中国股票市场流动性风险溢价研究
发布时间：2018-11-10 11:16
【摘要】：传统的金融市场理论假设金融资产的交易环境无摩擦。然而事实上,任何金融市场的投资者都面临流动性的限制,流动性对资产价格的影响程度成为了一个广受争议的问题。 本文试图检验在中国这样的新兴证券市场(通常被认为流动性较差)流动性风险对资产定价的影响力,从流动性风险的溢价形式和流动性风险溢价测算方法两个方面,研究流动性风险的溢价。主要包括以下内容和创新: 1.目前国内的研究还仅限于流动性和风险溢价的孤立研究,关于流动性风险溢价的研究较为鲜有。本文提出,在缺乏成熟经济理论指导的情况下,为了研究二者的动态关系,可结合运用观察VAR脉冲响应和格兰杰非因果性检验,清楚地观察流动性和收益的传递过程和多期冲击方式,从而容易观察到不流动性溢价现象。实证研究表明,随着中国证券市场的发展,市场流动性特征也在发生变化,2002年中国股票市场出现了“不流动性溢价”现象。说明中国股票市场的有效性在增加,且目前流动性风险不能忽略,应参与资产定价。 2.由于现存理论不能很好的解释流动性与收益的动态关系为什么表现为“不流动性溢价”,本文借鉴Amihud(2002)的思想,改进了其模型,通过ARIMA模型把不流动性划分为预期的不流动性和未预期的不流动性,然后把得到的这两个序列作为外生变量加入到GARCH-M模型中,通过把流动性进行科学的分解,同时考虑了波动的时变性和对市场风险的补偿,得到了关于“不流动性溢价”的理论解释。即:股票的超额回报包含不流动性补偿,预期的不流动性与未来市场超额回报正相关,而未预期的不流动性与当期的市场超额回报负相关。 3.目前国内外文献关于极值理论在金融领域的应用主要为各股市收益的极值相关研究,从而研究分散化投资问题和金融风险的控制问题。本文采用高频数据,首次将这种理论运用在流动性风险和市场风险的极值相关性研究上,分别用宽度和收益代表流动性风险和市场风险,研究了上海股票市场流动性风险和市场风险的极值相关特征。研究表明:中国股票市场上,投资者面临的流动性风险具有不对称性,在市场大幅下跌时,流动性风险放大,而在市场大幅上涨时,流动性风
[Abstract]:Traditional financial market theory assumes that the trading environment of financial assets is frictionless. In fact, however, any investor in financial markets faces liquidity restrictions, and the extent to which liquidity affects asset prices has become a controversial issue. This paper attempts to examine the influence of liquidity risk on asset pricing in emerging securities markets such as China (usually considered to be less liquid), from two aspects: the form of liquidity risk premium and the method of measuring liquidity risk premium. Study the premium of liquidity risk. Mainly include the following contents and innovations: 1. At present, the domestic research is limited to the isolated study of liquidity and risk premium, and the research on liquidity risk premium is rare. In this paper, in the absence of the guidance of mature economic theory, in order to study the dynamic relationship between the two, we can combine observation of VAR impulse response and Granger non-causality test. It is easy to observe the phenomenon of illiquidity premium by observing clearly the transmission process of liquidity and income and the multi-stage shock mode. The empirical study shows that with the development of China's securities market, the liquidity characteristics of the market are also changing, and the "illiquidity premium" phenomenon appeared in the Chinese stock market in 2002. It shows that the efficiency of Chinese stock market is increasing, and the liquidity risk can not be ignored at present, and should participate in asset pricing. 2. Because the existing theories can not explain why the dynamic relationship between liquidity and income is represented as "illiquidity premium", this paper improves the model of Amihud (2002) by using the idea of "illiquidity premium". Through the ARIMA model, the illiquidity is divided into expected illiquidity and unexpected illiquidity, and then the two sequences are added to the GARCH-M model as exogenous variables, and the liquidity is scientifically decomposed. At the same time, considering the time variation of volatility and compensation for market risk, the theoretical explanation of "illiquidity premium" is obtained. That is, the excess return of stock includes the compensation of illiquidity, the expected illiquidity is positively correlated with the future market excess return, and the unanticipated illiquidity is negatively correlated with the current market excess return. 3. At present, the application of extreme value theory in the field of finance in domestic and foreign literature is mainly related to the extreme value of stock market returns, so as to study the problem of diversification investment and the control of financial risk. This paper uses high frequency data for the first time to apply this theory to the study of the extreme value correlation between liquidity risk and market risk, using width and income to represent liquidity risk and market risk, respectively. The characteristics of extreme value correlation between liquidity risk and market risk in Shanghai stock market are studied. The study shows that the liquidity risk faced by investors in China's stock market is asymmetric. When the market falls sharply, the liquidity risk increases, and when the market rises sharply, the liquidity wind increases.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2004
【分类号】：F224
本文编号：2322318
[Abstract]:Traditional financial market theory assumes that the trading environment of financial assets is frictionless. In fact, however, any investor in financial markets faces liquidity restrictions, and the extent to which liquidity affects asset prices has become a controversial issue. This paper attempts to examine the influence of liquidity risk on asset pricing in emerging securities markets such as China (usually considered to be less liquid), from two aspects: the form of liquidity risk premium and the method of measuring liquidity risk premium. Study the premium of liquidity risk. Mainly include the following contents and innovations: 1. At present, the domestic research is limited to the isolated study of liquidity and risk premium, and the research on liquidity risk premium is rare. In this paper, in the absence of the guidance of mature economic theory, in order to study the dynamic relationship between the two, we can combine observation of VAR impulse response and Granger non-causality test. It is easy to observe the phenomenon of illiquidity premium by observing clearly the transmission process of liquidity and income and the multi-stage shock mode. The empirical study shows that with the development of China's securities market, the liquidity characteristics of the market are also changing, and the "illiquidity premium" phenomenon appeared in the Chinese stock market in 2002. It shows that the efficiency of Chinese stock market is increasing, and the liquidity risk can not be ignored at present, and should participate in asset pricing. 2. Because the existing theories can not explain why the dynamic relationship between liquidity and income is represented as "illiquidity premium", this paper improves the model of Amihud (2002) by using the idea of "illiquidity premium". Through the ARIMA model, the illiquidity is divided into expected illiquidity and unexpected illiquidity, and then the two sequences are added to the GARCH-M model as exogenous variables, and the liquidity is scientifically decomposed. At the same time, considering the time variation of volatility and compensation for market risk, the theoretical explanation of "illiquidity premium" is obtained. That is, the excess return of stock includes the compensation of illiquidity, the expected illiquidity is positively correlated with the future market excess return, and the unanticipated illiquidity is negatively correlated with the current market excess return. 3. At present, the application of extreme value theory in the field of finance in domestic and foreign literature is mainly related to the extreme value of stock market returns, so as to study the problem of diversification investment and the control of financial risk. This paper uses high frequency data for the first time to apply this theory to the study of the extreme value correlation between liquidity risk and market risk, using width and income to represent liquidity risk and market risk, respectively. The characteristics of extreme value correlation between liquidity risk and market risk in Shanghai stock market are studied. The study shows that the liquidity risk faced by investors in China's stock market is asymmetric. When the market falls sharply, the liquidity risk increases, and when the market rises sharply, the liquidity wind increases.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2004
【分类号】：F224
【引证文献】
相关硕士学位论文 前2条
1 李青;投资者情绪对市场风险价格的影响[D];天津大学;2011年
2 王姗姗;中国证券市场高频数据极值的波动性研究[D];吉林大学;2012年
，本文编号：2322318
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