A Study on the characteristics of China’s Stock Market Liquidity Risk and Stock Returns——A View Based on Assymetric Liquidity

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学校编码：10384 分类号_______密级 ______ 学号：32120120153388 UDC _______

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论我国股票市场流动性风险特征与股票收益率的关系

——

基于非对称流动性视角的研究

A Study on the characteristics of China’s Stock Market Liquidity

Risk and Stock Returns

——

A View Based on Assymetric Liquidity

陈

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吴 世 农 教 授

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论我国股票市场流动性风险特征与股票收益的关系

——

基于非对称流动性视角的研究

A Study on the characteristics of China’s Stock Market Liquidity

Risk and Stock Returns

——

A View Based on Assymetric Liquidity

陈

伟

Chen Wei

厦门大学管理学院

School of Management

Xiamen University

China

厦门大学博士学位论文

Ph.D. Dissertation of Xiamen

University

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Honorary Statement

I state that this dissertation is a part of work for my application for doctoral

degree of management. Following the guidelines of Regulation on Ph.D Candidates of

Xiamen University and Regulation on Dissertation for Graduates of Xiamen

University stipulated by Graduate School of Xiamen University. I complied with the

academic morality, regulations and standards during working on my dissertation.

Acknowledgements are given to my supervisor, Professor Shi-nong Wu, and other

members of my supervisory team and dissertation defense committee while any error

in this dissertation remains my own responsibility.

Ph.D. Candidate: Wei Chen

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论文摘要 I

论文摘要

美国知名金融学家 Kyle(1985)曾经说过：“流动性是证券市场的生命”，而

Amihud and Mendelson(1988)指出：“流动性是证券市场的一切1

。” 流动性是指 投资者能够迅速的、以很低的成本并且在不对资产价格造成明显改变的情况下购 买或者出售一定数量的资产。证券首先在一级市场首次公开发行，进而进入二级 市场在不同投资者之间交易。在二级市场中，流动性为不同类别的投资者提供了 购买和出售证券的机会，同时为筹资者提供了再融资的必要前提；如果二级市场 由于缺乏流动性造成投资者不能够交易，那么证券市场的功能就不能完全发挥。 充足的市场流动性能确保证券市场正常运行，从而优化资源配置并促进经济增长。 沪深交易所分别于 1990 年和 1991 年开业，标志中国证券市场正式成立，二 十多年来，市场建设取得一定成绩，但由于历史偏短，流动性建设与发达国家证 券市场尚有一定差距，因此股价由于流动性不足在极短时间内大起大落的情况时 有发生。本文首先对市场极端事件进行了简要回顾，以最近的 2013 年为例，沪 深两市就发生过两起令人震惊的事件，证券行业内称之为“8•16 光大乌龙指事 件”和“12•20 尾盘异动事件”，而 2015 年 1 月股市更是发生了“119 惨案”2 。 从上述两个案例来看，我国证券市场不仅面临流动性深度不足的风险，还面临极 端流动性崩盘的风险。不同于市场正常情况，在市场崩盘状况或者市场长期下降 过程中，人们对流动性关注更加强烈。本文以上述事件为背景，提出流动性非对 称的概念，并对其特征以及对资产收益率的影响进行研究，以增加人们对流动性 的理解并指导投资，为监管提供理论依据。 本文拟对中国上市公司股票非对称的流动性水平、流动性风险进行全面、系 统的理论与实证研究，探讨二者对股票收益率的影响。具体来说有三个方面的研 究目标： 第一，对流动性问题的探讨是否有必要从非对称的角度进行更深入的研究； 流动性的非对称性都有哪些表现。 第二，流动性非对称性是否会对股票横截面收益率有影响，其影响程度如何。 第三，流动性非对称性对股价崩盘是否有关联。 1

Amihud and Mendelson(1988), p.369.

