| 中国股票市场流动性价值研究——双重上市A、B股经验证据 |
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| 引用本文： | 廖士光,杨朝军.中国股票市场流动性价值研究——双重上市A、B股经验证据[J].南方经济,2008(12). |
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| 作者姓名： | 廖士光 杨朝军 |
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| 作者单位： | 1. 上海证券交易所研究中心,上海,200120
2. 上海交通大学安泰经济与管理学院,上海,200052 |
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| 基金项目： | 感谢国家自然科学基金研究项目
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| 摘 要： | 本文首先利用流动性综合测度指标,将证券交易数量、证券流动性水平及证券市场流动性水平引入到证券价格函数中,构建了证券价格差异的流动性模型,从流动性角度探讨证券价格溢价问题,在理论上证明了证券流动性价值的存在性。随后,本文利用A、B股股票实证分析证券流动性价值,实证结果表明,股票流动性水平与股票市场流动性水平可以解释A、B股价格差异,中国股票市场存在流动性价值,流动性价值受股票流动性水平、股票市场流动性水平以及股票交易数量影响。
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| 关 键 词： | 流动性价值 流动性综合测度 双重上市 |
The Study on Liquidity Value Added in China's Securities Market :Evidence from Dual-Listing A and B Share |
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| Shiguang Liao,Chaojun Yang.The Study on Liquidity Value Added in China''''s Securities Market :Evidence from Dual-Listing A and B Share[J].South China journal of Economy,2008(12). |
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| Authors: | Shiguang Liao Chaojun Yang |
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| Institution: | Shiguang Liao Chaojun Yang |
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| Abstract: | This paper designs the liquidity compound measure,and then constructs the liquidity model on securities price difference with such variable as trading volume,securities liquidity and securities market liquidity.The theoretical analysis shows that the price difference can be explained by liquidity difference and the liquidity value added does exist.Then the paper discusses the liquidity value added with the A and B share,and the result suggests that stock liquidity and stock market liquidity can explain the A and B share price difference,which also means that liquidity value added exists in China's stock market,and liquidity value added is affected by the stock liquidity,stock market liquidity and trading volume. |
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| Keywords: | Liquidity Value Added Liquidity Compound Measure Dual Listing |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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