Journal of Financial Markets, Available online 28 July 2017

市场波动性和股票收益：流动性供给者的职能

作者：Kee H. Chung (School of Management, State University of New York (SUNY) at Buffalo), Chairat Chuwonganantc (College of Business Administration, Kansas State University)

摘要：本文研究市场波动性如何直接地，或通过流动性供给间接地影响股票收益。市场波动性与股票收益间的负相关关系不仅来源于更高的风险溢价，也来源于更高的市场波动性下更大的非流动性溢价。与预期一致，我们发现在高频交易时期，以及在美国市场提升公众交易者与做市商竞争、缩小最小报价单位，及减少做市商职能的监管规则变化后，股票收益对波动性冲击更敏感。

关键词：风险溢价；非流动性溢价；波动率指数；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 (SUNY) at Buffalo), Chairat Chuwonganantc (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： http://www.sciencedirect.com/science/article/pii/S1386418116303378

翻译：黄怡文