2

2015年1月16日，证监会例行发布新闻发布会，其中披露了对中信证券、海通证券等融资融券业务违规 处罚决定，该行为引发市场恐慌，造成1月19日周一上证综指当日跌幅近8%。

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论我国股票市场流动性风险特征与股票收益率的关系——基于非对称流动性视角的研究 II 全文共分 8 章，各章的主要内容如下： 第一章为绪论。具体包括研究背景的提出、本文研究的主要问题及其意义、 本文的研究思路和论文框架，最后是本文较以往研究的改进之处以及本文的贡献 和创新之处。 第二章是文献评述。本文首先详细介绍了关于股市流动性度量的文献，然后 回顾了流动性与资产定价研究的文献，紧接着本文介绍了流动性非对称性与资产 定价文献，最后是对国内关于股市流动性与股票收益率的关系研究进行评述。 第三章对流动性非对称性进行了初步探讨。具体包括对本文所使用的流动性 指标的数据描述、流动性负偏度的概念和牛市、熊市下流动性的差异。 第四章重点分析了卖单流动性对股票横截面收益率的影响。具体内容包括第 一节卖单流动性的定义和度量，第二节本章数据来源和检验方法，第三节实证结 果分析以及稳健性检验，最后一节本章小结。 第五章研究了下侧流动性风险对资产收益率的影响。具体内容包括第一节熊 市下流动性的特征，第二节推导了下侧部分矩资产定价模型，第三节介绍了本章 样本和数据来源，第四节是检验方法和实证结果分析，最后是本章小结。 第六章研究的是极端流动性风险对资产收益率的影响。具体内容包括第一节 流动性崩盘研究概述，第二节阐述了极值理论和极端流动性的度量方法，第三节 是本章样本来源和变量描述性统计，第四节是实证结果分析，最后是本章小结。 第七章是下侧流动性风险对股价崩盘的影响研究。具体内容包括第一节研究 假设的提出，第二节股价崩盘风险的度量，第三节实证分析，最后是本章小结。 第八章是本文的研究结论和未来的研究方向。 本文的主要研究结论如下： 第一，对于本文选取的流动性指标：Aminhud 非流动性（Illiq）、相对价差(Rpd)、 冲击成本（λ ）和订单簿冲击成本，所有的流动性指标对于每只股票每年的流动 性负偏度都不等于 0，说明流动性非对称性确实存在；所有流动性指标的流动性 上升阶段与下降阶段波动性比 DUVOLL 都明显不等于 0，该结果再次表明流动性 非对称性的存在。不同市场状态下，熊市中流动性表现比牛市更差。 第二，Kyle(1985)用交易量对价格变化的冲击λ 度量流动性，本文改进了该 方法，将交易分为买方发起和卖方发起，分别计算买单流动性和卖单流动性。研

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论文摘要 III 究发现，卖单流动性数值上显著高于买单流动性；根据卖单流动性构造的因素模 拟投资组合可以获得无风险收益率；卖单流动性对股票横截面收益率有解释能力， 卖单流动性越高，股票预期收益率越高。 第三，在考察流动性风险对我国股票价格的影响上，本文在非线性资产定价 框架下将市场走势分为牛市和熊市，考察不同状态下的流动性与市场收益率、市 场流动性的相关性，尤其是重点考察熊市下流动性风险的定价作用。本文将熊市 下 流 动 性 风 险 定 义 为 下 侧 流 动 性 风 险 ， 并 通 过 资 产 组 合 排 序 方 法 和 Fama-MacBeth（1973）检验，证明了下侧流动性风险的定价能力。 第四，本文研究了极端情况下流动性风险的定价作用。受到收益率尖峰厚尾 分布的启发，本文使用极值理论研究流动性的尾部状态，将市场极端状态下位于 流动性尾部的股票分离出来构造市场极端流动性风险，通过计算个股收益率与市 场极端流动性的相关性判断个股收益率受市场极端状态的影响程度大小，发现极 端流动性敏感因子越大的股票，期望收益率越大。 第五，股价崩盘作为资本市场另外一种经常发生的现象，受到越来越多学者 的重视。本文研究了股价崩盘风险与下侧流动性风险之间的关系。发现下侧流动 性风险越大，股价崩盘风险越高。 虽然对流动性与资产定价的关系研究已经取得了很大程度的进展，但是对流 动性更深入层次的研究还略显不足，实证方面非常缺乏。本文以更加细致的视角 考察了流动性的非对称性，把流动性螺旋现象总结为流动性风险的非对称性，解 决以往流动性资产定价实证结果方面巨大差异的问题，而极端流动性的测度以及 对于资产预期收益率的影响可以使我们更加深入的理解极端事件对资产收益率 的作用。总而言之，本文改进与创新之处体现在如下方面： 第一个创新点在于，本文构造了一个崭新的指标区分股票交易中买方与卖方 对价格的影响。通过深交所，笔者获得了深市每笔交易对应的买、卖限价报价单 数据，借助这些数据，笔者计算了一笔交易下所对应的一定金额的卖单（买单） 对价格的冲击，以此来衡量卖单（买单）流动性。该度量方法的优点在于，非常 直接的利用最微观的数据构造价格冲击成本，使检验结果可信性高。尽管该方法 使用的卖单、买单流动性指标时间跨度只从2010-2013年，市场范围只覆盖深圳 市场 A 股，但是作为稳健性检验对高频数据结果的一个有力补充，更加验证买

