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我们借鉴行为方面的模型,即投资情绪的变化会影响股票市场的流动性,从而影响股票的未来收益。在卖空限制条件下市场高流动性预示市场充斥着非理性投资者。本文通过中国股市具备卖空限制和2001年2月B股向境内居民开放前后B股投资主体(投资情绪)发生变化这一自然事件,实证分析了B股市场向境内居民开放后,投资者情绪变化引起市场流动性增加,对股票预期收益的流动性溢价影响也由开放前的不显著变化为显著。
We learn from behavioral model, that changes in investment sentiment will affect the liquidity of the stock market, thus affecting the future earnings of the stock. The high liquidity in short selling conditions indicates that the market is full of irrational investors. The paper analyzes the natural events after the short selling of the Chinese stock market and the changes of the B-share investors (investment sentiment) before and after the opening of the B shares to the domestic residents in February 2001, and analyzes the investor sentiment after the B-share market opens to domestic residents Changes have led to an increase in liquidity in the market. The effect on the liquidity premium of the expected return of the stock is also markedly insignificant from the pre-opening insignificance.