【摘要】：股票市場的流動性和收益之間的關系一直以來都受到了學術(shù)界的廣泛關注。在本文當中,我們通過Spearman相關系數(shù)和VAR模型的方法對我國股票市場的收益率和主要流動性指標進行了相關性分析。結(jié)果發(fā)現(xiàn),我們所選取的幾種流動性指標和收益率之間都存在著一定的因果關系,也就是說我國股市存在流動性溢價。
[Abstract]:The relationship between stock market liquidity and returns has been widely concerned by academia. In this paper, we use Spearman correlation coefficient and VAR model to analyze the correlation between the return rate and the main liquidity index of Chinese stock market. The results show that there is a causal relationship between several liquidity indicators and the return rate, that is, there is a liquidity premium in China's stock market.
【作者單位】： 南開大學經(jīng)濟學院;
【分類號】：F224;F832.51

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相關期刊論文 前8條

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本文編號：2142241