| The financial crisis has made people realize the important influence of liquidity on asset prices,but the research on the relationship between liquidity and asset pricing has not reached a consistent conclusion.In this paper,by combing the existing market liquidity measures and the research on the relationship between liquidity and asset pricing,it is found that the existing liquidity measures have certain defects and deficiencies.And research on the relationship between the market liquidity and asset pricing,with Amihud et al(1986)proposed a"liquidity premium"as the starting point,most of the research is based on the traditional asset pricing model to join the liquidity factor to investigate the pricing mechanism of liquidity,while the model itself known deficiencies and limitations,difficult to accurately reflect the reality of equity capital markets.Based on the above reasons,this article uses the domestic scholars put forward based on the financial valuation of shares of the capital asset pricing model,and construct liquidity-leverage indicators to measure market liquidity,liquidity-leverage is defined as A point to buy currency amount and the future is likely to sell stock this time the ratio of the total amount of capital assets,is based on the theory of money demand,on the basis of monetary liquidity,to mark the sample company turnover accounted for the proportion of tradable shares trading on the A share market segmentation.In this paper,liquidity-leverage index is used to study the impact of market liquidity on individual stock prices and return,and explore the essence of liquidity pricing.This article uses quarterly data of all A-share listed companies in the Shanghai and Shenzhen markets as a sample for research,and takes the second quarter of 2012to the first quarter of 2017 as the research interval,using the Two-way fixed effect panel regression,and the conclusion basically verifies the hypothesis in this paper:intrinsic value are significantly positively correlated with stock price(return)changes;liquidity-leverage has a significant positive impact on individual stocks;liquidity pricing is the result of the combined effect of liquidity-leverage and intrinsic value.Moreover,the overall R~2of the model is high,which indicates that the model in this paper has good explanatory power.In the further study,we add the turnover rate indicator,illiquidity indicator and system risk BETA indicator to the empirical model,and made a comparative analysis of liquidity-leverage and"liquidity premium"to further explore the essence of market liquidity pricing of stock capital assets.The research of this paper provides empirical evidence for further improving the liquidity asset pricing theory and lays a foundation for the subsequent related research. |
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