我国股票市场流动性与股价的动态关系研究

摘要

There has always been a dispute on the relationship between the stock market liquidity and the stock price in the academic circle,and traditional models only partially reflect the relationship. The paper employs the state space model and the data collected from CSI300 index and CSI500 index to make a further study on the relationship between the stock mar⁃ket liquidity and the stock price in China. The empirical results show that:First,China’s stock market liquidity has the im⁃pact on the stock price. In the CSI 300 market which represents the listed companies with big market value, the relation⁃ship between the two is positive and less volatile. However, in the CSI 500 market which represents the companies with small capitalization, the relationship is negative and highly volatile. Second, the stock price has a positive effect on the stock market liquidity in both markets,and is more obvious in the CSI 500 market.%关于股票市场中流动性与股价之间的关系，学术界一直存在争议，传统模型往往只能片面地反映。文章利用状态空间模型以及沪深300指数与中证500指数的数据，对我国股票市场流动性和股价之间的动态关系进行了深入研究。实证结果表明：第一，我国股票市场流动性对股价存在影响，在代表大市值企业的沪深300市场中，两者为正向关系且波动幅度较小；在代表小市值企业的中证500市场中，两者为负向关系且波动幅度较大。第二，在两个市场中股价对股票市场流动性都存在正向的影响关系，且以中证500指数为代表的小盘股市场表现更为明显。