阅读|流动性风险的市场定价：来自中国的证据
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Market pricing of liquidity risk: evidence from China
流动性风险的市场定价：来自中国的证据中国投资组合为例Raheel Safdar
Department of Economics and Business Management, UVAS Business School,
University of Veterinary and Animal Sciences, Lahore, Pakistan
Mirza Sultan Sikandar
International Business School,
Zhejiang Gongshang University, Hangzhou, China, and
Tanveer Ahsan
Rennes School of Business, Rennes, France
Citation:
Safdar, R., Sultan Sikandar, M. and Ahsan, T. (2019), "Market pricing of liquidity risk: evidence from China", China Finance Review International, Vol. 9 No. 4, pp. 554-566. https://doi.org/10.1108/CFRI-01-2019-0013
摘要 Abstract
The purpose of this paper is to investigate whether liquidity risk (i.e. the returns’ vulnerability to the unexpected changes in overall market liquidity) is a priced risk factor in China. Moreover, it investigates the potential role of a stock’s information quality in reducing its liquidity risk during the period of post-non-tradable shares reforms in China. The authors collect data of all the A-share issuing firms listed either on the Shanghai Stock Exchange or Shenzhen Stock Exchange during the period 2006–2016. The authors perform two-stage cross-sectional regression testing. First, the authors perform firm-specific time-series regressions of excess returns over Fama–French’s three-factor model and a liquidity factor. Second, to test whether firm-specific liquidity risk is a priced risk factor, the authors apply Fama and MacBeth’s regressions. Firm-level asset pricing tests provide substantial evidence for market pricing of liquidity risk in China. The authors find a significant negative association between information quality and liquidity risk. The authors also find that the reduction in liquidity risk induced by better information quality is substantial enough to reduce required returns. These findings are robust to alternative measures of liquidity risk and information quality. The study underscores that a policy initiative to enhance the information environment can significantly reduce the market volatility in China. To the best of authors’ knowledge, this is the first study that considers the Shanghai Stock Exchange as well as Shenzhen Stock Exchange to investigate market pricing of liquidity risk in China.
Keywords: China, Liquidity risk, Information quality, Asset pricingHypothesis and Data
H2. Better information quality reduces a stock’s liquidity risk.
Our initial sample comprises of all the A-share issuing firms listed on the Shanghai Stock Exchange or Shenzhen Stock Exchange during the period 2006–2016. We do not consider the period before the year 2006 due to following two reasons. First, in the year 2006, the non-tradable shares reforms were introduced in China which granted trading rights to a larger chunk of hitherto non-tradable shares. These reforms changed the market structure, and the market activity was vigorous in the subsequent years. Second, China adopted IFRS in the year 2006, paving the way for the availability of reliable accounting information to market participants. All the required data are obtained from the CSMAR database.
Empirical analysis
Conclusion
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