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中国管理科学

中国管理科学 ›› 2007, Vol. 15 ›› Issue (2): 33-38.

• 论文 • 上一篇    下一篇

中国股市总流动性与资产定价关系实证研究

罗登跃1,2, 王春峰1, 房振明1   

  1. 1. 天津大学管理学院 天津300072;
    2. 山东大学管理学院 山东济南250100
  • 收稿日期:2006-03-15 修回日期:2007-02-05 出版日期:2007-04-30 发布日期:2007-04-30
  • 作者简介:罗登跃(1972- ),男(汉族),山东新泰人,山东大学管理学院讲师,天津大学管理学院博士研究生,研究方向:金融工程与金融风险管理.
  • 基金资助:

    国家杰出青年科学基金资助项目(70225002);教育部优秀青年教师教学科研奖励基金资助项目

An Empirical Research on the Relationship between Aggregate Liquidity and Asset Pricing in China Stock Market

LUO Deng-yue1,2, WANG Chun-feng1, FANG Zhen-ming1   

  1. 1. School of Management, Tianjin University, Tianjin 300072, China;
    2. School of Business & Management, Shandong University, Jinan 250100, China
  • Received:2006-03-15 Revised:2007-02-05 Online:2007-04-30 Published:2007-04-30

PDF (PC)

2087

被引次数

71

摘要： 我们建立了一个包含市场风险和两种流动性风险的三因素资产定价模型,研究中国股市总的市场流动性风险是否在资产定价中得到了反映,其中流动性风险包括用协方差度量的市场收益对总流动性的敏感性风险和用方差度量的总流动性的波动性风险。研究结果表明,中国股市不仅存在显著的市场风险溢价,而且存在显著的流动性风险溢价,而流动性风险中市场收益对总流动性的敏感性风险对资产定价的影响更为显著。

关键词: 流动性风险, 市场风险, 风险溢价, 资产定价

Abstract: In this study, to examine whether aggregate market liquidity risk is priced in China Stock Market, we build a three-factor asset pricing model, in which market risk and two kinds of liquidity risk are inchided. The two kinds of liquidity risk mean market return sensitivity to market aggregate liquidity, which risk is measuredby their covariance, and volatility of market aggregate liquidity, which risk is measured by its variance. The findings show that there are both market risk premium and liquidity risk premium,while risk premium of market return sensitivity to aggregate liquidity is more significant in the two kinds of liquiditv risk.

Key words: liquidity risk, market risk, risk premium, asset pricing

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