我国上市银行股票流动性分析
摘要
流动性是衡量市场微观结构绩效最重要的标准,是“市场的一切”。证券市场是宏观经济的晴雨表,而上市银行则是证券市场的晴雨表。开展关于上市银行股票流动性的研究,有助于投资者正确认识银行股的市场属性,进行理性投资；也有助于管理层更加重视和提升银行股的蓝筹股效应。
本文除导论外共分为四个部分。导论部分首先简述了选题的背景与意义,然后回顾了流动性研究的相关文献,接着阐述了本文的研究方法和思路,最后针对本研究可能存在的创新之处和不足之处做出了说明；论文第一部分研究了流动性的刻画,首先简述了流动性的定义即流动性的四维,接着研究了不同市场制度下的流动性供求机制,最后界定了本文流动性的定义；论文第二部分确立了流动性度量的指标体系,首先回顾了现有的各种流动性度量方法,然后对这些方法做出评价,最后在此基础上确立了本文流动性度量的指标体系；论文第三部分对上市银行股票流动性进行评价,选择我国14家上市银行2009年第三季度的股票日交易数据作为样本计算了这些股票的平均日流动性,并对计算结果进行统计描述；论文第四部分对上市银行个股流动性的影响因素进行实证分析,将影响因素分为价格因素、股本因素、财务因素、股权结构因素以及交易指标因素五类,然后选取指标一一检验。
本文的研究结论表明,我国上市银行平均流动性水平较好,但不同类别银行之间的流动性水平也具有较大差异。价格因素、财务因素和股权结构因素都不能很好地解释我国上市银行的股票流动性,说明我国证券市场还处于发展阶段,投资者还不成熟,银行板块的大盘蓝筹股效应还没有在我国证券市场上有效显现。
Liquidity is the most important standard on measuring performance of market microstructure. Securities market is the weatherglass of macroeconomic, and also the listed bank to stock market. It is helpful for investors to understand market attribute of listed banks stock, to make a rational investment. It is also useful for management to value and promote the blue-chip effect of listed banks.
This paper is divided into four parts. In the introduction, we reviews the related records of liquidity analysis. The first part, we define the liquidity in our article. The second part, we select an indexes system of liquidity measure based on summarizing on methods of measurement of liquidity. The third part, we calculate the value of offering stocks' liquidity based on listed banks' transaction data. The last part, we discuss section influence factors of individual share liquidity. The conclusion is that there is no blue-chip effect of listed banks on our security market。
本文除导论外共分为四个部分。导论部分首先简述了选题的背景与意义,然后回顾了流动性研究的相关文献,接着阐述了本文的研究方法和思路,最后针对本研究可能存在的创新之处和不足之处做出了说明；论文第一部分研究了流动性的刻画,首先简述了流动性的定义即流动性的四维,接着研究了不同市场制度下的流动性供求机制,最后界定了本文流动性的定义；论文第二部分确立了流动性度量的指标体系,首先回顾了现有的各种流动性度量方法,然后对这些方法做出评价,最后在此基础上确立了本文流动性度量的指标体系；论文第三部分对上市银行股票流动性进行评价,选择我国14家上市银行2009年第三季度的股票日交易数据作为样本计算了这些股票的平均日流动性,并对计算结果进行统计描述；论文第四部分对上市银行个股流动性的影响因素进行实证分析,将影响因素分为价格因素、股本因素、财务因素、股权结构因素以及交易指标因素五类,然后选取指标一一检验。
本文的研究结论表明,我国上市银行平均流动性水平较好,但不同类别银行之间的流动性水平也具有较大差异。价格因素、财务因素和股权结构因素都不能很好地解释我国上市银行的股票流动性,说明我国证券市场还处于发展阶段,投资者还不成熟,银行板块的大盘蓝筹股效应还没有在我国证券市场上有效显现。
Liquidity is the most important standard on measuring performance of market microstructure. Securities market is the weatherglass of macroeconomic, and also the listed bank to stock market. It is helpful for investors to understand market attribute of listed banks stock, to make a rational investment. It is also useful for management to value and promote the blue-chip effect of listed banks.
