中国股票市场流动性黑洞的影响因素研究

发布时间：2018-01-05 00:03

本文关键词：中国股票市场流动性黑洞的影响因素研究　出处：《上海交通大学》2013年博士论文　论文类型：学位论文

【摘要】：传统金融理论一般研究金融市场处于均衡状态下的问题,而对于市场出现资产供求不均衡的特殊阶段的研究相对匮乏。流动性黑洞是指金融资产流动性骤然消失的现象,其发生时会导致资本市场无法发挥正常的定价及交易功能,对市场产生不利影响。而纵观历史,金融市场流动性危机频频发生,对流动性黑洞进行研究对理解金融市场运行有重大意义。本文综合运用金融经济学研究方法、市场微观结构理论以及公司金融学等金融知识,并使用了面板数据固定效应模型、截面回归模型、对照组研究方法、事件分析法等计量方法,采用了国泰安csmar数据库、Wind金融终端数据库等数据库,以及Stata、Matlab及Eviews等数学计量软件,对中国股票市场流动性黑洞影响因素问题进行研究。本文主要的研究工作包括:(1)归纳总结了流动性及流动性黑洞的内涵及外在表现的研究,总结了过往文献对于流动性黑洞形成机制的探讨及大量影响流动性黑洞的因素。在现有文献研究不足的基础上提出了本文的研究方向。(2)定性讨论了流动性黑洞的内涵,给出了流动性黑洞的明确定义,借鉴市场崩盘模型得出了流动性黑洞的二元测度模型,并以此测度了中国股票市场,对其流动性黑洞的表现特征进行讨论。(3)考察信息不对称对流动性黑洞的影响,在信息不对称框架下建立了流动性黑洞的形成模型。以投资者结构为出发点,并利用中国股市面板数据研究信息不对称对流动性黑洞的影响,进而研究我国市场典型知情交易者——投资基金行为对流动性黑洞产生的影响。(4)考察直接摩擦对流动性黑洞的影响,建立了考虑直接摩擦的HS模型并利用事件研究实证方法研究直接摩擦变化对流动性黑洞的影响。本文在以下几个方面做了创新性研究:(1)在深入探讨证券市场流动性黑洞内涵的基础上,明确定义了流动性黑洞的概念。基于此前对于流动性的研究,从流动性黑洞的概念出发,借鉴关于市场崩盘的测度模型,提出了流动性黑洞的二元测度模型。(2)研究信息不对称对流动性黑洞的影响,在信息不对称框架下推导了流动性黑洞的形成模型,指出在信息不对称较高时,不知情交易者倾向于根据价格变化改变对市场的预期,从而出现集体的买入或抛售,这是导致流动性黑洞出现的重要因素;采用中国面板数据以固定效应模型进行实证进一步论证了上述结论。(3)研究直接摩擦对流动性黑洞的影响,提出了考虑直接摩擦的hs模型,研究表明,直接摩擦会增加流动性黑洞发生的可能性和提升流动性黑洞发生的幅度。采用单因素和多因素模型,以印花税变动为研究对象,实证表明直接摩擦提升会提高流动性黑洞的发生频率,与理论模型相符合。全文研究结论总结如下:本文重点研究了流动性黑洞的定义、测度指标构建及影响因素,研究结论表明:(1)流动性黑洞的定义是金融市场流动性在短时间内骤然消失。参考关于市场崩盘的测度方式,得到了流动性黑洞的二元测度指标。实证分析表明,中国证券市场的流动性黑洞具有流动性水平骤然下降、价格非对称不连续变化和集聚性三大表现特征,和此前对于流动性黑洞的现象表现的描述一致,证明了该二元测度指标的合理性和有效性。(2)影响流动性黑洞的因素很多,包括投资者同质化、机构投资者投资策略、资金约束、交易机制、泡沫破灭及金融市场摩擦,而流动性黑洞作为一种金融市场失灵现象,金融市场摩擦是其最重要的影响因素之一,其对流动性黑洞的影响可以从信息不对称和直接摩擦两方面进行分析。(3)在市场信息不对称程度较高时,不知情交易者倾向于因资产价格变化改变预期造成了流动性黑洞的发生,不知情交易者比例越高,市场出现流动性黑洞的可能性越高。对基金的研究表明,基金重仓股发生流动性黑洞的可能性较小,表明在我国,基金公司作为知情交易者,在股票市场中起到了稳定市场的作用。(4)直接摩擦对流动性黑洞具有影响,理论和实证均表明直接摩擦变大时流动性黑洞发生的可能性和发生的幅度会更大。本文研究从理论上讲,完善了对流动性黑洞定义、测度及影响因素的理论研究,并将其应用于中国股票市场。从实践上讲,无论对监管层和投资者,都可以加深对股票市场理解,防范流动性黑洞的产生。
[Abstract]:The traditional financial theory of financial markets in general equilibrium problem, and the research for the special stage of market supply and demand imbalance in the capital is relatively scarce. Liquidity refers to the financial asset liquidity suddenly disappears, which resulted in the capital market can not play a normal pricing and trading functions, have an adverse effect on market. Throughout history, the financial market liquidity crisis occurred frequently, liquidity black hole research is of great significance to understand the financial operation of the market. This paper uses research methods of economics financial knowledge, financial market microstructure theory and corporate finance, and uses fixed effect model in panel data, cross-sectional regression model, the control group research methods, event analysis and other measurement methods, using the Tai'an CSMAR database, Wind database and other financial terminal data base, and S Tata, Matlab and Eviews mathematical software, studied the influencing factors of Chinese stock market liquidity black hole. The main work of this paper includes: (1) summary of the research on the meaning of liquidity and the liquidity black hole and external performance, summarizes the past study literature on the formation mechanism of liquidity black hole and a large number of the effects of liquidity black hole. Based on the existing literature research on the research direction of this article. (2) discussed the connotation of the liquidity black hole, gives a clear definition of the liquidity black hole, from the market crash model obtained two yuan model to measure the liquidity black hole, and then measure the Chinese stock the market, on the flow characteristics of the black hole is discussed. (3) the influence of information asymmetry on the liquidity black hole, in the asymmetric information framework is established to form a model of liquidity black hole Type. To the structure of investors as a starting point, and the influence of the stock market Chinese panel data on information asymmetry of the liquidity black hole, and then study the market of our country the typical effect of informed traders - investment behavior of the fund liquidity black hole