标题：Asset pricing and systematic liquidity risk: Empirical evidence from the China stock market
作者：Luo, Dengyue ;Jing, Lijie
作者机构：[Luo, Dengyue ;Jing, Lijie ] School of Management, Shandong University, Jinan, China
会议名称：2nd International Conference on E-Business and E-Government, ICEE 2011
会议日期：6 May 2011 through 8 May 2011
来源：2011 International Conference on E-Business and E-Government, ICEE2011 - Proceedings
关键词：bivariate Garch; market ris; systematic liquidity risk
摘要：In this study, we examine whether aggregate market liquidity risk is priced in the China stock market. We define a bivariate Garch(1, 1)-in-mean specification for the market portfolio excess returns and the aggregate market liquidity. The findings, based on daily data, suggest that risk of market return sensitivity to aggregate market liquidity and volatility risk of liquidity are priced in the China over the period December 16, 1996 to November 8, 2010 while whether market risk is priced is uncertain. © 2011 IEEE.