流动性能提高套利交易的盈利吗?——基于中国股市的证据
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摘要
本文以新兴市场重要组成部分之一的中国股市为例,对市场总体流动性水平与套利交易盈利能力间的关系进行了深入分析。与成熟资本市场中的状况相反,本文研究发现,在控制了Fama-French三因子后,套利交易的预期盈利随着市场流动性水平的提高而增加,表明市场异象造成的错误定价并不会随着流动性的提高而被投资者的套利交易所纠正,这体现了不成熟市场的特征,且反映了套利的无效率。另外,本文在分析中还考虑了流动性风险和时变因素风险暴露等可能对研究结论造成影响的因素,并且在进一步研究后得到了与前文相一致的结论。
Using the increasingly important Chinese market as a case study, this paper provides an in-depth analysis of the relationship between market liquidity and the profitability of arbitrage transactions for emerging markets. After controlling three Fama-French factors, evidence based on the Chinese stock market shows that expected returns on arbitrage increase as market liquidity rises. These results indicate that market mispricing due to market anomalies is not corrected for by investor arbitrage despite the occurrence of liquidity improvements. This condition reflects the characteristics of an immature market and the presence of arbitrage inefficiency. In addition, the paper considers factors that may influence these findings for the Chinese market, such as liquidity risk and time-varying risk exposure. The results of these additional studies support our previous conclusions.
Using the increasingly important Chinese market as a case study, this paper provides an in-depth analysis of the relationship between market liquidity and the profitability of arbitrage transactions for emerging markets. After controlling three Fama-French factors, evidence based on the Chinese stock market shows that expected returns on arbitrage increase as market liquidity rises. These results indicate that market mispricing due to market anomalies is not corrected for by investor arbitrage despite the occurrence of liquidity improvements. This condition reflects the characteristics of an immature market and the presence of arbitrage inefficiency. In addition, the paper considers factors that may influence these findings for the Chinese market, such as liquidity risk and time-varying risk exposure. The results of these additional studies support our previous conclusions.
引文
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[15] Daniel K D,Moskowitz T J.Momentum crashes[J].Working Paper,2014.
[16] Wang K Q,Xu J.Market volatility and momentum[J].Journal of Empirical Finance,2015,30:79-91.
[17] Pástor L,Stambaugh R F.Liquidity risk and expected stock returns[J].Journal of Political Economy,2003,111(3):642- 685.
[18] Sadka R.Momentum and post-earnings-announcement drift anomalies:the role of liquidity risk[J].Journal of Financial Economics,2006,80(2):309-349.
[19] Asness C S,Moskowitz T J,Pedersen L H.Value and momentum everywhere[J].Journal of Finance,2013,68(3):929-985.
[20] Grundy B D,Martin J S M.Understanding the nature of the risks and the source of the rewards to momentum investing[J].Review of Financial Studies,2001,14(1):29-78.
[21] Korajczyk R A,Sadka R.Are momentum profits robust to trading costs?[J].Journal of Finance,2004,59(3):1039-1082.
[22] Corwin S A,Schultz P.A simple way to estimate bid-ask spreads from daily high and low prices[J].Journal of Finance,2012,67(2):719-760.
[2] McLean R D,Pontiff J.Does academic research destroy stock return predictability?[J].Journal of Finance,2016,71(1):5-32.
[3] Hendershott T,Jones C M,Menkveld A J.Does algorithmic trading improve liquidity?[J].Journal of Finance,2011,66(1):1-33.
[4] Chordia T,Roll R,Subrahmanyam A.Recent trends in trading activity and market quality[J].Journal of Financial Economics,2011,101(2):243-263.
[5] Chordia T,Subrahmanyam A,Tong Q.Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?[J].Journal of Accounting & Economics,2014,58(1):41-58.
[6] 刘骏民,伍超明.虚拟经济与实体经济关系模型——对我国当前股市与实体经济关系的一种解释[J].经济研究,2004(4):60- 69.
[7] Amihud Y.Illiquidity and stock returns:cross-section and time-series effects[J].Journal of Financial Markets,2002,5(1):31-56.
[8] Jegadeesh N,Titman S.Returns to buying winners and selling losers:implications for stock market efficiency[J].Journal of Finance,1993,48(1):65-91.
[9] Rouwenhorst K G.International momentum strategies[J].Journal of Finance,1998,53(1):267-284.
[10] 朱战宇,吴冲锋.考虑卖空限制的动量效应和反向效应模型[J].系统工程理论与实践,2005,25(1):1-11.
[11] 陈蓉,陈焕华,郑振龙.动量效应的行为金融学解释[J].系统工程理论与实践,2014,34(3):613- 622.
[12] 吴福龙,曾勇,唐小我.羊群效应理论及其对中国股市的现实意义[J].预测,2003,22(2):62- 68.
[13] 马丽.中国股票市场羊群效应实证分析[J].南开经济研究,2016(1):144-152.
[14] Cooper M J,Gutierrez R C,Hameed A.Market states and momentum[J].Journal of Finance,2004,59(3):1345-1365.
[15] Daniel K D,Moskowitz T J.Momentum crashes[J].Working Paper,2014.
[16] Wang K Q,Xu J.Market volatility and momentum[J].Journal of Empirical Finance,2015,30:79-91.
[17] Pástor L,Stambaugh R F.Liquidity risk and expected stock returns[J].Journal of Political Economy,2003,111(3):642- 685.
[18] Sadka R.Momentum and post-earnings-announcement drift anomalies:the role of liquidity risk[J].Journal of Financial Economics,2006,80(2):309-349.
[19] Asness C S,Moskowitz T J,Pedersen L H.Value and momentum everywhere[J].Journal of Finance,2013,68(3):929-985.
[20] Grundy B D,Martin J S M.Understanding the nature of the risks and the source of the rewards to momentum investing[J].Review of Financial Studies,2001,14(1):29-78.
[21] Korajczyk R A,Sadka R.Are momentum profits robust to trading costs?[J].Journal of Finance,2004,59(3):1039-1082.
[22] Corwin S A,Schultz P.A simple way to estimate bid-ask spreads from daily high and low prices[J].Journal of Finance,2012,67(2):719-760.