Research on Relationship Between Information Efficiency and Liquidity Premium

doi:10.12068/j.issn.1005-3026.2023.05.017

Abstract

Abstract: The relationship between information and liquidity premium is studied from the dimension of information efficiency， and verified from the perspective of institutional shareholding ratios. Then the impact of market liquidity shock on their relationship is further discussed. It is found that there is an obvious liquidity premium in Chinese stock market， the liquidity premium is higher under low information efficiency and the stocks with low institutional shareholding ratios show higher liquidity premium due to low information efficiency， and under the impact of market liquidity， the liquidity premium increases by leaps under the condition of low information efficiency， and the relationship between information efficiency and liquidity premium is significantly enhanced. The research conclusion has a certain theoretical value for improving and enriching the research on the relationship between information and liquidity premium， and provides a valuable reference for investors to allocate portfolios in line with their own risk preferences and regulators to supervise the market.

Key words: information efficiency; liquidity premium; liquidity shock; institutional shareholding; stock market

CLC Number:

F830.9

JIN Xiu， HOU Yu-ting. Research on Relationship Between Information Efficiency and Liquidity Premium[J]. Journal of Northeastern University(Natural Science), 2023, 44(5): 735-742.

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