谨防下一个流动性黑洞——基于中国证券市场周频数据的经验分析

文章在全球量化宽松货币政策的背景下引发了对下一轮流动性黑洞爆发可能性的思考。首先,结合正反馈交易和多重均衡理论探究了证券价格不连续运动的特点以及流动性黑洞形成的内在机理;其次,构建了包含价格变动和交易头寸的向量自回归模型,并以中国上证A股市场为例进行了实证分析。结果显示自2008年以来,国内A股市场存在明显的正反馈效应,这使流动性黑洞的爆发成为可能。上述结论为预测及防范流动性黑洞提供了理论支持。     

中国证券市场流动性风险内涵与特征分析

文章首先结合当前的国际金融环境阐述了流动性风险研究的重要意义,继而对流动性风险涵义进行剖析,并结合中国市场的现实背号分析了影响流动性风险的因素,最后进一步研究了我国证券市场流动性风险的特征。     

流动性过剩对证券市场的冲击效应分析——基于海外经验与中国实践的实证研究

本文认为,货币差额法应是衡量宏观经济流动性过剩的首选指标,货币供应量超过了实体经济增长所需要的货币量就是流动性过剩,并构建了相关统计指标.结合可比的海外经验,当前我国股指虽已高位回落,但流动性的收缩会对股市产生滞后一年或两年的影响.为了防止流动性过剩变化对今后股市产生剧烈变动,甚至引发暴跌,管理层应有预见性地把握流动性紧缩的力度和节奏;投资者也应密切关注有关管理部门,尤其是央行对流动性过剩状况的判断和采取的紧缩措施的力度和节奏.     

证券市场流动性的文献综述

本文在国内外文献基础上分析了证券市场流动性的涵义、基本特征和度量方法。对学术界衡量流动性的买卖价差、市场深度、价格冲击指数、流动性指数等方法以及影响流动性主要因素进行了梳理和综述。     

公司投资冲击是否影响股票流动性——基于中国A股市场的经验证据

在宽松货币政策逐步退出、市值管理日益引起关注的背景下,股票流动性问题成为当前的研究热点。本文立足中国资本市场实际,实证研究了公司投资对股票流动性的影响及作用机理。研究发现:中国A股上市公司投资冲击显著降低公司股票的市场风险水平、增强股票流动性;在公司投资冲击增强股票流动性的作用过程中,公司市场风险具有部分中介作用。本研究在一定程度上厘清了微观公司投资影响股票流动性的作用机理,丰富了有关股票流动性微观前置影响因素研究。最后,就信贷资源配置结构、投资者教育及公司投资评价内容和公司市值管理等提出了政策建议。     

我国股票市场流动性影响因素分析——来自中国A股证券市场的经验证据

本文从微观角度研究了股票市场流动性的影响因素。从公司业绩水平、资产规模、股票的市场风险、股价等方面分别进行了单因素相关性分析。结果发现：影响流动性的主要因素有每股收益、总资产、股票的贝塔系数和股价,而净资产收益率对流动性的影响不大,并且净资产收益率和每股收益之间存在偏相关关系。     

无形资产计量与股票定价——来自中国证券市场的经验证据

本文以修正的Ohlson模型为基础，从多个角度考察了无形资产计量与股票定价的关系，得到以下结论：1除了1994年外，在1993—1999年，各年无形资产定价乘数都大于有形净资产定价乘数。说明投资者对无形资产价值具有较高的预期。自2000年以后，无形资产定价乘数开始与有形净资产定价乘数相接近，但有形净资产定价乘数的显著性水平(t—value)明显高于无形资产定价乘数。2．在大多数情况下我国企业无形资产与股价呈显著正相关，表明投资者在对股票定价时利用了较多的无形资产信息。上述结论对于我国监管部门、投资者和上市公司都有一定的参考价值。     

