Journal of Financial Markets·Volume 33·March 2017

世界各地流动性共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）

摘要：在本文中，我们使用15年来39个市场的日内数据来研究流动性共性的决定因素和定价。我们发现，流动性的共性是由市场层面和企业层面的因素共同驱动的。在经济和金融较为脆弱和波动较大的环境、投资者保护不力的地区以及不透明的信息环境中，流动性共性较高。流动性共性也受到文化和行为因素的影响，包括个人主义和不确定性回避。此外，我们发现流动性共性在世界股市中是可定价的，发达市场的定价效应更强。

关键词：流动性共性，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）

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：何杉