基于时间序列的上海股市系统风险、流动性风险溢价实证研究

在Acharya和Pedersen（2003）提出的三种流动性风险（收益对市场非流动性的敏感性COV（ri,LM）、非流动性对市场收益的敏感性COV（Li,rM）、流动性的共性COV（Li,LM）的基础上，提出了一个关于市场收益、市场非流动性、组合收益以及组合非流动性的四元均值GARCH（1，1）模型，鉴于多元均值GARCH类模型参数估计的困难，我们分两阶段建模，对上海股票市场四类指数（工业、商业、公用以及地产）1997～2004年的风险溢价状况进行了实证研究。结果表明，存在系统风险溢价和流动性风险溢价，并且流动性风险溢价主要来源于收益对市场非流动性的敏感性和非流动性对市场收益的敏感性。

An Empirical Study on the Systematic Risk Premium and Illiquidity Risk Premium of the Shanghai Stock Market Based on the Time Series

In this study, We define a multivariate GARCH(1,1)-in-mean specification for the market returns, market illiquidity, portfolio returns and portfolio illiquidity. Because of the difficulty of the multivariate GARCH(1,1)-in-mean model parameters estimation,we build some univariate GARCH models in two stages to examine whether systematic risk and liquidity risk are priced in four indices(industry,commerce,public utilities and real estate) of the Shanghai Stock Market over the period 1997~2004.The findings, based on daily data, suggest that systematic risk and liquidity risk are priced in the indices. The liquidity risk premium stems mainly from return sensitivity to market liquidity,COV(L_i,L_M),and liquidity sensitivity to market returns,COV(L_i,r_M).