换手率与中美股票市场流动性研究

国内习惯以换手率判断流动性,而中国股市换手率常年较高.通过中美股市2005年7月到2015年6月10年间的历史数据,从市场深度和宽度2个角度对比分析中美股市流动性,发现中国股市的流动性确实显著优于美国市场,建议提高分红、抑制投机来调整过度追求短期价差收益导致的高流动性.但同时发现,换手率指标衡量流动性的效率较低,对于中国股市而言,经价格与股票数量调整后的Martin指数与即时交易成本2个流动性深度与宽度指标更能解释股票的收益率,更适合作为我国流动性衡量指标.

On Turnover and Liquidity Analysis of China and US Stock Market

Turnover is generally used to measure liquidity in China and always in high level in China stock market. This paper compares liquidity of China and US stock market from the perspectives of market depth and width through 10-year historical data from July 2005 to June 2015 and finds out that liquidity of China stock market is indeed better than that of US stock market. It would be better to increase dividend ratio and refrain speculation to adjust this high liquidity resulted by excessive pursuit of short-term capital gain. But also, turnover has low interpretation efficiency of liquidity. For China Stock Market, Martin Index, adjusted by price and shares outstanding, and Execution Cost can explain stock return better, making them more suitable liquidity depth and width indicators.