@article{oai:kindai.repo.nii.ac.jp:00020839,
 author = {桂, 眞一 and 方, 若寧},
 issue = {1},
 journal = {商経学叢, Shokei-gakuso: Journal of Business Studies},
 month = {Jul},
 note = {[要旨]本論文では，日本株式市場（東京証券取引所）と中国株式市場（上海証券取引所，深圳証券取引所，香港証券取引所）に関する最近の動向を調査し，「流動性」という観点から両市場を分析した。まず，売買回転率を通じて，日本と中国株式市場それぞれにおける流動性状況を分析した。分析の結果，上海証券取引所の方が売買回転率に対する感応度が低く，東京証券取引所より流動性が高いことが確認された。また，流動性が株式収益率に及ぼす影響については，日中両市場ともに売買回転率の高い銘柄ほど，将来のリターンが低い結果となっていることも確認された。ボラティリティに関しても，過去変動の大きい銘柄の方がその後のリターンが高いことも確認された。
[Abstract] In this paper, we investigated recent trends in the Japanese stock market (Tokyo Stock Exchange) and the Chinese stock market (Shanghai Stock Exchange, Shenzhen Stock Exchange, Hong Kong Stock Exchange), and examine both markets in terms of liquidity. First, we examined the liquidity situation in the Japanese and the Chinese stock market through the turnover ratio. As a result of analysis, it is confirmed that Shanghai Stock Exchange is less sensitive to trading turnover and more liquid than Tokyo Stock Exchange. In addition, with regard to the impact of liquidity on the return on equity, it was also confirmed that the higher the turnover rate in both the Japanese and Chinese markets, the lower the future returns. With regard to volatility, it was also confirmed that stocks with large fluctuations in the past had higher returns thereafter., application/pdf},
 pages = {75--99},
 title = {〈論文〉日中株式市場と流動性},
 volume = {66},
 year = {2019},
 yomi = {カツラ, シンイチ}
}