流动性与收益、收益波动的动态关系

研究了我国股市流动性与收益的时间序列的动态关系。通过建立相关模型,发现非流动性与证券收益互为G ranger因果关系,当期收益与当期非流动性呈负相关关系、而与滞后一期非流动性呈正相关关系。进一步把市场日非流动性分解为期望非流动性与预期之外非流动性,发现期望非流动性对于期望收益具有正效用,而预期之外非流动性对于期望收益有负效应,且后者的负效应大于前者的正效应;预期之外非流动性对收益波动有显著影响,而期望非流动性对收益波动影响不显著。

Dynamic Relationship between the Illiquidity and Stock Returns: Evidence From Chinese Stock Market

This paper explores the dynamic relations between the illiquidity and expected return for time series characteristic by using the daily data of Chinese stock market.The major findings are as follows: First,there is positive feedback relationship between illiquidity and excepted return.Secondly,stock returns are negatively related to contemporaneous illiquidity,and positively related to lagged illiquidity.Third,excepted illiquidity has significant positive effects on expected return,whereas unexpected illiquidity has negative effects.Fourth,unexpected illiquidity affects strongly return volatility,while expected illiquidity doesn't.