流动性能提高套利交易的盈利吗？——基于中国股市的证据

doi:10.12005/orms.2019.0113

运筹与管理 ›› 2019, Vol. 28 ›› Issue (5): 134-142.DOI: 10.12005/orms.2019.0113

流动性能提高套利交易的盈利吗？——基于中国股市的证据

王春峰¹,李思成¹,房振明^1,2

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

收稿日期:2017-10-25 出版日期:2019-05-25
作者简介:王春峰,男,河北邢台人,教授,博士生导师,研究方向为金融工程、资本市场理论与实践;李思成,男,天津人,博士研究生,研究方向为金融工程、资本市场理论与实践;房振明,男,辽宁锦州人,副教授,博士后,研究方向为金融工程、资本市场理论与实践。
基金资助:
国家自然科学基金资助项目(71671122)

Does Liquidity Improve Returns on Arbitrage? ——Evidence from the Chinese Stock Market

WANG Chun-feng¹, LI Si-cheng¹, FANG Zhen-ming^1,2

1.College of Management and Economics, Tianjin University, Tianjin 300072, China;
2.Financial Engineering Research Center, Tianjin University, Tianjin 300072, China

Received:2017-10-25 Online:2019-05-25

摘要/Abstract

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。

关键词: 流动性状态, 市场异象, 套利, 盈利

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.

Key words: liquidity, market anomalies, arbitrage, profitability

中图分类号:

F830

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.

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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流动性能提高套利交易的盈利吗？——基于中国股市的证据

Does Liquidity Improve Returns on Arbitrage? ——Evidence from the Chinese Stock Market

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