谨防下一个流动性黑洞*--基于中国证券市场周频数据的经验分析

文章在全球量化宽松货币政策的背景下引发了对下一轮流动性黑洞爆发可能性的思考。首先,结合正反馈交易和多重均衡理论探究了证券价格不连续运动的特点以及流动性黑洞形成的内在机理;其次,构建了包含价格变动和交易头寸的向量自回归模型,并以中国上证A股市场为例进行了实证分析。结果显示自2008年以来,国内A股市场存在明显的正反馈效应,这使流动性黑洞的爆发成为可能。上述结论为预测及防范流动性黑洞提供了理论支持。     

The impact of ADR activity on stock market liquidity: Evidence from Latin America

This paper examines the impact of ADR activity on liquidity of four major Latin American stock markets. We construct a measure of ADR activity in U.S. markets for a sample of ADRs trading during January 2003–December 2010, which is subsequent to the financial liberalization episodes and currency crises that shocked emerging markets in the 1990s. The sample lists 164 depositary receipt programs (Levels I, II, and III): 16 from Argentina, 81 from Brazil, 19 from Chile, and 48 from Mexico. Using System GMM methods to handle the potential effects from stock market development on economic growth and ADR issuance, we find that higher ADR turnover in U.S. markets has positive effects on domestic market turnover, particularly for issuance of exchange-listed (Levels II and III) ADRs. This positive relationship is not a statistical artifact created by the global financial crisis of 2008.     

Bank failures caused by Large withdrawals: An explanation based purely on liquidity

In a version of the Diamond and Dybvig [Diamond, D., Dybvig, P., 1983. Bank runs, deposit insurance, and liquidity. Journal of Political Economy 91, 401–419.] model with aggregate uncertainty, we show that there exists an equilibrium with the following properties: all consumers deposit at the bank, all patient consumers wait for the last period to withdraw, and the bank fails with strictly positive probability. Furthermore, we show that the probability of a bank failure remains bounded away from zero as the number of consumers increases.This equilibrium explains bank failures driven by extreme withdrawals solely on liquidity since they happen because both banks and depositors are illiquid. Furthermore, it does not require much of the elements typically emphasized, including: consumers well informed about the true state of nature, a non-zero consumption after a crisis, consumers’ panic and sunspots. We therefore think that aggregate risk in Diamond-Dybvig-like environments can be an important element to explain bank crises.     

The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets

The outbreak of the novel corona virus has heightened concerns surrounding the adverse financial effects of the outbreak on stock market liquidity and economic policies. This paper contributes to the emerging strand of studies examining the adverse effects of the virus on varied aspect of global markets. The paper examines the causality and co-movements between COVID-19 and the aggregate stock market liquidity of China, Australia and the G7 countries (Canada, France, Italy, Japan, Germany, the UK and the US), using daily three liquidity proxies (Amihud, Spread and Traded Value) over the period December 2019 to July 2020. Our empirical analysis encompasses wavelet coherence and phase-differences as well as a linear Granger causality test. Linear causality test results suggest that a causal relationship exists between the number of cases of COVID 19 infections and stock market liquidity. To quantitatively examine the degree of causality between COVID-19 outbreak and stock market liquidity, we employ the continuous wavelet coherence approach with results revealing the unprecedented impact of COVID-19 on stock market liquidity during the low frequency bands for countries that were hard hit with the COVID-19 outbreak, i.e., Italy, Germany, France, the UK and the US. Further, evidence shows that there is a heterogeneous lead-lag nexus across scales for the entire period of the study.     

An analysis of the capital asset pricing model in the Egyptian stock market

This paper offers evidence confirming the validity of applying modern portfolio theory and capital asset pricing models to the emerging stock market of Egypt. The results indicate that market risk, as measured by beta and preference for skewness, seems to play a significant role in the returns dynamics in the Egyptian stock market. There is a significant and positive premium for companies with positive skewness. With regard to the return-risk trade off, the results indicate that a portfolio that was based on consumer staples and financial companies (mainly banks) with low betas had outperformed a portfolio containing construction, materials, hotels, and weaving companies with larger betas. Historically, the government's nationalizations that took place, between the mid fifties to the mid sixties, had adversely affected companies in the industrial and construction sectors more than consumer staples companies and banks. This could explain why lower beta companies were observed more in consumer staples, banks, and pharmaceuticals.     

