| 流动性、股票定价及时变性：来自我国沪深股市的经验证据 |
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| 引用本文： | 杨默,黄峰.流动性、股票定价及时变性：来自我国沪深股市的经验证据[J].当代经济科学,2012(3):112-118,128. |
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| 作者姓名： | 杨默 黄峰 |
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| 作者单位： | 西安交通大学经济与金融学院,陕西西安,710061 |
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| 摘 要： | 本文在经流动性风险调整的资产定价模型的基础上,通过引进四个工具变量,构建了一个检验模型,于时间序列上对中国股票市场进行了实证分析。实证结果显示：我国的股市流动性单位风险溢价于时间序列上存在显著的时变性。从而证实了投资者之内生流动性风险对股票收益率之影响效应,进而揭示了一个货币供给量影响股市的一个作用机制,即股票价格的涨跌由于流动性水平的不同和由前者导致的流动性风险溢价要求的不同而受到影响。
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| 关 键 词： | 时变性 先行指标 流动风险溢价 |
Liquidity,Stock Pricing and Time-Varying: Evidence from Chinese Stock Markets |
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| YANG Mo,HUANG Feng.Liquidity,Stock Pricing and Time-Varying: Evidence from Chinese Stock Markets[J].Modern Economic Science,2012(3):112-118,128. |
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| Authors: | YANG Mo HUANG Feng |
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| Institution: | 1.School of Economics and Finance,Xi’an Jiaotong University,Xi’an 710061,China;2.Risk Management Department,China Zheshang Bank,Hangzhou 310006,China) |
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| Abstract: | This paper constructs a testing model by using four tool variables based on the liquidity risk adjusted CAPM model.The empirical results show that there does exist time-varying for market liquidity risk premium in Chinese Stock market.It proves the influence of endogenous liquidity risk on stock earning and reveals a mechanism of the influence of money supply on stock market,i.e.,the fluctuation of stock price is influenced by liquidity levels and liquidity risk premium. |
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| Keywords: | Time-varying LEAD Liquidity Risk Premium |
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