摘要
从20世纪80年代以来,流动性问题一直是现代微观金融领域的研究热点。本文以中国证券市场流动性为研究对象,在厘清流动性概念与构建流动性综合测度指标的基础上,构建证券价格差异的流动性模型,提出流动性价值(LVA)概念,并利用中国证券市场数据比较系统深入地研究证券流动性价值及其影响因素。同时,针对中国证券市场流动性相对不足的现状,实证探讨信用交易机制对市场流动性提升的实际功效,为中国证券市场引入信用交易机制提升市场流动性水平提供经验证据。本文内容主要涉及证券流动性价值模型、证券流动性价值实证以及提升证券市场流动性的交易机制等。本文主要工作及研究结论如下:
首先,本文利用修正的D-G-M模型,将证券交易数量、证券流动性水平以及证券市场流动性水平引入到证券价格函数中,构建证券价格差异的流动性模型,从流动性角度探讨证券价格溢价问题。研究结果表明,股票流动性水平与股票市场流动性水平是股票溢价的重要影响因素,从理论上证明证券流动性具有价值,并据此提出证券流动性价值的测算方法。模型推导结果表明,证券流动性价值受证券自身流动性水平、证券市场流动性水平以及证券交易数量等因素影响。本文还从理论上证明证券流通性具有价值,股票流通性价值受流通股价格波动性与股票流通受限期限等因素影响。
其次,根据证券流动性价值模型推导的相关结论,本文利用中国证券市场大宗交易股票、双重上市A、B股股票以及协议转让的非流通股票实证分析证券流动性价值及其影响因素。具体的实证研究结果如下:
1.沪深证券交易市场大宗交易股票的实证结果表明,由于大宗交易股票与正常交易时间段内集中竞价交易股票的差异仅在于两者交易数量以及因交易数量差异引致对流动性需求的差异,因此,两者价格差异可以视为流动性价值。实证结果表明,大宗交易股票流动性价值水平显著大于零,同时,大宗交易股票流动性价值水平受大宗交易股票数量、正常交易时间段内股票流动性水平、正常交易时间段内股票市场流动性水平以及正常交易时间段内股价波动性等因素影响。
2.沪深证券交易市场双重上市交易的A、B股股票实证结果表明,在B股对境内投资者开放前,A、B股的价差率相对较高,2001年B股对境内投资者开放后,价差率显著缩小,并在随后年份中一直维持在较小的变动区间内。A、B股的流动性相对水平以及A、B股市场的流动性相对水平可以解释A、B股之间的价格差异,研究结果支持A、B股价格差异的流动性假说理论。同时,根据流动性因素对A、B股价差率的解释能力,本文推算出双重上市交易股票的流动性价值,在B股对境内投资者开放前,流动性价值相对较高;在B股对境内投资者开放后,流动性价值显著下降,但维持在较窄的波动区间内。另外,实证结果还表明,A、B股交易数量的相对水平也是显著影响其价格差异的重要因素。
3.沪深证券交易市场协议转让的非流通股票实证结果表明,在样本研究期间内,股票流通性价值呈递减趋势,上海证券市场股票流通性价值略低于深圳证券市场;股票流通性价值影响因素的实证结果表明,流通股市场流动性水平显著影响流通性价值,但流通股流动性水平以及流通股价格波动性对股票流通性价值没有显著影响,表明由于流通股与非流通股市场存在显著分割,流通股在二级市场中的交易特性无法显著影响非流通股交易价格,从而无法影响流通性价值。另外,公司规模、经营业绩与分红水平等公司基本面因素显著影响股票流通性价值。
再次,本文利用流动性综合测度指标对中国股票市场流动性现状进行实证分析。研究发现,中国股票市场流动性水平显著弱于境外成熟市场与周边新兴市场,整个市场仍然处于流动性相对不足状态。同时,本文对中国股票市场相关交易制度的变更进行梳理,并实证分析交易制度变更对市场流动性水平的影响,实证结果表明,中国股票市场中交易制度变更显著影响市场流动性水平,宽松的交易制度有助于降低投资者的交易成本,从而有利于提高整个股票市场的流动性水平。
最后,针对中国证券市场流动性水平相对不足的现状以及交易制度显著影响市场流动性水平的实证结果,本文建议引入信用交易机制提升中国证券市场流动性水平,并利用台湾与香港股票市场的信用交易数据,从理论分析与经验证据两方面研究信用交易机制对股票市场流动性水平的影响。实证结果表明,融资买空交易有助于提升股票市场流动性水平,而融券卖空交易由于受到证券监管部门的严格控制,对整个市场的流动性水平没有显著影响,这些实证结果为中国证券市场引入信用交易机制提升市场流动性水平提供了经验证据。
Since 1980’s, research on liquidity has been the foucs of modern micro finance. After clarifying the concept of liquidity and constructing liquidity compound measure indicator, this dissertation puts forward the concept of liquidity value added (LVA) based on the liquidity model of securities price difference, and then discusses the LVA and its influence factors with the data from China’s stock market in detail. At the same time, umder the background of liquidity shortage in China’s stock market, this dissertation also explores the real function of margin trading system on liquidity enhancement, and the empirical results provide the evidence for China’s stock market in establishing margin trading system to enhance market liquidity. In general, this dissertation analyzes the securities LVA model, evidence of securities LVA and trading system of enhancing market liquidity. The main parts and conclusions of this dissertation are as follows:
Firstly, this dissertation constructs the liquidity model of securities price difference to analyze the problem of securities premium based on the adjusted D-G-M model, and the model also puts the securities trading volume, securities liquidity and securities market liquidity into the price function. The model shows that stock liquidity and stock market liquidity are the fundamental factors influencing stock price,thus the model proves that securities LVA exists. And LVA is affected by such factors as securities liquidity, securities market liquidity and securities trading volume. According to the model, this dissertation also gives the method on how to calculate LVA. Additionally, this dissertation proves that stock marketability value also exists and its value is influenced by stock price volatility and restricted term.
Secondly, based on the conclusions obtained from the liquidity model of securities price difference, this dissertation analyzes LVA and its influence factors with the data of block trading shares, dual-listed A-B shares and non-tradable transfer shares in China’s stock market. The detailed results are listed as follows:
