摘要
流动性是指连续交易对价格的冲击程度。因此,股票的流动性会导致收益率的变动。本文利用创业板市场上的交易数据,选择了非流动性、流动股的月换手率、Martin流动性比率指标作为衡量股市流动性的因子,采用面板数据分析方法对股票市场流动性对收益率的影响进行实证分析。分析结果表明,非流动性指标ILLIQ、换手率TURN、Martin比率作为流动性因子时,创业板市场都存在明显的流动性溢价现象。
Liquidity refers to the continuous trade of the impact of the price level. Therefore, the liquidity of the stock will lead to the change of rate yield. This paper uses the Growth Enterprises Marke＇ s transaction data, choose the illiq- uid, flow strands of month turnover rate, Martin liquidity ratio index as measure of the stock market liquidity factors and using panel data to analyse the stock market liquidity to the influence of yield. The analysis results show that when Illiq- uid index ILLIQ, turnover rate TURN, Martin ratio are as liquidity factor, Growth enterprise market is of obvious liquid- ity premium phenomenon.
出处
《贵州商业高等专科学校学报》
2013年第3期30-33,共4页
Journal of Guizhou Commercial College
关键词
流动性
收益率
关系
Liquidity
Yield
Relationship
