解释股票收益的最佳综合流动性指标是什么？证据来自中国股市

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-01-24 DOI:10.1016/j.pacfin.2025.102686

Bo Yu , Liang Dong , Zhenjiang Qin , Keith S.K. Lam

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引用次数: 0

摘要

准确测量多维流动性对于有效的资产定价和风险管理至关重要。通过对单个单维度流动性代理的不同组合和不同的代理组合方法，构建了126个多维复合流动性代理。本文提出了一种选择最优组合流动性代理的方法，通过特征水平的赛马和系统因素水平的竞争组合代理的比较。研究结果表明，渐近主成分（APC）方法是最合适的组合方法，而Amihud-HL-FHT代理是解释中国股市收益的最优多维流动性代理。与嵌套的复合代理、调整显著性阈值、延长样本周期和使用替代比较度量相比，这些结果仍然是稳健的。

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What is the best composite liquidity proxy for explaining stock returns? Evidence from the Chinese stock market

Accurate measurement of multidimensional liquidity is crucial for effective asset pricing and risk management. We construct 126 multidimensional composite liquidity proxies by using different combinations of individual single-dimensional liquidity proxies and different proxy combining methods. We propose an approach to select the optimal composite liquidity proxy, with both characteristic-level horseraces and systematic-factor-level comparisons among the competing composite proxies. Our results suggest that the Asymptotic Principal Component (APC) method is the suitable combining method, and the Amihud-HL-FHT proxy is the optimal multidimensional liquidity proxy for explaining stock returns in the Chinese stock market. These results remain robust when compared with nested composite proxies, adjusting the significance thresholds, extending the sample period, and using alternative comparison measures.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.