1. The difference between the stock in block trading market and that in call auction market lies on the trading volume difference and the liquidity demand difference aroused by the trading volume difference, so the price difference between stock in block trading market and that in call auction market can be regarded as LVA. The empirical research on block trading stock reveals that LVA is remarkably larger than zero in Shanghai and Shenzhen stock market, and LVA is significantly affected by such factors as block trading volume, stock liquidity in call auction market, stock market liquidity in call auction market and stock price volatility in call auction market.
2. The price difference rate between A-B share of dual-listed companies in Shanghai and Shenzhen stock market is very large before the B-share market opened to domestic residents in 2001. But in the following years, the price difference rate has decreased sharply and maintains a narrow scope. The relative liquidity of A-B share stock and relative liquidity of A-B share stock market can explain the A-B share price difference, so the results support the Liquidity Difference Theory on A-B share price difference. This dissertation also calculates the LVA of dual-listed stock with the explanation capability of liquidity factors, and the LVA is also very large before 2001, but it has decreased and keeps a narrow scope in the following years. The empirical research also proves that relative trading volume of A-B share is another important factor influencing the A-B share price difference.
3. The empirical study on non-tradable shares transfer shows that the marketability value appears the trend of decreasing in the sample period. The marketability value in Shanghai stock market is a little less than that in Shenzhen stock market. Stock market liquidity affects marketability value significantly, while stock liquidity and stock price volatility have no significant effects on marketability value. Because the obvious segmentation of tradable shares market and non-tradable shares market, the trading features of tradable shares can not affect the non-tradable shares transfer price. In addition, the fundamental factors of listed company such as company scale, company performance and dividend level influence the marketability value remarkably.
Thirdly, using the liquidity compound measure indicator, this dissertation analyzes China’s stock market liquidity, and the result indicates that China’s stock market liquidity is weaker than that of developed markets and other emerging markets. In other words, China’s stock market liquidity is in the state of shortage. Then, this dissertation summarizes the changes of trading system in China’s stock market, and examines the impact of trading system changes on market liquidity. The evidence indicates that trading system changes in China’s stock market affect market liquidity evidently, and the loose trading system is apt to decrease the investor’s transaction cost and increase market liquidity.
Finally, based on the current situation of market liquidity shortage and the result that trading system affects market liquidity, this dissertation suggests that margin system be established in China’s stock market to enhance market liquidity. And the empirical research with the margin trading data from Taiwan and Hong Kong stock market reveals that margin purchase can enhance market liquidity, while the short sale can not affect market liquidity because of the strict regulation. So the empirical results provide the evidence for China’s stock market to establish margin trading system to enhance market liquidity.
引文
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