流动性边际成本与资产价格行为

摘要/Abstract

摘要： 本文采用订单流高频数据计算了评价个股流动性的新指标——流动性边际成本，以反映订单流对价格冲击的大小。本文从微观结构和价格惯性两方面验证了流动性边际成本对资产价格行为的影响。研究发现：第一，流动性边际成本日内动态呈现明显的L型特征和分层现象；第二，流动性边际成本相对于订单流不平衡，对高频尺度的价格变化具有更显著的解释能力，在控制公司市值规模、订单流不平衡程度、交易时间和市场状态后，结论依然成立；第三，流动性边际成本对小市值公司的价格惯性影响比对大市值公司的影响更显著，从而验证了市场操纵策略更容易出现在流动性较差的资产上，为流动性与价格惯性异象提供了新的佐证。

关键词: 流动性边际成本, 流动性风险, 资产价格行为

Abstract: This study calculates a new indicator of liquidity named liquidity marginal cost in order to reflect the size of price impact from order flow. This research verifies the effects of liquidity marginal cost on asset price behavior from the perspective of market microstructure and price momentum. The empirical results show that: first, the intraday dynamics of liquidity marginal cost present obvious L-type characteristics and stratification phenomenon. Second, liquidity marginal cost provides a stronger capability of explanation in short-run returns comparing with order flow imbalance. This conclusion remains constant after controlling the company’s market value, order flow imbalance, transaction time and market stage. Third, the effect of liquidity marginal cost on asset price momentum for small market value companies is more remarkable than that for large companies. It verifies that the market manipulation strategies are more appropriate for illiquid assets, which provides new empirical evidence for liquidity and market anomalies.

Key words: liquidity marginal cost, liquidity risk, asset price behavior

王春峰, 向健凯, 李洋, 房振明. 流动性边际成本与资产价格行为[J]. 管理评论, 2021, 33(6): 16-28.

Wang Chunfeng, Xiang Jiankai, Li Yang, Fang Zhenming. Liquidity Marginal Cost and Asset Price Behavior[J]. Management Review, 2021, 33(6): 16-28.

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