中文摘要：

个股流动性变化与市场总体流动性变化的敏感程度是个股系统流动性风险。基于中国股市1994—2007年的日间交易数据，运用套利定价模型来检验个股系统流动性风险与其预期回报之间的关系后，发现中国个股系统流动性风险与预期回报之间呈现负相关关系，且这种负相关关系主要表现在市场总体流动性水平较低时以及规模较大的证券上。这一发现明显有悖于个股系统流动性风险应该获得风险溢价的标准金融模型推断，且支持了中国股市存在非流动性的财富效应。

英文摘要：

The degree of sensitivity of the changes of stock liquidity and the changes of the aggregate market liquidity belongs to the stock system liquidity risk. Based on the transaction data from 1994 to 2007 in China＇s stock market, and employing the arbitrage pricing model to test the relationship between the stock system liquidity risk and the expected return, the study of this paper finds that there is a negative relation between them, and such a negative relation can be mainly seen on large-cap stocks and when the level of the aggregate market liquidity is lower. It is obvious that this discovery contradicts with the inference drawn from the standard financial model that the stock system liquidity risk should be covered with the risk premium, but it supports that there exit wealth effects of illiquidity in China＇s stock markets.