结合常见的换手率、Amihud测度和Pastor-Stambaugh测度等流动性指标,从流动性测度和未预期的流动性测度两个方面对中国股市的资产收益与流动性的关系进行检验。结合常数收益、CAPM模型和三因子模型3种收益生成过程均发现一致的结论,中国股市的流动性风险被市场明显地定价,即存在非流动性溢价,未预期的(非)流动性与同期股票收益呈现正(负)向关系。整体而言,换手率和Pastor-Stambaugh测度在捕捉流动性方面要差于Amihud测度。因此,建议在研究中国股市流动性问题时更多地采用Amihud指标,以取得更合适的代理变量。Combining several liquidity measures: turnover,Amihud and the Pastor-Stambaugh(P-S),we test the relationship between stock returns in Chinese Stock market from two aspects: liquidity and unexpected liquidity.With three return process(constant,CAPM and the Fama-French 3 factors),We find that significant illiquidity premium effect in Chinese Stock market and the unexpected liquidity is positive relative to the stock return.For the three liquidity measures: turnover,Amihud and Pastor-Stambaugh(P-S),we get the robust results.From the comparing,we find that the Amihud measure is better than the other measures.We suggest the researcher should take the Amihud measure proxy the illiquidity or liquidity in the future studies.华中科技大学人文社科青年重点项目(2007001
