行情视角下股票市场系统流动性及其风险溢价研究

发布时间：2018-01-17 15:06

本文关键词：行情视角下股票市场系统流动性及其风险溢价研究　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：自2008年由流动性加剧了的席卷全球的金融危机发生以来,人们开始将流动性风险管理与市场风险、信用风险放到同一个高度,给予足够的重视和加大对其的量化研究。本文针对国内外市场机制的不同,讨论我国股票市场的系统流动性风险以及牛熊市行情下的差异。首先,本文在综述流动性与系统流动性相关研究的基础上,界定了系统流动性、系统流动性风险、系统流动性风险溢价的定义,分析了相关影响因素,回顾了我国股票市场的牛熊市现状,阐明了从牛熊市视角出发研究系统流动性的意义。其次,根据系统流动性的定义,通过个股流动性与市场流动性协动验证了我国股票市场系统流动性的存在,并结合牛熊市行情,进一步研究了系统流动性在不同行情下的差异。最后,本文构建了系统流动性风险溢价实证模型,从总体和分行业角度分别对我国股票市场系统流动性风险溢价进行了研究。采用二元均值GARCH(1,1)——Diagonal BEKK模型分别对牛熊市下系统流动性风险溢价进行估计,总体差异结果表明,牛熊市行情下的系统流动性风险溢价存在显著的差异,在对系统流动性风险进行管理时应当根据当前行情制定对应的策略。行业差异结果表明,牛熊市行情下的系统流动性风险溢价的差异在各行业都存在,但差异大小存在显著不同,在针对特定行业或者股票进行系统流动性风险管理时应考虑行业因素。本文从牛熊市视角下讨论了我国交易机制下的系统流动性的相关问题,希望能在新的视角下研究系统流动性的同时,为完善现有的金融风险管理体系提供新的思路。
[Abstract]:Since 2008, when the global financial crisis was engulfed by liquidity, people began to put liquidity risk management and market risk and credit risk in the same height. This paper discusses the systemic liquidity risk of Chinese stock market and the differences in bull market and bear market in view of the different market mechanisms at home and abroad. Firstly, on the basis of summarizing the research of liquidity and system liquidity, this paper defines the system liquidity, system liquidity risk, system liquidity risk premium, and analyzes the related factors. This paper reviews the current situation of bull bear market in Chinese stock market, and clarifies the significance of studying system liquidity from the perspective of bull bear market. Secondly, according to the definition of system liquidity. This paper verifies the existence of system liquidity in China's stock market through the cooperativeness of individual stock liquidity and market liquidity, and further studies the differences of system liquidity under different market conditions combined with bull bear market. Finally. In this paper, the empirical model of systemic liquidity risk premium is constructed, and the system liquidity risk premium of China's stock market is studied from the overall and sub-industry perspectives. The dual mean GARCH(1 is adopted. 1Diagonal BEKK model estimates system liquidity risk premium under bull bear market, and the overall difference results show that. There are significant differences in the system liquidity risk premium in the bull bear market, and the corresponding strategies should be formulated according to the current market when the system liquidity risk is managed. The difference of systemic liquidity risk premium in bull bear market exists in all industries, but the difference is significant. Industry factors should be taken into account in systematic liquidity risk management for specific industries or stocks. From the perspective of bull bear market, this paper discusses the related problems of system liquidity under the trading mechanism in China, hoping to study the system liquidity in a new perspective at the same time. To improve the existing financial risk management system to provide new ideas.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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