中国A股市场流动性冲击与股票回报率关系研究

doi:10.16381/j.cnki.issn1003-207x.2021.0447

摘要/Abstract

摘要： 本文重点分析了A股市场上流动性的变化(即流动性冲击)对股票未来期望收益率的影响。首先，本文发现，在分析A股市场上流动性冲击对股票收益率的影响时，应充分考虑与之同时发生的由于股票当期价格上升或下降造成的短期反转效应带来的抵消作用。也就是说，为了更好地测量流动性冲击对股票未来回报率的影响，应当构建经股票当期价格变化调整后的流动性冲击指标。在此基础上，本文发现，经调整后的流动性冲击对股票未来收益具有显著的预测能力。经调整后的流动性冲击越大的股票，在未来有着更高的预期收益率；而经调整后的流动性冲击越小的股票，未来则会产生更低的预期收益率。在控制A股市场上的主要定价因素的影响后，经调整后的流动性冲击指标对股票未来回报率的预测能力仍显著存在。进一步分析表明，在控制了换手率变化和波动率变化等与股票流动性相关的因素后，流动性冲击指标仍然能够显著地预测股票未来回报。

关键词: 市场流动性；短期反转效应；经价格变化调整后的流动性冲击；股票期望收益率；市场定价有效性

Abstract: Previous studies have shown that liquidity is an important pricing factor in stock market. Since there exists substantial time-series variation in stock liquidity, the change of liquidity (i.e., liquidity shock) could also have impact on stock return. Because of market friction, the information contained in the change of liquidity may not be fully reflected in the contemporaneous stock return in the first time. Therefore, it is interesting to examine whether liquidity shock can predict stock return in Chinese A-share market.

Key words: market liquidity; short-term return reversal effect; price-change-adjusted liquidity shock; stock expected return; market pricing efficiency

中图分类号:

F830.91

康文津, 章康. 中国A股市场流动性冲击与股票回报率关系研究[J]. 中国管理科学, 2023, 31(7): 68-77.

KANG Wen-jin, ZHANG Kang. A Study on the Relationship between Liquidity Shock and Stock Return in Chinese A-Share Market[J]. Chinese Journal of Management Science, 2023, 31(7): 68-77.

