本文選題：流動(dòng)性 + 流動(dòng)性溢價(jià)��； 參考：《暨南大學(xué)》2013年碩士論文

【摘要】：流動(dòng)性問題的研究一直是資本市場一個(gè)比較有爭議但十分有意義的熱點(diǎn)領(lǐng)域。自1986年Amihud提出流動(dòng)性溢價(jià)理論以來，開辟了流動(dòng)性研究的新篇章，并成為了資本資產(chǎn)定價(jià)日趨完善的一個(gè)里程碑。不僅如此，規(guī)模效應(yīng)、價(jià)值效應(yīng)及動(dòng)量效應(yīng)這樣的“異象”，也陸續(xù)成為了人們的關(guān)注點(diǎn)。本文出于豐富流動(dòng)性問題的研究和檢驗(yàn)“異象”效應(yīng)真實(shí)性的目的，以截至2005年1月在我國正常上市的所有股票為研究對象，以2005年1月1號至2012年9月31號為樣本區(qū)間，選取具有代表性的換手率TR、Amihuid比率R/V的絕對值及AF比率R/TR的絕對值為流動(dòng)性度量指標(biāo)，首先從個(gè)股角度對比，檢驗(yàn)了他們與規(guī)模的spearman等級相關(guān)系數(shù)，結(jié)果表明R/V與規(guī)模高度負(fù)相關(guān)，R/TR與規(guī)模的相關(guān)性很微弱，TR與規(guī)模不相關(guān)；其次從構(gòu)建組合收益率角度出發(fā)，比較它們與組合收益率的關(guān)系，發(fā)現(xiàn)R/V和R/TR構(gòu)建的組合收益率能夠證明流動(dòng)性溢價(jià)效應(yīng)的存在，而基于TR構(gòu)建的組合收益率則表現(xiàn)不明顯；再者，，本文還分析了大盤流動(dòng)性的時(shí)間趨勢，首次發(fā)現(xiàn)以R/V和R/TR代表的非流動(dòng)性的高峰轉(zhuǎn)折點(diǎn)與重大事件有著高度的關(guān)聯(lián)性。 更為重要的是，本文針對金融、保險(xiǎn)行業(yè)的上市股，建立了流動(dòng)性擴(kuò)展的CAPM、FamaFrench和Carhart模型，并進(jìn)行了少有人使用的個(gè)體固定效應(yīng)面板數(shù)據(jù)回歸模型，得到如下結(jié)論：用R/V和R/TR代表流動(dòng)性因子，流動(dòng)性溢價(jià)現(xiàn)象顯著（與流動(dòng)性溢價(jià)理論相符），且資產(chǎn)預(yù)期超額收益對R/V最為敏感，R/TR次之；而用TR代表流動(dòng)性因子，則不能得到這樣的結(jié)論（與流動(dòng)性溢價(jià)理論不符）。本文的最后一部分，將對本文的主要結(jié)論進(jìn)行歸納和總結(jié)，最后提出相關(guān)建議與展望。
[Abstract]:The study of liquidity has always been a controversial but significant hot area in capital markets. Since Amihud put forward the theory of liquidity premium in 1986, it has opened a new chapter in the study of liquidity, and has become a milestone in capital asset pricing. Not only that, the scale effect, value effect and momentum effect have become the focus of attention one after another. In order to study and test the validity of "abnormal vision" effect, this paper takes all the stocks listed in our country as the research object and the sample interval from January 1, 2005 to September 31, 2012. The absolute value of R / V and AF ratio R/TR are selected as liquidity metrics. Firstly, the correlation coefficient between them and the scale of spearman grade is tested from the perspective of individual stock. The results show that the correlation between R / V and scale is very weak and the relationship between R / TR and scale is very weak. Secondly, from the perspective of constructing portfolio return, the relationship between R / TR and portfolio return is compared. It is found that the yield of portfolio constructed by R / V and R/TR can prove the existence of liquidity premium effect, but the return rate based on tr is not obvious. Furthermore, the paper also analyzes the time trend of liquidity in the market. For the first time, it is found that the peak turning point of illiquidity represented by R / V and R/TR is highly correlated with major events. More importantly, aiming at the listed stocks in finance and insurance industry, this paper establishes the liquidity expansion model of CAPM Fama French and Carhart, and carries out the individual fixed effect panel data regression model which is seldom used. The conclusions are as follows: using R / V and R/TR to represent the liquidity factor, the liquidity premium phenomenon is significant (consistent with the liquidity premium theory, and the expected excess return of assets is most sensitive to R / V), while the liquidity factor is represented by tr. You can't get such a conclusion (not consistent with liquidity premium theory). In the last part of this paper, the main conclusions are summarized and some suggestions and prospects are put forward.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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