资本市场流动性与波动性的实证研究

发布时间：2018-04-21 14:00

本文选题：流动性 + 行业　；参考：《东北财经大学》2012年硕士论文

【摘要】：证券市场中流动性与波动性的研究一直都是现代金融领域中的热点问题,流动性与波动性也始终贯穿整个市场微观结构理论,更是被用来设计市场结构及评价一个市场结构是否成熟、稳定的标准,2010年沪深300股指期货合约的推出更是结束了市场的单边交易机制,完善了中国的资本市场结构。正确认识股指期货推出两年以来中国资本市场的运行情况对投资者做出准确的投资策略以及决策者制定有效的宏观政策具有重要的作用,因此对现阶段中国资本市场流动性与波动性的实证研究具有重要的现实意义,而从行业与市场态势角度分析股票市场中流动性与波动性的问题,不仅可以为投资者提供较为精确的投资建议,更能为决策者与监管者提供相应的政策建议,而对股指期货市场交易的实证研究则可以帮助市场参与者了解当前期指市场的运行情况及市场功能的发挥情况,其中对股指期货的中外对比研究旨在揭示国内期指市场与国外期指市场相比较所存在的不足之处,为国内资本市场的不断完善提供相应的建议。本文具体的研究内容与主要结论如下：首先,从行业与市场态势角度研究了股票市场流动性与波动性之间的关系,行业分析中,本文使用公司截面的Fama-MacBeth回归分析了不同行业市场中流动性与波动性等市场交易特征变量之间的关系,结果表明不同流动性指标与市场波动性之间表现出较大差异的相关性,且在垄断程度较高的行业中,流动性与波动性的相关性程度较弱。在市场态势分析中,本文使用了Lunde和Timmermann方法区分了样本期内的牛市与熊市,使用CGARCH模型分析不同态势下时变波动性的长期成分与短期成分,并重点研究了短期波动与预期流动性和非预期流动性之间的关系,结果表明预期流动性在不同态势下对市场短期波动有相反的影响,而非预期流动性总是会增大市场短期波动,增大市场内的短期风险。其次,从价量关系角度研究了股指期货市场交易活动对股票市场、股指期货市场波动性的影响。其中在股票市场分析中,使用HP滤波方法对成交量、持仓量等序列去趋势,并将去趋势后的成交量、持仓量分解为预期成分与非预期成分,利用Bessembinder和Seguin方法分析股指期货市场交易活动对股票市场波动性的影响,结果表明股票市场波动更多的是受股票市场成交量的影响,股指期货市场中预期成交量对股票市场有较弱的正向解释能力,而持仓量因素则对股票市场没有影响；而在股指期货市场分析中,同样利用BS方法研究股指期货市场交易活动对期指市场波动性的影响,并通过多个国家期指合约的数据对比分析了不同期指市场中波动性与流动性的关系,结果表明期指市场成交量对波动性有正向解释能力,而持仓量对波动性有负向解释能力,其中持仓量具有更强的解释能力,而通过对比分析发现美国、英国等欧美期指市场波动主要受到成交量、持仓量非预期成分的影响,而中国与日本期指市场不仅受到非预期成分的影响,还受到预期成分的影响。
[Abstract]:The study of liquidity and volatility in the stock market has always been a hot issue in the field of modern finance. Liquidity and volatility also run through the whole market micro structure theory. It is also used to design market structure and evaluate the maturity and stability of a market structure. The introduction of Shanghai and Shenzhen 300 stock index futures contracts in 2010 is more At the end of the market, the unilateral transaction mechanism and the capital market structure of China have been perfected. It is important for the investors to make an accurate investment strategy and to make effective macro policies for the investors to make a correct understanding of the operation of the Chinese capital market since the introduction of stock index futures for two years. The empirical study of volatility and volatility is of great practical significance. The analysis of liquidity and volatility in the stock market from the perspective of industry and market situation can not only provide more accurate investment proposals for investors, but also provide policy suggestions for decision-makers and regulators, and empirical research on stock index futures market transactions. The study can help the market participants to understand the running situation of the current futures market and the situation of the market function. The comparative study of the stock index futures is aimed at revealing the shortcomings of the domestic futures market compared with the foreign futures market, and providing the corresponding suggestions for the continuous improvement of the domestic capital market.
The specific research contents and main conclusions are as follows:
First, the relationship between liquidity and volatility in the stock market is studied from the perspective of industry and market situation. In the industry analysis, the relationship between liquidity and volatility in different industry markets is analyzed by using the Fama-MacBeth regression of the company section. The results show that the different liquidity indexes and market volatility are different. There is a significant correlation between sex differences, and there is a weak correlation between liquidity and volatility in high monopoly industries. In the market situation analysis, the Lunde and Timmermann methods are used to distinguish between the bull market and the bear market in the sample period, and the CGARCH model is used to analyze the long-term component of the time-varying volatility under different trends. In the short term, the relationship between short-term volatility and expected liquidity and unexpected liquidity is focused on. The results show that expected liquidity has the opposite effect on short-term market volatility in different situations, while non expected liquidity will increase short-term market volatility and increase short-term risk in the market.
Secondly, the influence of stock index futures market activity on stock market and stock index futures market volatility is studied from the perspective of price relation. In the analysis of stock market, the HP filtering method is used for the trend of volume, holding volume and so on, and the volume after the trend is divided into expected and unexpected components, and B is used. Essembinder and Seguin methods are used to analyze the effect of stock index futures market transactions on stock market volatility. The results show that the volatility of stock market is more influenced by the stock market turnover. The expected volume of stock index futures market has a weak positive explanatory power to the stock market, while the position factor has no shadow on the stock market. In the stock index futures market analysis, the BS method is also used to study the effect of the stock index futures market trading activities on the volatility of the futures market, and the relationship between volatility and liquidity in different futures markets is analyzed through the comparison of the data of the futures contracts in several countries. The results show that the market volume has a positive explanation for volatility. Capacity, and holding capacity has a negative explanatory ability to volatility, in which the holding capacity has a stronger explanatory capacity. Through comparative analysis, it is found that the market volatility in the United States and the United States, such as the United States, Britain and the United States, are mainly influenced by the volume of trading, the unexpected position of the position, and the market of China and Japan not only affected by the unexpected components, but also preoccupied. The influence of the phase composition.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.91

【参考文献】