融资流动性与市场流动性
发布时间：2019-04-29 07:12
【摘要】：市场流动性刻画市场的交易能力,融资流动性反映投资者的融资能力,两种流动性及其相关程度是衡量金融市场健康发展的重要指标,为了控制与防范危机时期金融市场的风险,有必要准确分析和量化融资流动性与市场流动性的关系。以融资流动性和股票市场流动性为研究对象,以美国次级债危机作为研究背景,选择2000年1月3日～2008年4月30日作为样本区间,运用DCC-MVGARCH模型估计融资流动性与股票市场流动性之间的动态相关系数,并通过t检验对比金融危机前后两者之间动态条件相关系数的时间走势,以证实两种流动性在危机时期是否存在相互增强的促进作用。实证结果表明,危机爆发前,融资流动性与股票市场流动性的动态相关性较低,且相对稳定,但危机爆发后,两种流动性的相关性显著增强,且波动程度变大,呈现出流动性螺旋的现象。这一结论为危机中市场流动性突然消失提供了理论解释,并以此提出提升市场流动性的相关政策和建议。
[Abstract]:Market liquidity characterizes the trading ability of the market, and the financing liquidity reflects the financing ability of investors. The two kinds of liquidity and their correlation are important indicators to measure the healthy development of financial markets. In order to control and prevent the risk of financial market in crisis period, it is necessary to analyze and quantify the relationship between financing liquidity and market liquidity accurately. Taking financing liquidity and stock market liquidity as the research object and taking the subprime debt crisis in the United States as the research background, this paper chooses January 3, 2000 to April 30, 2008 as the sample interval. The DCC-MVGARCH model is used to estimate the dynamic correlation coefficient between financing liquidity and stock market liquidity, and the time trend of dynamic conditional correlation coefficient between the two before and after the financial crisis is compared by t-test. In order to confirm whether the two kinds of liquidity during the crisis there is a mutually reinforcing role in the promotion. The empirical results show that before the crisis, the dynamic correlation between financing liquidity and stock market liquidity is low and relatively stable, but after the crisis, the correlation between the two kinds of liquidity increases significantly, and the degree of fluctuation becomes larger. Present the phenomenon of liquidity spiral. This conclusion provides a theoretical explanation for the sudden disappearance of market liquidity in the crisis, and puts forward relevant policies and suggestions to improve market liquidity.
【作者单位】： 上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金(70773075)~~
【分类号】：F224;F820
本文编号：2468054
[Abstract]:Market liquidity characterizes the trading ability of the market, and the financing liquidity reflects the financing ability of investors. The two kinds of liquidity and their correlation are important indicators to measure the healthy development of financial markets. In order to control and prevent the risk of financial market in crisis period, it is necessary to analyze and quantify the relationship between financing liquidity and market liquidity accurately. Taking financing liquidity and stock market liquidity as the research object and taking the subprime debt crisis in the United States as the research background, this paper chooses January 3, 2000 to April 30, 2008 as the sample interval. The DCC-MVGARCH model is used to estimate the dynamic correlation coefficient between financing liquidity and stock market liquidity, and the time trend of dynamic conditional correlation coefficient between the two before and after the financial crisis is compared by t-test. In order to confirm whether the two kinds of liquidity during the crisis there is a mutually reinforcing role in the promotion. The empirical results show that before the crisis, the dynamic correlation between financing liquidity and stock market liquidity is low and relatively stable, but after the crisis, the correlation between the two kinds of liquidity increases significantly, and the degree of fluctuation becomes larger. Present the phenomenon of liquidity spiral. This conclusion provides a theoretical explanation for the sudden disappearance of market liquidity in the crisis, and puts forward relevant policies and suggestions to improve market liquidity.
【作者单位】： 上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金(70773075)~~
【分类号】：F224;F820
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