上证A股市场流动性与股票收益率相关性实证研究

发布时间：2018-03-02 23:20

本文选题：流动性　切入点：股票收益率　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：关于流动性与收益率的相关性的问题,一直都是国内外学者研究的热点与焦点。在探讨两者相关性时,首先引起专家学者注意的是流动性对收益率存在影响。而近年来,股票收益率对流动性的影响也引起了越来越多的关注。基于此,本文针对我国上证A股市场,对其流动性与股票收益率的相关性进行了检验。文章首先对流动性及其度量方法进行了界定与分析,并对各流动性指标进行了比较。接着阐述了流动性与股票收益率的相关性。然后在考虑到我国证券市场特有的影响因子后,利用格兰杰因果检验、脉冲响应以及时间序列回归等计量方法对我国上证A股市场流动性与股票收益率的相关性进行了分析。研究结果发现：在我国A股市场上证50中代表金融行业的16只样本股票当中,有12只股票的检验结果支持股票收益率是流动性的格兰杰原因,仅一只股票支持流动性是股票收益率的格兰杰原因。而脉冲响应的结果也表明在我国A股市场,流动性与股票收益率的相关性主要表现为股票收益率的变化驱动流动性的变化,这与以往的研究结果不同。此外,本文通过时间序列回归检验了股票收益率对流动性影响的非对称性,结果表明相对于股市上升阶段股票收益率对流动性的影响,在股市下跌过程中,股票收益率对流动性的影响更为突出。
[Abstract]:The correlation between liquidity and rate of return has always been a hot topic and focus of scholars at home and abroad. When discussing the correlation between the two, the first thing that attracted the attention of experts and scholars is the influence of liquidity on the rate of return. More and more attention has been paid to the effect of stock return on liquidity. Based on this, this paper tests the correlation between liquidity and stock return in China's A-share market. First of all, the paper defines and analyzes the liquidity and its measurement methods. Then the correlation between liquidity and stock return is expounded. Then, after considering the specific factors of China's securities market, the Granger causality test is used. The correlation between liquidity and stock yield in Shanghai A market is analyzed by means of impulse response and time series regression. The results show that the Shanghai Stock Exchange 50 represents the financial industry in China's A-share market. Of the 16 sample stocks, The test results of 12 stocks support the Granger reason for liquidity, and only one stock supports liquidity as Granger's cause of stock return. The impulse response also shows that in China's A-share market, The correlation between liquidity and stock return mainly shows that the change of stock return drives the change of liquidity, which is different from previous research results. In this paper, the asymmetry of stock return on liquidity is tested by time series regression. The results show that the effect of stock return on liquidity is different from that of stock market in the process of stock market decline. The effect of stock return on liquidity is more prominent.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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