This paper is divided into four parts. In the introduction, we reviews the related records of liquidity analysis. The first part, we define the liquidity in our article. The second part, we select an indexes system of liquidity measure based on summarizing on methods of measurement of liquidity. The third part, we calculate the value of offering stocks' liquidity based on listed banks' transaction data. The last part, we discuss section influence factors of individual share liquidity. The conclusion is that there is no blue-chip effect of listed banks on our security market。
引文
1.数据来源于上交所和深交所网站
2.朱小斌.中国股票市场流动性—理论与实证.中国物资出版社.2005.4
[1]戴国强、吴林祥.金融市场微观结构理论.上海财经大学出版社,1999.9
[2]朱小斌.中国股票市场流动性理论与实证.中国物资出版社,2005.4
[3]刘逖.证券市场微观结构理论与实践[M],复旦大学出版社,2002
[4]仲伟周等.流动性风险管理及其决策支持系统研究.上证联合研究计划第十九期课题研究报告,2008.11
[5]上海证券交易所创新实验室.上海证券交易所市场质量报告(2009),2009.3
[6]王晓枫,熊海芳.商业银行流动性转变的实证研究.财经问题研究.2009年第12期
[7]穆启国,刘海龙,吴冲锋,刘逖.指令驱动市场的流动性成本及影响因素分析.上海交通大学学报.2004(3)：321-325
[8]李昆,宋婷婷.送股和转增对股东结构和股票流动性的影响.统计与决策.2005(18)：97-98
[9]何静慧.股票市场个股流动性的假设与检验.绍兴文理学院学报2007(7)：31-36
[10]顾乃康,陈辉.股票流动性与企业资本结构的决定—基于中国上市公司的经验证据.财经研究.2009(8)：37-48
[11]唐静武.中国股票市场流动性特征及其影响因素.金融与经济.2009(1)：43-46
[12]顾乃康,陈辉.股票流动性与增发配股费用——来自中国上市公司的经验证据.当代财经.2010(2)：58-67
[13]Heflin, F., and K. Shaw.2000. "Blockholder ownership and market liquidity". Forthcoming, Journal of Financial and Quantitative Analysis.
[14]Bagehot, W.,1971, "The Only Game in town", Financial Analysis Journal,27,12-34
[15]Amihud,Y. and H.Mendelson,1989, "The effects of beta,bid-ask spread,residual risk and size on stock returns", Journal of Finance,44,479-486
[16]Kyle, Albert S.,1985, "Continuous auctions and insider trading", Econnometrica,53, 1315-1365
[17]Hasbrouck, J.,1993, "Assessing the quality of a security market: a new approach to transaction-cost measurement", The Review of Financial Studies,6,191-212
[18]Brennan, Michael J., and Avanidhar Subrahmanyam,1996, "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns", Journal of Financial Economics 41,441-464
[19]O'hara, M.,1995, "Market Microstructure t Theory", Basil Blackwell Publisher
2.朱小斌.中国股票市场流动性—理论与实证.中国物资出版社.2005.4
[1]戴国强、吴林祥.金融市场微观结构理论.上海财经大学出版社,1999.9
[2]朱小斌.中国股票市场流动性理论与实证.中国物资出版社,2005.4
[3]刘逖.证券市场微观结构理论与实践[M],复旦大学出版社,2002
[4]仲伟周等.流动性风险管理及其决策支持系统研究.上证联合研究计划第十九期课题研究报告,2008.11
[5]上海证券交易所创新实验室.上海证券交易所市场质量报告(2009),2009.3
[6]王晓枫,熊海芳.商业银行流动性转变的实证研究.财经问题研究.2009年第12期
[7]穆启国,刘海龙,吴冲锋,刘逖.指令驱动市场的流动性成本及影响因素分析.上海交通大学学报.2004(3)：321-325
[8]李昆,宋婷婷.送股和转增对股东结构和股票流动性的影响.统计与决策.2005(18)：97-98
[9]何静慧.股票市场个股流动性的假设与检验.绍兴文理学院学报2007(7)：31-36
[10]顾乃康,陈辉.股票流动性与企业资本结构的决定—基于中国上市公司的经验证据.财经研究.2009(8)：37-48
[11]唐静武.中国股票市场流动性特征及其影响因素.金融与经济.2009(1)：43-46
[12]顾乃康,陈辉.股票流动性与增发配股费用——来自中国上市公司的经验证据.当代财经.2010(2)：58-67
[13]Heflin, F., and K. Shaw.2000. "Blockholder ownership and market liquidity". Forthcoming, Journal of Financial and Quantitative Analysis.
[14]Bagehot, W.,1971, "The Only Game in town", Financial Analysis Journal,27,12-34
[15]Amihud,Y. and H.Mendelson,1989, "The effects of beta,bid-ask spread,residual risk and size on stock returns", Journal of Finance,44,479-486
[16]Kyle, Albert S.,1985, "Continuous auctions and insider trading", Econnometrica,53, 1315-1365
[17]Hasbrouck, J.,1993, "Assessing the quality of a security market: a new approach to transaction-cost measurement", The Review of Financial Studies,6,191-212
[18]Brennan, Michael J., and Avanidhar Subrahmanyam,1996, "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns", Journal of Financial Economics 41,441-464
[19]O'hara, M.,1995, "Market Microstructure t Theory", Basil Blackwell Publisher