上海股票市场流动性实证研究

发布时间：2018-01-17 00:20

本文关键词：上海股票市场流动性实证研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：流动性是证券市场的重要属性,它是指能够在较短的时间内,以较小的交易成本,交易一定数量的资产且不会导致市场价格大幅波动的能力。一个正常运行的证券市场必须为广大投资者转让和买卖证券及筹资者在一级市场上以较低成本融资提供足够的流动性。如果因缺乏足够的流动性而导致交易无法实现,对股票市场乃至于整个实体经济都会产生非常严重的影响。鉴于流动性的重要性,对流动性的研究一直是金融市场微观结构领域的研究热点之一,本文在前人研究的基础上,对上海股票市场流动性相关特征进行了较为全面的实证探讨,以期能为完善我国证券市场提供一些参考。使用和研究流动性,必须首先能够有效的测度流动性,由于流动性包含四个维度,是一个很难定义、捉摸的概念,至今尚不存在公认的最佳流动性度量指标。纵观金融领域相关文献,流动性被广泛的应用于资产定价。然而,因缺乏一个公认的最优流动性指标,很多学者在研究流动性与资产定价的关系时,要么简单的选定某个指标代替流动性,对选择该指标的原因并未做出详细说明,即使进行了分析,也只是简单的定性分析,缺乏让人信服的实证证明；要么同时选取数个指标,试图通过不断增加指标数量来克服指标选取的问题,从而造成实证结果的互相矛盾和不稳定。本文对流动性指标的选取做出了一些有意义的突破与创新：设计了三个流动性指标优劣的比较评价标准,使用高频和低频数据,通过相关分析和面板分析,找到了一个适用于我国上海股票市场的最佳流动性指标。利用该流动性指标,选取2001至2010年所有在上海股票市场交易的A股为样本股,本文进一步研究了流动性与资产定价的关系,最终得到了一个较为稳健且普适性较强的资产定价模型。本文主要结构如下：第一章为绪论,主要介绍了本文的研究背景和研究意义。第二章讨论了流动性的定义及度量方法。与现有文献不同,本文不再从从流动性四个维度出发,将流动性的衡量方法分为四种,即时间法、价差法、交易量法和价量结合法,而是将流动性的四维分类为两种成本,直接的交易成本(即时性和宽度)和间接的交易成本(深度和弹性),从成本角度对著名的流动性指标做了简要介绍。第三章对流动性指标进行了实证比较研究。从CSMAR高频数据库下载了60只样本股2005年1月至2008年12月的分笔交易数据,设计了三个流动性指标优劣的比较评价标准,通过截面相关分析、时间序列相关分析和面板分析对7个使用广泛的流动性指标进行了比较,得到了一个主要结论,Illiq_zero是测度我国上海股票市场流动性的最佳指标。第四章实证研究了流动性与资产定价的关系。在第三章所得结论的基础上,使用Illiq_zero指标构建了一个经流动性调整的资本资产定价模型。且以2001年1月至2010年12月所有在上海证券交易所挂牌交易的A股及A股指数的日数据和月数据为样本数据,通过构造股票组合,采用最小二乘法、GRS检验和wald检验,发现：在对规模和账面市值比进行控制后,流动性较好的股票组合流动性因子系数大多为负,而流动性较差的股票组合流动性因子系数则大多为正,上海A股市场存在较显著的流动性风险溢价；回归结果中,截距大多表现为不显著,联合检验显著等于0,各解释因子系数大多表现为显著,联合检验显著不等于0,表明股票风险收益与市场风险溢价、公司规模、账面市值比、流动性四个自变量保持了较稳定的线性关系,且模型在稳健性检验中表现良好,本章构建的定价模型具有一定的普适性。第五章是结论。对本文的研究过程和结果进行了总结说明,并且指出了本文存在的不足及值得我们做进一步研究的方向。
[Abstract]:Liquidity is an important attribute of the securities market, it is in a relatively short period of time, in lower cost, trade a certain amount of assets and will not cause the ability of market price volatility. A normal operation of the securities market for the majority of investors must transfer and buy and sell securities and fund raisers in the primary market with sufficient liquidity to lower the cost of financing. If due to lack of sufficient liquidity to the transaction can not be achieved, on the stock market and the real economy will have a very serious impact. In view of the importance of liquidity, liquidity has been the focus of research in the field of financial market microstructure. Based on the previous research, the Shanghai stock market liquidity related empirical characteristics are discussed comprehensively, in order to improve China's securities market to provide some reference.
The use and research of liquidity, must first be able to measure liquidity effectively, because liquidity consists of four dimensions, one is hard to define, elusive concept, there are still no accepted optimal liquidity measure. The related literature in the financial sector, liquidity is widely applied in asset pricing. However and because of the lack of an accepted optimal liquidity index, many scholars in the study of relationship between liquidity and asset pricing, or simply select a certain index instead of liquidity, did not make detailed reason for choosing the index, which is analyzed, a simple qualitative analysis, lack of empirical evidence that convincing; or at the same time a number of selected indicators, trying to overcome the problem of selecting the index by increasing the number of indexes, resulting in conflicting empirical results and unstable.
Make some significant breakthroughs and innovations of the paper selected liquidity index: design compared with the standard evaluation of three liquidity index of quality, use of high frequency and low frequency data, through the analysis of the correlation analysis and the panel, the best liquidity index to find a suitable for China's Shanghai stock market. The liquidity the index, from 2001 to 2010 in Shanghai stock market trading of A shares as samples, this paper further studies the relationship between liquidity and asset pricing, finally get a more robust and universal strong asset pricing model.
The main structure of this paper is as follows:
The first chapter is the introduction, which mainly introduces the background and significance of the research.
The second chapter discussed the definition of liquidity and measurement. Different from the existing literature, this article will not from four dimensions of liquidity, the liquidity measure is divided into four kinds, namely time method, spread, trading volume and price and volume combination method, but the classification of two dimensional flow the cost of transaction costs directly (instant and width) and indirect transaction costs (depth and flexibility), a brief introduction of the liquidity index famous from the perspective of cost.
A comparative study of the empirical dynamic index third chapter convection. From CSMAR database download the high-frequency trading data of 60 sample stocks from January 2005 to December 2008, compared with the standard design evaluation of the three liquidity index of quality, through cross correlation analysis, time series correlation analysis and panel analysis of 7 widely used liquidity the index were compared to obtain a main conclusion, Illiq_zero is the best measure of liquidity indicators in Shanghai stock market.
The fourth chapter is the empirical research of the relationship between liquidity and asset pricing. On the basis of the third chapter of the conclusion, the use of Illiq_zero index to construct a liquidity adjusted capital asset pricing model. And from January 2001 to December 2010 all listed on the Shanghai stock exchange's A shares and A shares index of the daily data and monthly data as the sample data, by constructing a portfolio of stocks, using the least squares method, GRS test and Wald test, found in size and book to market ratio after controlling stock portfolio liquidity factor good liquidity are mostly negative, while the flow of stock portfolio liquidity factor poor are mostly positive, Shanghai A stock market liquidity risk premium is significant; the regression results, the intercept is mostly not significant, joint test was equal to 0, the explanatory factor coefficients are significantly associated. Test was not equal to 0, indicating that the stock market risk return and risk premium, firm size, book to market ratio, liquidity four variables remained relatively stable linear relationship, and the model performance in the robustness test, this chapter constructs the pricing model has a certain universality.
The fifth chapter is the conclusion. We summarize the research process and results in this paper, and point out the shortcomings of this article and the direction for further research.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】