Journal of Financial Markets, Volume 33, March 2017, Pages 22–41

全球市场系统流动性的决定因素与定价

作者：Fariborz Moshirian (Institute of Global Finance, UNSW Business School, The University of New South Wales ), Xiaolin Qian (Faculty of Business Administration, University of Macau ), Claudia Koon Ghee Wee (Institute of Global Finance, UNSW Business School, The University of New South Wales ), Bohui Zhang (Institute of Global Finance, UNSW Business School, The University of New South Wales )

摘要：本文使用39个国家15年的日内数据检验系统流动性的决定因素和定价。结果显示系统流动性由市场与公司层面因素共同驱动。在弱而剧烈波动的经济和金融环境下，在投资者保护不力的地区，以及在信息不透明环境下，系统流动性更强烈。系统流动性也受文化和行为因素影响，譬如个人主义和不确定性规避。此外，我们发现各国股票市场都对系统流动性作出定价，但其定价效应在发达国家更显著。

关键词：系统流动性；流动性定价；国际金融市场

The determinants and pricing of liquidity commonality around the world

Fariborz Moshirian (Institute of Global Finance, UNSW Business School, The University of New South Wales ), Xiaolin Qian (Faculty of Business Administration, University of Macau ), Claudia Koon Ghee Wee (Institute of Global Finance, UNSW Business School, The University of New South Wales ), Bohui Zhang (Institute of Global Finance, UNSW Business School, The University of New South Wales )

ABSTRACT

In this paper, we examine the determinants and pricing of liquidity commonality using intraday data from 39 markets over 15 years. We show that liquidity commonality is driven by both market-level and firm-level factors. Liquidity commonality is higher in weaker and more-volatile economic and financial environments, in areas with poor investor protection, and in opaque information environments. Liquidity commonality is also affected by cultural and behavioral factors, including individualism and uncertainty avoidance. Moreover, we find that liquidity commonality is priced in the world's stock markets and that the pricing effect is stronger in developed markets.

Keywords：Liquidity commonality; Pricing of liquidity; International financial markets

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418117300526

翻译：黄怡文