中国股票市场流动性研究

发布时间：2018-03-25 14:44

本文选题：流动性　切入点：价差　出处：《东北大学》2005年硕士论文

【摘要】：股票市场存在的根本目的在于向投资者提供转让股票的机会，也就是为了提高投资者持有股票的流动性。流动性是进行金融资产定价的核心所在，缺乏或没有流动性的金融资产，其价值不仅会低估，甚至可能出现无人愿意持有的极端现象。流动性的存在是股票市场存在的基础和前提，失去了象征流动性的买卖要约，股票市场就消失了，转变为个人之间的双方合同行为。考虑到流动性对股票市场的重要性和中国股票市场处于发展初期，还有很多需要完善的地方，本文对中国沪深股市的流动性特征进行了比较全面的研究，以便为中国股票市场的完善提供一些有用的思路。金融市场微观结构理论研究已基本成熟，目前已进入实证研究阶段，但绝大多数实证研究主要集中在欧美等发达国家的报价驱动市场，而关于指令驱动市场的微观结构研究还刚刚起步。中国的证券市场成立于90年代初，处于初级发展阶段，关于中国证券市场流动性的实证研究近几年来才有涉及，但基本都只考虑流动性的单一属性，即只研究流动性的某一方面。由于流动性的多重属性，而且现在还没有测度流动性的统一指标，用单一的指标进行流动性研究，得出的结论有失准确性。基于此，本文采用指标体系的方法，对中国股票市场的流动性进行了全面的研究，具体包括：短期流动性研究和长期流动性研究。短期流动性研究是指同时对中国股票市场的价差和深度的日内模式及其影响因素进行研究，从而来考察中国股票市场的短期流动性及其影响因素。市场微观结构理论认为，股票市场的价差和深度受股票价格、交易量和波动性的影响，本文除了考虑以上因素以外，考虑到各股票的流通规模和投资者偏好不同，还检验了公司规模对价差和深度的影响；长期流动性研究是指采用换手率和马丁指数构成指标体系，对中国沪深股市各年流动性的变化特征以及沪深股市长期流动性的差异性和联动性进行研究。换手率和马丁指数综合考虑了流动性的及时性、宽度和深度属性，同时针对马丁指数的缺陷，对其进行了改进，通过检验表明，改进后的马丁指数消除了原来的缺陷。本文研究结论如下：短期流动性研究表明，，沪深股市日内相对价差呈“L”型变化模式，而深度呈现近似倒“S”型变化模式，二者呈相反的变化趋势；相对价差与股票价格和交易量负相关，与波动性正相关。然而，沪深股市的相对价差与各自市场的公司规模却呈现不一致的相关关系。沪市相对价差与公司规模呈正相关关系，深市相对价
[Abstract]:The fundamental purpose of the stock market is to provide investors with the opportunity to transfer stocks, that is, to increase the liquidity of investors' holdings of stocks. Liquidity is at the heart of the pricing of financial assets. The value of financial assets without or without liquidity will not only be underestimated, but may even appear an extreme phenomenon that no one is willing to hold. The existence of liquidity is the basis and premise of the existence of the stock market, and it loses the offer to buy and sell, which symbolizes liquidity. The stock market disappears and turns into an act of mutual contract between individuals. Considering the importance of liquidity to the stock market and the fact that the Chinese stock market is in the early stage of development, there are still many areas that need to be improved, so this paper makes a relatively comprehensive study on the liquidity characteristics of China's Shanghai and Shenzhen stock markets. In order to provide some useful ideas for the perfection of Chinese stock market. The research on financial market microstructure theory has basically matured and has entered the stage of empirical research. However, most of the empirical research is mainly focused on the quoted price driven market in developed countries such as Europe and the United States. However, the research on the microstructure of the command-driven market is still in its infancy. China's securities market was founded in the early 1990s, and it is in the primary stage of development that the empirical research on the liquidity of China's securities market has only been involved in recent years. But basically, only the single attribute of liquidity is considered, that is, only one aspect of liquidity is studied. Because of the multiple attributes of liquidity, and now there is no uniform index to measure liquidity, a single index is used to study liquidity. The conclusion is inaccurate. Based on this, this paper makes a comprehensive study on the liquidity of Chinese stock market by using the method of index system. It includes short-term liquidity research and long-term liquidity research. Short-term liquidity research refers to the intraday model and its influencing factors of the price difference and depth of Chinese stock market. The market microstructure theory holds that the price difference and depth of the stock market are influenced by the stock price, trading volume and volatility. Considering that the size of the stocks in circulation and the preferences of investors are different, the effect of the size of the company on the spread and depth of the price is also examined. Long-term liquidity studies refer to the use of the turnover rate and the Martin index to form an indicator system. This paper studies the variation characteristics of liquidity in Shanghai and Shenzhen stock markets, and the difference and linkage of long-term liquidity in Shanghai and Shenzhen stock markets. The turnover rate and Martin index consider the timeliness, width and depth of liquidity. At the same time, aiming at the defect of Martin index, it is improved. The result of test shows that the improved Martin index eliminates the original defect. The conclusions of this paper are as follows:. Short-term liquidity studies show that the intraday relative price difference in Shanghai and Shenzhen stock markets shows a "L" pattern, while the depth is similar to the "S" type model, and the relative price difference is negatively correlated with the stock price and trading volume. However, the relative price difference between Shanghai and Shenzhen stock markets is not consistent with the size of the companies in their respective markets. There is a positive correlation between the relative price spreads in Shanghai and the size of companies, and the relative price in Shenzhen stock market.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2005
【分类号】：F832.51;F224

【引证文献】