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论我国股票市场流动性风险特征与股票收益率的关系——基于非对称流动性视角的研究 IV 卖单冲击的不同，以及对股票期望收益率的影响程度不同。就买单、卖单流动性 的构造，本文另外使用了高频交易数据设计了第二种指标。该指标扩展了 Kyle （1985）计算方法，是对非对称流动性的合适的检验指标。总之，本文使用买单 流动性和卖单流动性研究股票横截面收益率，从而更加深入研究流动性对股票横 截面收益率的影响，丰富国内流动性方面的文献。 第二个创新点是本文将市场上涨与市场下跌分开来看流动性，为了更加深入 理解下降的流动性螺旋，本文设计了指标度量市场下降期间的流动性和市场上涨 期间的流动性，以流动性与收益率的下侧部分矩度量非对称的流动性风险，这种 做法与以往 Acharya and Pedersen(2005)计算流动性风险大不相同，他们对称 性的计算流动性与收益率的相关性作为流动性风险。本文的做法更加准确度量了 下侧流动性风险，从而该风险因子对收益率的定价也更加精确，而对文献的贡献 是扩展了非线性资产定价理论。 第三，本文对市场极端状态下流动性的特征进行了研究，使用极值理论计算 了极端流动性风险，理性预期要求人们对那些在危机期间表现更差的股票进行补 偿，而本文的做法充分考虑到了这点。 关键词：流动性风险；非对称流动性；资产定价

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Abstract V

Abstract

Well-known financial experts Kyle (1985) once said: "Liquidity is the life of the

securities market." Amihud and Mendelson (1988) pointed out: "Liquidity is

important attributes of any financial instrument." Liquidity means investors can

quickly buy or sell a certain number of shares under low cost and caused insignificant

changes in asset prices. Securities in the primary market after the IPO enter secondary

market circulation. In the secondary market liquidity for multiple types of investors

with the opportunity to buy and sell securities, while providing a necessary

prerequisite for refinancing fund-raisers; if a secondary market transaction resulting in

a lack of liquidity can not be completed,thenthe existence of the securities market will

be no longer necessary. Increasing market liquidity can not only guaranty the proper

function of the securities market, but also enhance the allocation both for economic

and resources growing much more efficient in a long-term stability.

The securities market of China was founded in the early 1990s, which is

relatively short when comparing with others,the construction of liquidity is far behind

developed countries, thus huge stock price fluctuations have occurred due to the lack

of liquidity. This thesis mainly elaboratesmarket reviews on some extreme events

happenedrecently in 2013,such astwo shocking events occurred in the Shanghai and Shenzhen securities exchanges, within the securities industry they are called "8 • 16 Everbright Oolong refers event" and "12 • 20 late in the transaction event", and in

January 2015 the "119 massacre" occurred.So far ,in conclusion, China's securities

market is facing not only the depth of insufficient liquidity risk, but also the danger of

collapse of extreme liquidity. Unlike the ordinary situations in the market, duringthe

process of the market crash or in the long-term decline,people would pay much more

attention on liquidity. Based on the background of the event we proposed the concept

of asymmetric liquidity and study its characteristics and impact on the rate of return

on assets, in order to increase people's understanding of liquidity to guide their

investment and also theoretically offer some basic rules for regulation.

