中国股市流动性风险测度及风险溢价渠道

doi:10.3969/j.issn.1005-6378.2018.05.011

河北大学学报(哲学社会科学版) ›› 2018, Vol. 43 ›› Issue (5): 85-96.DOI: 10.3969/j.issn.1005-6378.2018.05.011

中国股市流动性风险测度及风险溢价渠道

李延军,金相杉

河北工业大学经济管理学院, 天津 300401

收稿日期:2018-07-10 出版日期:2018-09-25 发布日期:2018-09-25
基金资助:
河北省高等学校创新创业教育教学改革研究与实践项目(2017CXCY012);河北省教育厅人文社会科学研究重大课题攻关项目(ZD201717)

Liquidity Risk Measurement and Risk Premium Channels in Chinese Stock Market

LI Yan-jun, JIN Xiang-shan

School of Economics and Management, Hebei University of Technology, Tianjin 300401, China

Received:2018-07-10 Online:2018-09-25 Published:2018-09-25

摘要/Abstract

摘要： 对流动性风险来源及溢价渠道的研究,有助于投资者认识并管理流动性风险。运用流动性调整的资本资产定价模型(LCAPM),选取沪深股市2006年1月到2017年12月共计144个月300支股票的数据为样本,对我国股市流动性风险溢价效应与三种溢价渠道进行计量分析。结果表明:相较于其他市场风险,流动性风险对我国股票期望收益率的影响更为显著;三种流动性风险中个股流动性成本对市场收益率的敏感度最为重要,是流动性风险溢价的主要渠道,而另外两种风险渠道的影响相差不大。同时,中国股票市场也存在“flight to liquidity”现象,在市场整体流动性降低时,投资者会选择将投资资金从流动性低的股票转移到流动性高的股票中,使流动性较差股票的价格急剧下降。

关键词: LCAPM, 流动性成本, 流动性风险, 风险溢价

Abstract: The study of sources of liquidity risk and premium channels helps investors to understand and manage liquidity risks. This paper selects 300 stocks in 144 months from January in 2006 to December in 2017 in Shanghai and Shenzhen stock markets as a sample, uses the liquidity-adjusted capital asset pricing model(LCAPM)to analyze the liquidity risk premium and premium channels in Chinas stock market. The results show that compared with the market risk, the liquidity risks have a more significant impact on the expected return of Chinas stocks, and the sensitivity of individual stock liquidity to the market return is the most important among the three liquidity risks, which is an important channel of liquidity risk premium. And there is little difference between the influence of two other channels. At the same time, the phenomenon of “flight to liquidity” also exists in the Chinese stock market. When the overall liquidity of the market declines, investors will choose to transfer investment funds from stocks with low liquidity to stocks with high liquidity, making the price of stocks with low liquidity drop sharply.

Key words: LCAPM, liquidity cost, liquidity risk, risk premium

中图分类号:

F832.51

李延军,金相杉. 中国股市流动性风险测度及风险溢价渠道[J]. 河北大学学报(哲学社会科学版), 2018, 43(5): 85-96.

LI Yan-jun, JIN Xiang-shan. Liquidity Risk Measurement and Risk Premium Channels in Chinese Stock Market[J]. JOURNAL OF HEBEI UNIVERSITY (Philosophy and Social Science), 2018, 43(5): 85-96.

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中国股市流动性风险测度及风险溢价渠道

Liquidity Risk Measurement and Risk Premium Channels in Chinese Stock Market

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