参考文献

［1］ Keynes J M. The general theory of employment, interest and money［M］. London：Macmillan, 1936.
［2］ Amihud Y, Mendelson H. Asset pricing and the bid-ask spread［J］. Journal of Financial Economics, 1986, 17(2): 223-249.
［3］ Amihud Y. Illiquidity and stock returns: cross-section and time-series effects ［J］. Journal of Financial Markets, 2002, 5(1): 31-56.
［4］ Brennan M J, Subrahmanyam A. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns［J］. Journal of Financial Economics, 1996, 41(3): 441-464.
［5］ Hagstrmer B, Hansson B, Nilsson B. The components of the illiquidity premium: an empirical analysis of US stocks 1927-2010［J］. Journal of Banking & Finance, 2013, 37(11): 4476-4487.
［6］ Amihud Y, Hameed A, Kang Wenjin, et al. The illiquidity premium: international evidence［J］. Journal of Financial Economics, 2005, 117(2): 350-368.
［7］王春峰, 韩冬, 蒋祥林. 流动性与股票回报: 基于上海股市的实证研究［J］. 经济管理, 2002(24): 58-67.Wang Chunfeng, Han Dong, Jiang Xianglin. Liquidity and stock return: an empirical study based on shanghai stock market［J］. Business Management Journal, 2002(24): 58-67.
［8］李一红, 吴世农. 中国股市流动性溢价的实证研究［J］. 管理评论, 2003(11): 34-42.Li Yihong, Wu Shinong. An empirical study on the liquidity premium in Chinese Stock Market［J］. Management Review, 2003(11): 34-42.
［9］ Bali T G, Peng Lin, Shen Yannan, et al. Liquidity shocks and stock market reactions［J］. The Review of Financial Studies, 2014, 27(5): 1434-1485.
［10］鲁臻, 邹恒甫. 中国股市的惯性与反转效应研究［J］. 经济研究, 2007(9): 145-155.Lu Zhen, Zou Hengfu. Research on the inertia and reversal effect in Chinese Stock Market［J］. Economic Research Journal, 2007(9): 145-155.
［11］彭叠峰, 饶育蕾, 雷湘媛. 基于注意力传染机制的股市动量与反转模型研究［J］. 中国管理科学, 2015, 23(5): 32-40.Peng Diefeng, Rao Yulei, Lei Xiangyuan. Research on momentum and reversal model in stock market based on attention contagion mechanism［J］. Chinese Journal of Management Science, 2015, 23(5): 32-40.
［12］ Jegadeesh N. Evidence of predictable behavior of security returns［J］. The Journal of Finance, 1990, 45(3): 881-898.
［13］ Lehmann B N. Fads, martingales, and market efficiency［J］. The Quarterly Journal of Economics, 1990, 105(1): 1-28.
［14］李宏, 王刚, 路磊. 股票流动性能够解释收益反转之谜吗?［J］.管理科学学报, 2016, 19(8): 84-101.Li Hong, Wang Gang, Lu Lei. Can stock liquidity explain the mystery of return reversal?［J］. Journal of Management Sciences in China, 2016, 19(8): 84-101.
［15］ Fama E F, French K R. Common risk factors in the returns on stocks and bonds［J］. Journal of Financial Economics, 1993, 33(1): 3-56.
［16］ Carhart M M. On persistence in mutual fund performance［J］. The Journal of Finance, 1997, 52(1): 57-82.
［17］ Fama E F, French K R. A five-factor asset pricing model［J］. Journal of Financial Economics, 2015, 116(1): 1-22.
［18］李俭富. 指数投资组合加权机制选择研究:市值加权、等权还是基本面价值加权［J］. 中国管理科学, 2014, 22(S1): 375-381.Li Jianfu. Research on the choice of index portfolio weighted mechanism: market value weighted, equal weighted or fundamental value weighted［J］. Chinese Journal of Management Science, 2014, 22(S1): 375-381.
［19］ Liu Jianan, Stambaugh R F, Yuan Yu. Size and value in China［J］. Journal of Financial Economics, 2019, 134(1): 48-69.
［20］陆静, 周媛. 投资者情绪对股价的影响——基于AH股交叉上市股票的实证分析［J］. 中国管理科学, 2015, 23(11): 21-28.Lu Jing, Zhou Yuan. The impact of investor sentiment on stock price: an empirical analysis based on cross-listed stocks of A-H shares［J］. Chinese Journal of Management Science, 2015, 23(11): 21-28.
［21］史永东, 程航. 投资者情绪和资产定价异象［J］. 系统工程理论与实践, 2019, 39(8): 1907-1916.Shi Yongdong, Cheng Hang. Investor sentiment and asset pricing anomalies［J］. Systems Engineering-Theory & Practice, 2019, 39(8): 1907-1916.
［22］郭磊, 吴冲锋. 基于价值分解的CAPM“异常现象”理论解释［J］. 中国管理科学, 2005(1): 15-19.Guo Lei, Wu Chongfeng. Theoretical explanation of CAPM “abnormal phenomenon” based on value decomposition［J］. Chinese Journal of Management Science, 2005(1): 15-19.
［23］周芳, 张维. 中国股票市场流动性风险溢价研究［J］. 金融研究, 2011, 371(5): 194-206.Zhou Fang, Zhang Wei. Research on the liquidity risk premium in Chinese stock market［J］. Journal of Financial Research, 2011, 371(5): 194-206.
［24］胡熠, 顾明. 巴菲特的阿尔法:来自中国股票市场的实证研究［J］. 管理世界, 2018, 34(8): 41-54+191.Hu Yi, Gu Ming. Buffett’s alpha: an empirical study from Chinese stock market［J］. Journal of Management World, 2018, 34(8): 41-54+191.
［25］ Guo Bin, Zhang Wei, Zhang Yongjie, et al. The five-factor asset pricing model tests for the Chinese stock market［J］. Pacific-Basin Finance Journal, 2017, 43: 84-106.
［26］ Fama E F, MacBeth J D. Risk, return, and equilibrium: empirical tests［J］. Journal of Political Economy, 1973, 81(3): 607-636.
［27］ Gervais S, Kaniel R, Mingelgrin D H. The high-volume return premium［J］. The Journal of Finance, 2001, 56(3): 877-919.
［28］苏冬蔚, 麦元勋. 流动性与资产定价: 基于我国股市资产换手率与预期收益的实证研究［J］. 经济研究, 2004, 039(2): 95-105.Su Dongwei, Mai Yuanxun. Liquidity and asset pricing: an empirical study between asset turnover rate and expected return in Chinese stock market［J］. Economic Research Journal, 2004, 039(2): 95-105.
［29］田利辉, 王冠英, 谭德凯. 反转效应与资产定价:历史收益率如何影响现在［J］. 金融研究, 2014, 412(10): 181-196.Tian Lihui, Wang Guanying, Tan Dekai. Reversal effect and asset pricing: how historical yields affect the present［J］. Journal of Financial Research, 2014, 412(10): 181-196.
［30］尹力博, 韦亚, 韩复龄. 中国股市异象的时变特征及影响因素研究［J］. 中国管理科学, 2019, 27(8): 14-25.Yin Libo, Wei Ya, Han Fuling. Research on the time-varying characteristics and influencing factors of anomaly in Chinese stock market［J］. Chinese Journal of Management Science, 2019, 27(8): 14-25.
［31］ Ang A, Hodrick R J, Xing Yuhang, et al. The cross-section of volatility and expected returns［J］. The Journal of Finance, 2006, 61(1), 259-299.
［32］ French K R, Schwert G W, Stambaugh R F. Expected stock returns and volatility ［J］. Journal of Financial Economics, 1987, 19(1): 3-29.
［33］靳云汇, 杨文. 上海股市流动性影响因素实证分析［J］. 金融研究, 2002(6): 12-21.Jin Yunhui, Yang Wen. An empirical analysis on the factors affecting the liquidity in shanghai stock market［J］. Journal of Financial Research, 2002(6): 12-21.
［34］刘维奇, 邢红卫, 张信东. 投资偏好与“特质波动率之谜”——以中国股票市场A股为研究对象［J］. 中国管理科学, 2014, 22(8): 10-20.Liu Weiqi, Xing Hongwei, Zhang Xindong. Resesarch of investment preference and “The mystery of trait volatility”: based on Chinese A-share market［J］. Chinese Journal of Management Science, 2014, 22(8): 10-20.
［35］ Gu Ming, Kang Wenjin, Xu Bu. Limits of arbitrage and idiosyncratic volatility: evidence from China stock market［J］. Journal of Banking & Finance, 2018, 86: 240-258.
［36］ Pástor L, Stambaugh R F. Liquidity risk and expected stock returns［J］. Journal of Political Economy, 2003, 111(3): 642-685.