generated. (4) to examine the friction impact on liquidity black hole, considering the HS model directly the friction and research by using event study empirical methods directly affect the change on the friction of liquidity black hole. The innovative research in the following aspects: (1) based on the in-depth study of securities market liquidity black hole ", a clear definition of the concept of liquidity black hole. Prior to the study based on liquidity, starting from the concept of liquidity black hole, a reference model to measure the market crash, put forward two yuan model to measure the liquidity black hole. (2) study of information asymmetry on the liquidity black hole In effect, the asymmetric information framework is derived form the model of liquidity black hole, pointed out that in the information asymmetry is high, the uninformed traders tend to price changes according to the change of market expectations, to buy or sell the collective, which is an important factor leading to the liquidity black hole is Chinese; using panel data with fixed effects the empirical model to prove the above conclusion. (3) research on direct friction impact on liquidity of the black hole, HS model is proposed, considering the direct friction research shows that direct friction will increase the probability of liquidity black hole occurred and enhance the liquidity black holes to occur. The amplitude of the single factor model and multi factors in printing tax changes as the research object, empirical evidence shows that direct friction hoist will increase the frequency of occurrence of the liquidity black hole, consistent with the theoretical model. The conclusions of the study are summarized as follows: This paper Focus on the definition of liquidity black hole, and the factors affecting the indices, this study concluded that: (1) the definition of liquidity black hole is the liquidity of the financial market suddenly disappear in a short period of time. The reference about the market crash measure, obtained two yuan index to measure the liquidity black hole. The empirical analysis shows that the flow black hole Chinese securities market with liquidity levels plummet, symmetric discontinuous change and gather three features of non price, and prior to the liquidity black hole phenomenon description, proved that the $two measure is reasonable and effective. (2) a lot of factors that influence the liquidity black hole. Investors including homogenization, the investment strategy of institutional investors, capital constraints, trading mechanism, the bubble burst and the financial market friction, while the liquidity black hole as a phenomenon of the financial market, the financial market friction Cleaning is one of the most important factors which influence, its impact on the liquidity black hole can be analyzed from two aspects of information asymmetry and direct friction. (3) the degree of information asymmetry in the market is higher, the uninformed traders tend to change due to changes in asset prices is expected to create liquidity black holes, the proportion of uninformed traders the higher possibility of market liquidity black hole is higher. According to fund research, less likely to fund chongcanggu liquidity black hole, shows that in our country, the fund company as informed traders in the stock market, plays a role in stabilizing the market. (4) direct liquidity black hole with friction influence of theoretical and empirical show that direct friction occurred when the possibility of liquidity black hole and the rate will be greater. This paper studies theoretically, to improve the definition of liquidity, measure and The theoretical research of influencing factors is applied to China's stock market. Practically speaking, both regulators and investors can deepen understanding of stock market and prevent the generation of liquidity black hole.

【学位授予单位】：上海交通大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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