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论文编号：	909
作者编号：	2120071964
上传时间：	2009/5/22 22:32:49
中文题目：	中小企业板股票流动性与资产定价
英文题目：	Empirical Research on the Rela
指导老师：	古志辉
中文关键字：	流动性;资产定价;中小企业板;相<
英文关键字：	Liquidity;Asset Pricing;Small
中文摘要：	流动性是证券市场的生命力所在，是衡量资本市场成熟与否的重要标志之一。流动性是有风险的，所以会对资产定价产生一定的影响，这种关系已经在广泛的研究中得到证实。随着我国资本市场的快速发展和逐步成熟，越来越多的投资者注意到市场流动性的重要性及其对资产定价产生的影响。因此，如何准确地界定流动性以及资产流动性的高低对资产的价格有何影响一直是是理论界和市场投资者都很关注的问题。 我国的股市有着特殊之处，投机气氛浓重、交易频繁。那么在这样的市场中，流动性与股票回报率之间具有什么样的关系呢？本文就从研究中小企业板的流动性与资产定价的关系出发，在研究中使用换手率作为流动性的度量指标，实证检验了中国中小企业板市场的流动性及其波动率与股票收益率的关系。 本文分为五部分，第一部分为引言，作为全文的概括介绍。第二部分为流动性与资产定价的相关理论综述，主要总结流动性理论和资产定价理论的研究成果。第三部分介绍了本文的实证研究设计模型和思路。第四部分介绍了本文的实证研究结果。最后为本文的研究结论和建议部分。本文用换手率作为度量流动性指标。首先研究中小板股票换手率与收益率的关系，然后在研究中逐步引入了波动率和Fama-French三因素模型中市账比等其他影响收益率的因素。通过对流动性与股票收益率的相关关系的模型的实证分析，研究发现，流动性与股票收益率存在显著的正相关关系，并通过进一步研究发现波动率和市净率等因素也对股票收益率有显著影响，因此它们也是投资者进行股票定价时所应该考虑的重要因素。最后还认为在中小板的股票市场上，并不存在被普遍认同的流动性效应。本文着重对这一实证检验的结果做了基于中国中小企业板股市特性的解释和分析，并对这一问题提出了政策建议。
英文摘要：	Liquidity is the vitality of the securities market which can measure the capital markets are whether ripe or not. It is risky for liquidity asset so the assest price will be influenced by the liquidity effect. This relationship has been widely studied by many researchers in China and aboard. As China's capital market and gradually develop and mature, an increasing number of investors look upon of the importance of market liquidity and its impact on asset pricing implications. How to accurately define the liquidity and asset liquidity affects the level of asset prices have been the focus problems by the theoretical researchers and market investors. China's stock market has its own characteristics by strong speculative atmosphere and frequent transactions.Therefore, in this market, what kind of relationship exists between the liquidity and volatility of equity returns.This paper studies from the mobility of small and medium-sized version of the market, using exchange rate as a measure of liquidity indicators, and do research on the relationship between the rate of return of stock prices and the exchange rate. This paper is divided into five main sections, the first part is the introduction,as an overview of the full text. The second part is relevant therory about Liquidity and Asset Pricing Theory, which introduces the main summary of some of the liquidity theory of asset pricing theory and the meaning of the relevant domestic and foreign liquidity and asset pricing theory and research. The third part mainly introduces the research models and design.Part IV introduces the model constructed in this article and described the process of empirical research in details. Finally, some of the conclusions and recommendations are given for the research of this paper.First of all, empirical studies are carried out for small and medium-sized Market exchange rate and stock yield the relationship in the process of the study and then gradually introduce volatility and Fama-French three factors model to research on the impact of stock returns of the factors through the Liquidity and stock returns of the correlation between the model of empirical analysis.The research results show that liquidity and stock resturns is expected to exist between yield significant positive correlation between, and through further research, such as volatility and NET PE factors on stock returns have a significant impact on asset pricing, so they are also very important factors that investors should consider.Finally as the conclusion that in the Chinese stock market, it does not exist the liquidity effect,which is generally recognized as the higher the liquidity of stock with the higher yield. As for the fluctuations in the rate of mobility, empirical tests have proved that the result of fluctuations in liquidity and yield the inverse relationship, that is, the mobility of the increase in volatility will reduce the rate of stock returns. So this article focuses on the empirical results of tests on the base of the Chinese stock market characteristics of the SME board's explanation and analysis, and the last part supply some recommendations according to the problems that exist in the Chinese stock market.
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