【作者】 林晶；

【导师】 林海；

【作者基本信息】 厦门大学 ， 金融学， 2008， 硕士

【摘要】 流动性反映资产的交易能力和变现速度,是证券市场的生命力所在,也是衡量一国股市发展水平的重要指标。2005年4月29日正式启动的股权分置改革目前已基本完成,禁售期后大量非流通股将蜂拥而至,中国的资本市场正处于流动性变革的关键时刻,鉴于流动性对价格发现的重要作用,研究中国市场系统流动性同资产定价之间的关系对中国这样一个转轨经济国家具有重要的现实意义。不同于国内绝大多数文献关于流动性和资产定价关系的研究,本文关注的是市场的系统流动性这样一种不可分散的风险。利用沪市A股1997年1月1日至2006年12月31日共十年的交易数据,本文分别构造了Pastor和Stambaugh(2003)以及Amihud(2002)两种市场流动性测度,在比较的框架下采用组合检验和回归检验的方法考察沪市A股的流动性溢价问题,并针对中国股票市场特征提出了三个待检验假设,分别为:假设检验一:中国的市场流动性风险不可分散,可以作为中国股票定价方程的状态变量之一。假设检验二:随着中国股市越来越成熟,资产定价方程呈现动态变化,表现为基于价值和分散理念的风险因子在回归方程中可能有部分是不显著的,但随着投资者理性化程度的提高、市场逐渐成熟和规范,各种不可分散的风险因子包括系统的流动性风险就可能成为资产定价中不可或缺的一部分。假设检验三:中国是指令驱动的交易机制,源于做市商交易机制下的市场流动性指标(Pastor和Stambaugh)可能没有不受交易机制限制的市场流动性指标(Amihud)更能抓住中国市场的流动性溢价现象。通过运用组合检验和回归检验的方法,最终的实证结果支持了三个假设检验,证实了沪市A股存在流动性溢价,且市场上的定价因子会随着股市的发展而改变,此外,Amihud的流动性测度更能抓住中国股市的流动性风险,因此较Pastor和Stambaugh测度更适合应用于中国的股票市场。在文章的最后给出的是基于实证结果的几点政策建议。更多还原

【Abstract】 Serving as a measure to reflect how fast an asset can be traded for cash, liquidity is vital to a security market. It’s also an indicator for the level of development of a country’s security market. Officially started from April 29th in 2005, the equity reform on listed companies has come to its end by now, a number of shares which were used to be non-tradable will flock the A shares market after the ban period, indicating that there is a remarkable change for the marketwide liquidity of Chinese A shares market. According to the important role of liquidity on price discovery, it’s quite meaningful for us to study the relationship between liquidity and asset pricing in such a transitional market of China.This paper, distinct from other literatures on the same topic, focuses on the market wide liquidity instead of individual liquidity, the risk of the former one can not be diversified. With the transition data of A shares in Shanghai security market from 1997 to 2006, ten years in all, this paper constructs two measures on market liquidity, one was suggested by Pastor and Stambaugh (2003), the other followed the method of Amihud (2002). Under a comparative framework, this paper exams the liquidity premium of A shares in Shanghai Security Market. Taking some key features of Chinese security market into consideration, the paper designs three hypotheses:H1, the first hypothesis assumes market liquidity risk can serve as a state variable in the asset pricing formula of Chinese A shares;H2, the second one supposes there are dynamic differences in asset pricing in China as the market is approaching maturity, the market liquidity risk may be better priced in a relative later period.H3, the last hypothesis assumes two liquidity measures will show different performances if one measure is system specific while the other one is not.With the methods of the portfolio test and the regression test, the empirical results support those three hypotheses powerfully. First, we find a solid ground for the existence of liquidity premium among A shares in Shanghai Security Market. Secondly, the factors underlying asset pricing in Chinese security market change as investors get more and more rational and the market grows. Thirdly, we find Amihud measure shows a better performance as a proxy for market liquidity than Pastor-Stambaugh measure does attributing to the institutional independence of Amihud measure. Since China is taking an order-driven trading system, the Pastor-Stambaugh measure, which roots in the market-maker system, might be weaker in capturing the overall liquidity risk of Chinese security market. Based on the empirical result, the paper will give some strategic suggestions to improve the marketwide liquidity in the conclusion.更多还原