| 中国股票市场流动性与收益动态关系研究 |
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| 引用本文： | 张维,梁朝晖.中国股票市场流动性与收益动态关系研究[J].系统工程理论与实践,2004,24(10):22-26. |
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| 作者姓名： | 张维 梁朝晖 |
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| 作者单位： | (1)天津财经大学;(2)天津大学管理学院 |
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| 摘 要： | 应用向量自回归(VAR)方法和格兰杰非因果性检验等计量经济方法,研究了中国股票市场流动性和收益的动态关系.研究表明,随着中国证券市场的发展,市场流动性特征也在发生变化,2002年中国股票市场出现了"非流动性溢价"现象.
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| 关 键 词： | 非流动性溢价 向量自回归 脉冲响应函数 格兰杰非因果性检验 |
| 文章编号： | 1000-6788(2004)10-0022-05 |
| 修稿时间： | 2003年5月26日 |
A Study of the Dynamic Relationship between Liquidity and Return in Chinese Stock Markets |
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| ZHANG,Wei.A Study of the Dynamic Relationship between Liquidity and Return in Chinese Stock Markets[J].Systems Engineering —Theory & Practice,2004,24(10):22-26. |
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| Authors: | ZHANG Wei |
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| Institution: | (1)Tianjin University of Finance and Economics;(2) Tianjin University |
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| Abstract: | This study deals with the dynamic relationship between liquidity and return in Chinese stock market. It is found that the character of liquidity changes with the development of Chinese stock market, and also found is the empirical evidence consistent with the notion of "illiquidity premium" in 2002, using such econometric methods as VAR model, Granger causality test etc. |
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| Keywords: | illiquidity premium vector auto-regression impulse-response function Granger causality test |
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