[1]	尹海员, 吴兴颖. 投资者日度情绪、订单流不均衡与股票流动性[J]. 中国管理科学, 2023, 31(5): 60-70.
[2]	陈淼鑫, 黄振伟. 股价波动的长记忆性与横截面股票收益——基于中国市场的实证研究[J]. 中国管理科学, 2023, 31(4): 1-10.
[3]	梁墨, 李鸿翔, 张顺明. 基于ST预测的财务困境测度与股票横截面收益[J]. 中国管理科学, 2023, 31(2): 138-149.
[4]	何朝林, 张棋翔, 曹旺栋. 基于异质价格信念的金融资产泡沫形成机制[J]. 中国管理科学, 2022, 30(12): 162-173.
[5]	刘超, 郭亚东. 多时间尺度下行业间系统性金融风险溢出及拓扑结构分析[J]. 中国管理科学, 2022, 30(10): 46-59.
[6]	蒋崇辉, 刘林. 惯性因子跟踪策略的有效性：来自中国股票市场的证据[J]. 中国管理科学, 2022, 30(5): 86-97.
[7]	朱莉, 刘向丽, 杨晓光. 投资者情绪影响股指期现货市场的价格动态关系吗？[J]. 中国管理科学, 2022, 30(4): 52-62.
[8]	向诚, 杨俊. 谁在市场中赌博？基金博彩行为研究[J]. 中国管理科学, 2021, 29(11): 224-236.
[9]	沈根祥，张靖泽. 条件异方差动态Nelson-Siegel利率期限结构模型及其应用[J]. 中国管理科学, 2021, 29(10): 1-11.
[10]	陈文博, 陈浪南. 股市投资者对盈余公告的反应——基于博彩偏好的视角[J]. 中国管理科学, 2021, 29(9): 1-11.
[11]	黄诒蓉, 白羽轩. 网络传染是“真羊群”还是“伪羊群”?——网络传染程度对资本市场定价效率的影响[J]. 中国管理科学, 2021, 29(9): 12-24.
[12]	何朝林, 涂蓓, 王鹏. 动态均值-方差资产组合的有效性:时变风险容忍度视角[J]. 中国管理科学, 2021, 29(1): 1-11.
[13]	金秀, 尘娜, 王佳. 安全投资转移视角下的跨行业投资组合模型及实证[J]. 中国管理科学, 2020, 28(11): 12-22.
[14]	陈其安, 张慧, 陈抒妤. 股指期货交易加剧了中国股票市场波动性吗？——基于投资者结构的理论和实证研究[J]. 中国管理科学, 2020, 28(4): 1-13.
[15]	欧阳红兵, 黄亢, 闫洪举. 基于LSTM神经网络的金融时间序列预测[J]. 中国管理科学, 2020, 28(4): 27-35.