市场波动、流动性冲击和股票回报：全球证据
Pacific-Basin Finance Journal,Volume49, June 2018, Pages 164–199
作者：Rui Ma (Massey University, New Zealand), Hamish D. Anderson (Massey University, New Zealand), Ben R. Marshall (Massey University, New Zealand)
摘要：我们研究了1990-2015年间41个国家的市场波动、流动性冲击和股票回报之间的相互作用。我们发现在国际市场上流动性是市场波动影响股票回报的重要渠道，这与直接的波动-回报关系是不同的。流动性渠道对市场波动和回报之间联系的影响在市场波动性较高、交易量较低的市场中更强。对于治理水平更高、没有卖空限制、交易频率更高以及处于经济危机下的国家来说，这一点也更为明显。
Market volatility, liquidity shocks, and stock returns: Worldwide evidence
Rui Ma (Massey University, New Zealand), Hamish D. Anderson (Massey University, New Zealand), Ben R. Marshall (Massey University, New Zealand)
ABSTRACT
We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity channel on the link between market volatility and returns is stronger in markets exhibiting higher levels of market volatility and lower trading volume. It is also stronger in countries with better governance, no short-selling constraints, and more high-frequency trading and during crisis periods.
翻译：阙江静