基于VNET的沪深股票市场流动性比较研究

发布时间：2018-04-17 16:21

本文选题：沪深股票市场 + VNET　；参考：《哈尔滨理工大学》2012年硕士论文

【摘要】：流动性作为市场微观结构理论研究的重要内容之一,越来越受到各界人士和学者的关注。股票市场存在的根本目的是为经济主体提供交易金融资产的机会,从而提高金融资产的流动性。股票市场的流动性,是指在交易成本尽可能低的情况下,使市场参与者能够迅速执行交易的能力。一个流动性高的市场将有利于投资者以合理的价格迅速完成交易,从而增强其投资的信心,这对保持股票市场的稳定性起到重要作用。随着经济全球化的进一步发展,沪深股票市场面临着国际上各种因素的冲击,特别是金融危机的爆发使资本市场流动性再次成为研究的热点。本文理论部分回顾了国内外股票市场流动性研究的现状,并对股票市场流动性的衡量方法进行比较分析,以确定本文采用的衡量方法。模型验证部分首先对VNET的基础模型进行介绍,然后对基础模型和VNET进行模型估计和相关检验,以验证所采用模型在我国股票市场的适用性。实证研究部分,选择沪深股票市场为研究对象,分别选取上证50指数及深证成指中具有代表性的各10只股票作为样本,然后用VNET指标对这两组样本股票的交易情况所代表的流动性进行量化。最后对沪深股票市场样本股票的VNET序列进行比较,发现沪市的流动性高于深市的流动性,并且流动性平稳。本文旨在通过对沪深股票市场流动性的比较研究,分析两个市场流动性存在差异的原因,为改善我国股票市场的流动性提出改进建议,并达到为股票市场参与者提供理论支持以及实际操作建议的目的。
[Abstract]:As one of the important contents of market microstructure theory, liquidity attracts more and more attention from people from all walks of life and scholars.The fundamental purpose of the stock market is to provide the economic entities with the opportunity to trade financial assets, thereby enhancing the liquidity of financial assets.The liquidity of stock market refers to the ability of market participants to execute transactions quickly under the lowest transaction cost.A highly liquid market will allow investors to quickly complete transactions at reasonable prices, thereby boosting confidence in their investments, which will play an important role in maintaining the stability of the stock market.With the further development of economic globalization, Shanghai and Shenzhen stock markets are facing the impact of various international factors, especially the outbreak of financial crisis, capital market liquidity has become a hot spot again.The theoretical part of this paper reviews the current situation of stock market liquidity research at home and abroad, and makes a comparative analysis of the measurement methods of stock market liquidity, in order to determine the measurement methods used in this paper.In the part of model verification, the basic model of VNET is introduced, then the basic model and VNET are estimated and tested to verify the applicability of the model in Chinese stock market.In the empirical research part, the Shanghai and Shenzhen stock markets are chosen as the research objects, and 10 representative stocks in the Shanghai Stock Exchange 50 Index and the Shenzhen Stock Exchange component Index are selected as samples, respectively.Then use VNET index to quantify the liquidity represented by the trading situation of these two groups of sample stocks.Finally, by comparing the VNET sequence of Shanghai and Shenzhen stock market, we find that the liquidity of Shanghai stock market is higher than that of Shenzhen stock market, and the liquidity is stable.Through the comparative study of the liquidity of Shanghai and Shenzhen stock markets, this paper analyzes the reasons for the differences between the two markets, and puts forward some suggestions for improving the liquidity of China's stock markets.And achieve the purpose of providing theoretical support and practical operation advice for the participants in the stock market.
【学位授予单位】：哈尔滨理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51

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