换手率与中美股票市场流动性研究

郭文心,吴文锋

doi:10.13718/j.cnki.xsxb.2018.05.011

西南师范大学学报(自然科学版)

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换手率与中美股票市场流动性研究

郭文心,吴文锋. 换手率与中美股票市场流动性研究[J]. 西南师范大学学报(自然科学版), 2018, 43(5): 64-68. doi: 10.13718/j.cnki.xsxb.2018.05.011

引用本文:

郭文心,吴文锋. 换手率与中美股票市场流动性研究[J]. 西南师范大学学报(自然科学版), 2018, 43(5): 64-68. doi: 10.13718/j.cnki.xsxb.2018.05.011

GUO Wen-xin, WU Wen-feng. On Turnover and Liquidity Analysis of China and US Stock Market[J]. Journal of Southwest China Normal University(Natural Science Edition), 2018, 43(5): 64-68. doi: 10.13718/j.cnki.xsxb.2018.05.011

Citation:

GUO Wen-xin, WU Wen-feng. On Turnover and Liquidity Analysis of China and US Stock Market[J]. Journal of Southwest China Normal University(Natural Science Edition), 2018, 43(5): 64-68. doi: 10.13718/j.cnki.xsxb.2018.05.011

换手率与中美股票市场流动性研究

郭文心,吴文锋

上海交通大学安泰经济与管理学院, 上海 200030

On Turnover and Liquidity Analysis of China and US Stock Market

GUO Wen-xin, WU Wen-feng

Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200030, China

摘要: 国内习惯以换手率判断流动性，而中国股市换手率常年较高.通过中美股市2005年7月到2015年6月10年间的历史数据，从市场深度和宽度2个角度对比分析中美股市流动性，发现中国股市的流动性确实显著优于美国市场，建议提高分红、抑制投机来调整过度追求短期价差收益导致的高流动性.但同时发现，换手率指标衡量流动性的效率较低，对于中国股市而言，经价格与股票数量调整后的Martin指数与即时交易成本2个流动性深度与宽度指标更能解释股票的收益率，更适合作为我国流动性衡量指标.
- 股票市场 /
- 流动性指标 /
- 换手率 /
- Martin指数 /
- 即时交易成本
Abstract: Turnover is generally used to measure liquidity in China and always in high level in China stock market. This paper compares liquidity of China and US stock market from the perspectives of market depth and width through 10-year historical data from July 2005 to June 2015 and finds out that liquidity of China stock market is indeed better than that of US stock market. It would be better to increase dividend ratio and refrain speculation to adjust this high liquidity resulted by excessive pursuit of short-term capital gain. But also, turnover has low interpretation efficiency of liquidity. For China Stock Market, Martin Index, adjusted by price and shares outstanding, and Execution Cost can explain stock return better, making them more suitable liquidity depth and width indicators.
- stock market /
- liquidity /
- turnover /
- Martin Index /
- Execution Cost .

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换手率与中美股票市场流动性研究

郭文心,吴文锋

上海交通大学安泰经济与管理学院, 上海 200030

收稿日期: 2017-03-20

关键词:

摘要: 国内习惯以换手率判断流动性，而中国股市换手率常年较高.通过中美股市2005年7月到2015年6月10年间的历史数据，从市场深度和宽度2个角度对比分析中美股市流动性，发现中国股市的流动性确实显著优于美国市场，建议提高分红、抑制投机来调整过度追求短期价差收益导致的高流动性.但同时发现，换手率指标衡量流动性的效率较低，对于中国股市而言，经价格与股票数量调整后的Martin指数与即时交易成本2个流动性深度与宽度指标更能解释股票的收益率，更适合作为我国流动性衡量指标.

English Abstract

On Turnover and Liquidity Analysis of China and US Stock Market

上海交通大学安泰经济与管理学院, 上海 200030

Received Date: 2017-03-20

Keywords:

Abstract: Turnover is generally used to measure liquidity in China and always in high level in China stock market. This paper compares liquidity of China and US stock market from the perspectives of market depth and width through 10-year historical data from July 2005 to June 2015 and finds out that liquidity of China stock market is indeed better than that of US stock market. It would be better to increase dividend ratio and refrain speculation to adjust this high liquidity resulted by excessive pursuit of short-term capital gain. But also, turnover has low interpretation efficiency of liquidity. For China Stock Market, Martin Index, adjusted by price and shares outstanding, and Execution Cost can explain stock return better, making them more suitable liquidity depth and width indicators.