The effect of operational slack,diversification, and vertical relatedness on the stock market reaction to supply chain disruptions

This paper empirically examines whether operational slack, business diversification, geographic diversification, and vertical relatedness influence the stock market reaction to supply chain disruptions. The results are based on a sample of 307 supply chain disruptions announced by publicly traded firms during 1987–1998. Our analysis shows that firms with more slack in their supply chain experience less negative stock market reaction. The extent of business diversification has no significant effect on the stock market reaction. Firms that are more geographically diversified experience a more negative stock market reaction. We find that firms with a high degree of vertical relatedness experience a less negative stock market reaction. These results have important implications on how firms design and operate their supply chains to mitigate the negative effect of supply chain disruptions.     

The stability of money demand in China: Evidence from the ARDL model

This study examines the demand for broad money (M2) in China using the autoregressive distributed lag (ARDL) cointegration framework. The results based on the bounds testing procedure confirm that a stable, long-run relationship exists between M2 and its determinants: real income, inflation, foreign interest rates and stock prices. Importantly, our results reveal that stock prices have a significant wealth effect on long- and short-run broad money demand; its omission can lead to serious misspecifications in the money demand function (MDF). This finding is consistent with the notion that asset inflation (deflation) has systematic influence on the pattern of monetary aggregates.     

通货膨胀对我国股市影响的实证分析

本文采用协整分析方法来分析通货膨胀对我国股市的影响,并建立模型进一步分析通货膨胀对我国股市的交易活动和流动性的长期和短期影响。     

Pricing behavior of exchange traded funds

We attempt to determine whether characteristics found to be effective indicators of individual stock price performance are effective indicators of exchange traded fund (ETF) price performance. Specifically, we test the performance of investing strategies based on separately categorizing ETFs into deciles according to size, trading volume, and momentum. When analyzing the entire sample, we find that the indicators can effectively signal differences in future performance. However, the indicators appear to be indirect proxies for the types of ETFs (broad-based, sector, or international). When we isolate each type of ETF, the indicators are not as effective. The indicators are not as useful for signaling unusual stock price performance of ETFs as they have been for individual stocks. We attribute the distinctly different results found here for ETFs to the unusual characteristics of ETFs that distinguish them from individual stocks. Investing strategies that rely on these indicators for selecting individual stocks may be indirectly driven by stock-specific fundamentals. However, fundamentals are not as meaningful for stock indexes (represented by ETFs) as for individual stocks.

An analysis of stock market transactions data

Many studies have argued against the strict form of the efficient markets hypothesis (EMH) by concluding that a lagged relationship exists between volume and the absolute value of a price change. These studies have denied a priori the possibility of a contemporaneous relationship. If a simultaneous relationship exists then least squares with only lagged variables suffers from omitted variable bias, and least squares with contemporaneous variables may suffer from simultaneous equations bias. Investigating these possibilities, this study demonstrates that simultaneity exists and that previous findings of a lagged relationship between the variables are therefore due to specification error. System estimation techniques suggest that the price-volume relationship is recursive, with the absolute value of a price change causing volume contemporaneously, but not conversely.     

Weekly pattern in higher moments: An empirical test in Hong Kong stock market

This paper provides a direct test on the day-of-the-week effect on higher moments of stock returns and compares across different industrial sectors of the Hong Kong market. Empirical results show that daily returns of six different industrial sectors on all weekdays are non-normally distributed. The hypothesis of equal higher moments is rejected by most pairs of weekdays, particularly the Monday-Tuesday pair, for all indices, supporting the existence of the day-of-the-week effect on higher moments. The results also show that the weekly pattern on volatility and higher moments cannot help explain the weekly pattern on mean returns through the concept of risk premium. Further analysis shows that Rogalski’s effect exists on the higher moments because the day-of-the-week effect exists only in non-January months.