian STT is that it only concerns stocks of corporations with a market capitalization above € 500 million. We exploit this feature via a differences-in-differences approach – comparing taxed and non-taxed stocks before and after the introduction of the tax – and via a regression discontinuity design – comparing the performance of stocks just above the threshold with those just below. Focusing on the regulated market, we find that the new tax reduced liquidity, but it left transaction volumes and returns substantially unaffected. There is also evidence – although not conclusive – that the tax increased volatility.     

Corporate Cash Holding in Asia

In this paper, we analyze the determinants of corporate saving in the form of changes in cash holdings for 11 Asian economies using firm‐level data from the Oriana Database for the 2002–2011 period. We find some evidence that cash flow has a positive impact on the change in cash holdings (i.e. that the cash flow sensitivity of cash is positive) and that the positive impact of cash flow on the change in cash holdings is larger and more significant in the case of smaller and presumably more constrained firms than in the case of larger and presumably less constrained firms in both developed and developing economies. Both of these findings corroborate the importance of financial constraints in Asian firms. In addition, we find that the cash flow sensitivity of cash declined after the global financial crisis and that Tobin's q has a positive impact on the change in cash holdings, especially in the case of larger and presumably unconstrained firms.