中国股票市场回报与流动性溢价研究

论文总字数：62902字

摘 要

流动性溢价理论表明：资产流动性的高低是决定其价格的一个关键因子，同时也是投资者进行决策的重要依据。对于股票市场而言，一般认为为了补偿持有流动性差的股票而可能面临的流动性风险，该股票的预期回报应当比流动性好的股票高，即预期回报与流动性之间呈负相关关系，表明存在流动性溢价现象。本文研究流动性对中国股票市场回报的影响，选取了2000年1月到2015年12月期间股票市场中的上证指数(1A0001)、深证成指(399001)、中小板指数(399005)以及创业板指数(399006)来计算指数收益率作为市场回报衡量指标，分别以成交额/股票市价总值和成交额/GDP作为流动性指标，运用随机效应模型(REM)以及差分广义矩估计(Difference-GMM)进行实证分析。结果表明：中国股票市场回报与流动性之间成正相关，与流动性溢价理论并不相符。进一步地用主板市场与中小创市场进行对比时，发现中小创市场中流动性对市场回报的正向作用更大，即相对大公司而言，小公司股票回报更加依赖流动性。此外，再贴现率与股票市场回报成显著负相关，MSCI全球指数回报与股票市场回报呈正相关关系。总体而言，经过控制后动态面板的结果更为稳健。

关键词：股票市场回报；流动性；面板数据；差分广义矩估计

China's stock market returns and liquidity premia

Abstract

The liquidity premium theory indicates that liquidity is a key factor in determining the price of assets, and is also an important gist for investors to make decisions. For the stock market, it is generally believed that for the compensation of holding illiquid stock, which is associated with liquidity risk, the expected returns of stock should be higher than that of better liquid stock. It shows a negative correlation relationship between expected returns and liquidity, indicating a liquidity premium phenomenon. This paper studies the influence of liquidity on China's stock market returns and chooses January 2000 to December 2015 as study period. For the indicators of market returns, the paper uses Shanghai composite index(1A0001), Shenzhen component index(399001), SSE SME composite index(399005) and GEM index(399006) to calculate the index yields, with stocks traded/market capitalization and stocks traded/GDP acting as liquidity indicators. What's more, this paper chooses random effect models(REM) and differenced generalized method of moments(Difference-GMM) as empirical methods. The results show that China's stock market returns are positively related with liquidity, which does not conform to the liquidity premium theory. When comparing the main board market with SME and GEM, the results indicate that in the latter markets stock liquidity has a greater positive effect on the market returns, which means that relatively small company stock returns are more dependent on liquidity. In addition, rediscount rate and stock market returns exhibit a significantly negative correlation. MSCI world index return is positively associated with stock market returns. Overall, the results on controls are more robust in dynamic panels.

Keywords: Stock market returns; Liquidity; Panel data; Difference-GMM

目 录

摘 要 I

Abstract II

第一章 绪论 1

1.1研究背景和意义 1

1.1.1研究背景 1

1.1.2研究意义 2

1.2研究内容和研究方法 3

1.2.1研究内容 3

1.2.2研究方法 4

1.3本文创新之处 4

第二章 文献综述 6

2.1国外文献综述 6

2.2国内文献综述 7

第三章 数据与实证方法 9

3.1变量及数据说明 9

3.2实证方法 13

3.2.1随机效应模型(REM) 13

3.2.2差分广义矩估计(Difference-GMM) 14

第四章 实证结果与分析 17

4.1中国整体股票市场回报与流动性溢价 17

4.1.1静态面板分析 17

4.1.2动态面板分析 20

4.2主板市场与中小创市场规模效应对比 23

第五章 结论与相关建议 30

5.1结论 30

5.2相关建议 30

5.3本文不足之处及相应期望 31

致谢 32

参考文献 33

附录 36

第一章 绪论

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