| 流动性能提高套利交易的盈利吗？——基于中国股市的证据 |
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| 引用本文： | 王春峰,李思成,房振明.流动性能提高套利交易的盈利吗？——基于中国股市的证据[J].运筹与管理,2019,28(5):134-142. |
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| 作者姓名： | 王春峰 李思成 房振明 |
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| 作者单位： | 1.天津大学 管理与经济学部,天津 300072;2.天津大学 金融工程研究中心,天津 300072 |
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| 基金项目： | 国家自然科学基金资助项目(71671122) |
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| 摘 要： | 本文以新兴市场重要组成部分之一的中国股市为例,对市场总体流动性水平与套利交易盈利能力间的关系进行了深入分析。与成熟资本市场中的状况相反,本文研究发现,在控制了Fama-French三因子后,套利交易的预期盈利随着市场流动性水平的提高而增加,表明市场异象造成的错误定价并不会随着流动性的提高而被投资者的套利交易所纠正,这体现了不成熟市场的特征,且反映了套利的无效率。另外,本文在分析中还考虑了流动性风险和时变因素风险暴露等可能对研究结论造成影响的因素,并且在进一步研究后得到了与前文相一致的结论。
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| 关 键 词： | 流动性状态 市场异象 套利 盈利 |
| 收稿时间： | 2017-10-25 |
Does Liquidity Improve Returns on Arbitrage? ——Evidence from the Chinese Stock Market |
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| WANG Chun-feng,LI Si-cheng,FANG Zhen-ming.Does Liquidity Improve Returns on Arbitrage? ——Evidence from the Chinese Stock Market[J].Operations Research and Management Science,2019,28(5):134-142. |
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| Authors: | WANG Chun-feng LI Si-cheng FANG Zhen-ming |
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| Affiliation: | 1.College of Management and Economics, Tianjin University, Tianjin 300072, China;2.Financial Engineering Research Center, Tianjin University, Tianjin 300072, China |
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| Abstract: | Using the increasingly important Chinese market as a case study, this paper provides an in-depth analysis of the relationship between market liquidity and the profitability of arbitrage transactions for emerging markets. After controlling three Fama-French factors, evidence based on the Chinese stock market shows that expected returns on arbitrage increase as market liquidity rises. These results indicate that market mispricing due to market anomalies is not corrected for by investor arbitrage despite the occurrence of liquidity improvements. This condition reflects the characteristics of an immature market and the presence of arbitrage inefficiency. In addition, the paper considers factors that may influence these findings for the Chinese market, such as liquidity risk and time-varying risk exposure. The results of these additional studies support our previous conclusions. |
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| Keywords: | liquidity market anomalies arbitrage profitability |
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