证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2008年
2期
73~77
,共null页
系统流动性 市场微观结构 规模效应
繫統流動性 市場微觀結構 規模效應
계통류동성 시장미관결구 규모효응
commonality in liquidity; market microstructure; size effecl
1997年的亚洲金融危机显示出个股的流动性受到市场因素的强烈影响，市场微观结构的研究开始更多地关注市场的系统性因素。本文以上海证券交易所全部A股的日交易数据为样本，证实了我国大陆股市存在系统流动性，与美国、香港股市相比，这一因素的影响更显著；根据流通股每年的流通市值分组检验，发现我国大陆股市与香港股市相似，存在着“倒U”形态的规模效应；与发达股票市场不同，我国腹市系统流动性的显著性比例与流通市值无明显的单调关系。
1997年的亞洲金融危機顯示齣箇股的流動性受到市場因素的彊烈影響，市場微觀結構的研究開始更多地關註市場的繫統性因素。本文以上海證券交易所全部A股的日交易數據為樣本，證實瞭我國大陸股市存在繫統流動性，與美國、香港股市相比，這一因素的影響更顯著；根據流通股每年的流通市值分組檢驗，髮現我國大陸股市與香港股市相似，存在著“倒U”形態的規模效應；與髮達股票市場不同，我國腹市繫統流動性的顯著性比例與流通市值無明顯的單調關繫。
1997년적아주금융위궤현시출개고적류동성수도시장인소적강렬영향，시장미관결구적연구개시경다지관주시장적계통성인소。본문이상해증권교역소전부A고적일교역수거위양본，증실료아국대륙고시존재계통류동성，여미국、향항고시상비，저일인소적영향경현저；근거류통고매년적류통시치분조검험，발현아국대륙고시여향항고시상사，존재착“도U”형태적규모효응；여발체고표시장불동，아국복시계통류동성적현저성비례여류통시치무명현적단조관계。
Events such as the 1997 East Asian financial crisis indicate that individual firm liquidity is strongly influenced by market. Recent emphasis of microstructure research has shifted toward commonality by examining systematic factor in securities markets. This paper exams all daily transaction data of A-share stocks in Shanghai Stock Exchange, and finds that comparing with NYSE and Hong Kong Stock Exchange, the Chinese stock market has more significant commonality in liquidity. Moreover the data reveals that the systematic liquidity has inverted ＂U shape＂ when we categorize the firms into five portfolios based on yearly market capitalization. Finally, the sensitivity to liquidity doesn＇t have a significant monotonic relationship with capitalization for A-share stocks in Shanghai Stock Exchange.