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论我国股票市场流动性风险特征与股票收益率的关系——基于非对称流动性视角的研究 VI

liquidity risk of China’s listed companies, and will do comprehensive and system research from theoretical and empirical to explore the impact of both on stock returns.

Specifically,the research is separated in three parts:

1. Discuss if it is necessary to conduct a more in-depth research on liquidity from

the perspective of a non-symmetrical view; where are the performance of asymmetry

of liquidity.

2.Whether the stock returns cross-section under the influence of asymmetric

liquidity and how it works on that.

3. Whether asymmetric liquidity and the stock market crash asymmetr is

associated or not.

This thesis contains eight chapters as follow:

The first chapter is an introduction.Including proposed research background and

significance of the main problems of this study, research ideas and papers framework

of this paper, and finally the article compared the improvements of the past research

and article contributions and innovations.

The second chapter is a literature review. This paper details documentsaboutstock

market liquidity measure, then reviewed the liquidity and asset pricing research

literature, followed by paper introduces asymmetry and liquidity asset pricing

literature, and finally on the domestic stock market liquidity and stock return

relationship were reviewed.

In chapter III liquidity asymmetry were discussed. Specifically including liquidity

indicators used herein, data description, negative skewness liquidity concepts with

differences of bull, bear market liquidity.

The fourth chapter analyzes the impact of the sell order flow on cross-section of

stock returns. Specific content includes sell orders liquidity definition and

measurement, resource of data , methods of test, section II of this chapter is empirical

results analysis and robustness tests,there is a brief summary of this chapter in the last

section.

Chapter 5 is the influence of downside liquidity risk on the asset returns. Specific

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Abstract VII

lower partial Moment of CAPM, Section III describes the samples and data sources in

this chapter, the fourth quarter is the test methods and practicalconsequences from

analysis, and finally is the summary.

The sixth chapter studies the impact of extreme liquidity risk on the asset returns.

Topics include an overview of the liquidity collapse studies,PartII describes the

extreme value theory also theextreme liquidity measure, Section III of this chapter are

sample source and descriptive statistics,the fourth quarter is the test methods and

practicalconsequences from analysis, and finally is the summary.Chapter VII is the

study on the influence of liquidity risk and the stock price collapse. Specific content

includes the first section of the proposed hypotheses, Section II measure risk of stock

crashing, section III is empirical analysis, and finally is the summary.

Chapter VIII are the conclusions of this study and future research directions.

Conclusions from the analysis of this thesis are showing below:

Firstly, for the paper selected liquidity indicators: Aminhud illiquid (Illiq), the relative spread (Rpd), the impact of cost (λ) and the impact of the cost of the order book, all the liquidity indicators for each stock each year the negative skewness

liquidity is not equal to 0,proving the asymmetric liquidity do exist; liquidity upswing

phase of volatility and falling, all the liquidity DUVOLL indicators are obviously not

equal to 0,these results also represent the existence of asymmetric liquidity.For all

kinds of condtionsin our market, liquidity in bear market performance is worse than in

a bull.

Second, Kyle (1985) used the trading volume on the impact of price changes λ to measure liquidity,for the method mentioned in that paper, improvements are made

bydividing the transaction into two parts:buyer and initiated seller,which were

calculated as buy-order liquidity and sell-order liquidity. The study found that the

sell-order liquidity values were significantly higher than the buy-order liquidity; the

sell-order factor-mimicking Portfolio can get risk-free rate of return with zero cash

outflow; sell orders liquidity have explanatory power of the stock cross-section return,

the higher sell orders liquidity the higher stock expected return.

