摘要
本文根据我国A股市场股票的日交易数据计算出市场非流动性比率的时间序列,采用ARMA-GARCH族模型建立我国股票市场流动性AR(1-TARCH(1,1))模型。结果表明,我国股票市场流动性具有持久性,流动性成本可以预测收益。此外,我国股票市场流动性的波动具有非对称性。
This study employs the Amihud illiquidity measurement to surgate liquidity and calculates the time series of monthly market illquidity rate based on the daily trade data of A-shares listed on the Chinese stock markets. This study then models the market liquidity time series with the ARMA-GARCH family models and derive AR(1) –TARCH(1,1). The results show that total liquidity in Chinese stock market is characterized by persistency, which implies that returns are predictable. The results also reveal that the volatility of market liquidity is asymmetric.
出处
《财会通讯（下）》
2011年第8期130-133,136,161,共6页
Communication of Finance and Accounting
基金
国家社科基金青年项目"稳定资本市场与扩大消费问题研究"(项目编号:09CJY083)与集美大学科研基金阶段性成果
