Journal of Financial Markets·Volume 37·March 2018·Pages 17-34

市场波动性和股票收益率：流动性提供者的作用

作者：Kee H.Chung（School of Management, State University of New York; School of Business, Sungkyunkwan University）, Chairat Chuwonganant（College of Business Administration, Kansas State University）

摘要：这项研究表明，市场波动性通过影响流动性供应直接或间接影响股票收益。市场波动与股票收益之间的负向关系不仅来源于更高的风险溢价，而且来源于更大的非流动性溢价，而这与更高的市场波动率相关。与我们的预期一致，我们还发现股票收益对高频交易时代的波动性冲击更为敏感，并且在美国市场的监管变化之后更为敏感，此次监管增加了公众交易者和做市商之间的竞争、减少了最小报价单位、降低了做市商的作用。

关键词：风险溢价，流动性溢价，恐慌指数VIX，市场结构

Market volatility and stock returns: The role of liquidity providers

Kee H.Chung（School of Management, State University of New York; School of Business, Sungkyunkwan University）

Chairat Chuwonganant（College of Business Administration, Kansas State University）

ABSTRACT

This study shows that market volatility affects stock returns both directly and indirectly through its impact on liquidity provision. The negative relation between market volatility and stock returns arises not only from greater risk premiums but also greater illiquidity premiums that are associated with higher market volatility. Consistent with our expectation, we also find that stock returns are more sensitive to volatility shocks in the high-frequency trading era, and after the regulatory changes in the U.S. markets that increased competition between public traders and market makers, reduced the tick size, and decreased the role of market makers.

Keywords：Risk premium, Illiquidity premium, VIX, Market structure

原文链接：https://www.sciencedirect.com/science/article/pii/S1386418116303378#!

翻译：何杉