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论我国股票市场流动性风险特征与股票收益率的关系——基于非对称流动性视角的研究 VIII

paper use the nonlinear asset pricing framework to divide the market into bull and

bear market, investigate the relation between liquidity and market return, liquidity and

market liquidity under different conditions, especially the role of liquidity risk pricing

ability under the bear market. This article will define downside liquidity risk which is

the correlation of liquidity and market return under bear market, through portfolio

sorting method and Fama-MacBeth (1973) test,we find the downside Liquidity risk

has pricing power.

Fourth, this paper studies the effect of the pricing of liquidity risk in extreme

cases. Inspired by fat tail distribution of the return, we use extreme value theory to

study tail state of liquidity. Use stocks located blow the tail in extreme conditions we

can get the extreme market liquidity risk by calculating correlation between liquidity

and stock market returns. We found the greater extremely liquidity sensitive factor of

stocks, the greater the expected rate of return.

Fifth, the stock price crash is another phenomenon of capital market which often

happens, more and more scholars pay attention to stock price crash. This paper studies

the relationship between the risk of the stock price crash and the downside liquidity

risk. We find that the biger of downside liquidity risk, the higher the risk of stock

price crash.

Although researches on the relationship between liquidity and asset pricing have

made a large extent progress, a deeper level research on liquidity is obviously

insufficient, let alone the empirical aspect. In this paper, we cosider a more detailed

perspective of the asymmetric liquidity, we summarized the liquidity spiral

phenomenon as the asymmetric liquidity risk to solve the problem in the past that

empirical results have a huge difference in terms of pricing. The measure of extreme

liquidity and the impact for the expected assets return can make us get more thorough

understanding of extreme events on the stock market. In summary, this paper

improvement and innovation is reflected in the following areas:

The first innovation is that we construct a new indicators to distinguish the influence

of the buyer and the seller on the stock price.Through the exchanging of Shenzhen

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Abstract IX

book,with the analysis of these data, we calculated the sell(buy) order price impact

corresponding to the transaction under a certain amount of sell(buy) orders, in order to

measure the sell order (pay) liquidity.This measurement shows its superiority, for

instance it can directly structure the illiquidity measure using the microstructure data,

so that the credibility of the test results is high. Although the sell(buy) order liquidity

indicators only span from 2010 to 2013, and the market scope covers only the

Shenzhen A-share market, however as a test of the robustness of the results, it

provides a strong supplement for the high-frequency data results.The results are the

sell order liquidity is different form buy order liquidity and sell order liquidity is

more import in cross section of stock returns. To the sell(buy) order liquidity structure,

this paper uses high-frequency trading data to design a second indication. The index

extended Kyle (1985) calculation method which is appropriate indicator to test

asymmetric liquidity. In short,For stock returns, we use sell(buy) order liquidity to

study their cross-section, which is a more thoroughinvestifationof the influenceof

liquidity on the stock returns with monitoring the change of cross-section,and

supplement the literature of domestic liquidity.

The second innovation is that this article divides stock market into bull and bear

to study the liquidity, in order to get more in-depth understanding of the downward

spiral liquidity. We design indicators to measure liquidity in bull and bear using lower

partial moment between liquidityand market return to measure downside liquidity risk.

This approach is different from Acharya and Pedersen (2005) symmetry calculations

of liquidity risk. Approach of this paper is more accurate measure of the lower side of

the liquidity risk, so that the risk factor for return earns more accurate pricing power,while the literature further proved the the asset pricing’s nonlinear character theoretically.

Third, the paper considers extreme market liquidity characteristics;with the help

of extreme value theory we obtained the extreme liquidity risk. We find rational

expectations of people ask for compensations to the stocks which perform worse

during the crisis.

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论我国股票市场流动性风险特征与股票收益率的关系——基于非对称流动性视角的研究 X

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Degree papers are in the “Xiamen University Electronic Theses and Dissertations Database”. Full texts are available in the following ways:

1. If your library is a CALIS member libraries, please log on http://etd.calis.edu.cn/ and submit requests online, or consult the interlibrary loan department in your library.