上海股票交易市场流动性与资产定价的实证研究

综合运用国外流动性与资产定价理论与方法,建立了修正的流动性—资产定价模型,并根据此模型对上海股票交易市场进行经验实证分析。研究发现,在上海股票交易市场这样一个新兴的证券市场中,流动性也是影响资产定价的重要因素,在流动性的价格形成机制中,交易成本是影响价格的主要原因。

Liquidity and Assets Pricing:A Research of the Stock Market in Shanghai

Liquidity is the financial research front emerged in western developed financial markets in recent two decades.It is regarded as the most important thing of the financial markets.Moreover,the research on liquidity and assets pricing has becoming the hot spot in recent years in financial theory.So we make an attempt to analyze on this problem on the stock market in Shanghai.We find that there exists an illiquidity premium of the stock market in Shanghai,and liquidity is one of the important factors on assets pricing.The transaction cost is the mainly factors resulting in market liquidity affects on the stock market in Shanghai.