投资机会集对股票流动性影响研究——兼论资产专用性的调节效应

›› 2018 ›› Issue (05): 24-34.

投资机会集对股票流动性影响研究——兼论资产专用性的调节效应

陈春春¹, 王国成²

1. 清华大学社会科学学院经济学研究所, 北京 100084;
2. 中国社会科学院数量经济与技术经济研究所, 北京 100732

收稿日期:2018-04-25 出版日期:2018-09-15 发布日期:2018-09-21
作者简介:陈春春(1986-),男,贵州安顺人,清华大学社会科学学院经济学研究所经济学博士、博士后,助理研究员,主要研究方向为计量经济学、数理经济学、金融经济学;王国成(1956-),男,河南许昌人,中国社会科学院数量经济与技术经济研究所教授,博士生导师,中国数量经济学会常务理事、全国博弈论与实验经济学研究会理事长,主要研究方向为数量经济学、博弈论。
基金资助:
国家自然科学基金"面向经济复杂性的行为建模与计算实验及应用"（编号：71471177）；中国博士后科学基金"股票流动性的数理描述及其应用研究"（编号：2018M630126）。

The Effect of Investment Opportunity Set on Stock Liquidity: the Adjustment of Asset specificity

CHEN Chun-chun¹, WANG Guo-cheng²

1. Insititute of Economics, Tsinghua University, Beijing 100084, China;
2. Institute of Quantitative & Technical Economics, Chinese Academy of Social Sciences, Beijing 100732, China

Received:2018-04-25 Online:2018-09-15 Published:2018-09-21

摘要/Abstract

摘要： 通过理论建模并结合沪深A股数据证实投资机会集对股票流动性的影响，结果显示：（1）随着投资机会集的扩大，更宽广的投资领域使企业未来经营绩效面临更多的不确定性，这种不确定性会导致投资者对其股票内在价值的把握难以趋同，从而使股票在投资者间的流通受阻、流动性下降；（2）资产专用性可有效避免企业对不擅长、缺乏经验的领域进行投资，限制企业未来经营绩效的波动，在此情形下，投资者对股票的内在价值容易形成趋同性把握，而投资机会对流动性的不利影响也因此得以削弱。

关键词: 投资机会集, 股票流动性, 非做市商制度, 资产专用性

Abstract: What's the effect of the investment opportunity set on stock liquidity What are the factors that affect the above effect The paper built a theoretical modeling and used the data of Hushen A-share stock market to prove:1) as the expansion of the investment opportunity set, broader investment field makes the firms' future business performance face higher uncertainty, this uncertainty leads to difficult converging for investors' grasp on stocks internal value, so the stocks circulation between investors will be hindered and the stocks liquidity will decline; 2) asset specificity avoids firms' invest on projects which they are lack of advantage and experience, limits the fluctuation of firms' future business performance, in this case, it's easier for investors' grasp of the stocks intrinsic value to converge, and so the adverse effect of the investment opportunity on liquidity can be weakened. The conclusions provide reasonable explanations to the findings of Gopalan et al. (2012), and find new evidence for the liquidity commonality (liquidity common factors).

Key words: Investment opportunity set, stock liquidity, non-market-maker system, asset specificity

中图分类号:

F832.5

陈春春, 王国成. 投资机会集对股票流动性影响研究——兼论资产专用性的调节效应[J]. , 2018(05): 24-34.

CHEN Chun-chun, WANG Guo-cheng. The Effect of Investment Opportunity Set on Stock Liquidity: the Adjustment of Asset specificity[J]. , 2018(05): 24-34.

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