Asset Pricing and Liquidity of Chinas Stock Market Based on Panel Data

摘要：

Many studies of the Liquidity Premium Theory(LPT) find out the liquidity has an obvious effect on stocks expected return,but the results are different.As until now there is no research about LPT on the Shenzhen stock market in China,this paper uses turnover and illiquidity as the proxies of the stock liquidity level to test whether the LPT exists in the Shenzhen stock market or not.Based on panel data,the empirical results show that the liquidity and return are positively related in the Shenzhen stock market,which is contrary to the LPT,and that the ratio of earningsto-price effect and the size effect do not exist in the Shenzhen Stock market.

关键词： Liquidity Premium Theory Market Microstructure Panel Data

作者: Hua Zhao

作者单位: Department of Finance,School of Economics,Xiamen University

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 149-154

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）