我国股票市场内的流动性溢价、风险传染和流动性投资转移现象研究
发布时间：2019-05-18 12:35
【摘要】：我国股票市场以个体投资者居多，大部分投资者风险防范意识不强，对流动性风险的认识还不够，为了追求高收益率将资产投资于预期收益较高、流动性较低的资产组合，在经历2008年股市的大起大落后，，我国投资者对规避风险的需求日趋加强，意识到在追求资产收益最大化的同时还必须保证资产的安全性。大部分研究文献认为我国股票市场是存在流动性溢价现象的，且熊市时流动性溢价程度显著高于牛市时流动性溢价程度，同时在牛市时市场通常表现出风险传染现象，而熊市通常表现出流动性投资转移现象。 本文首先对国内外相关研究成果进行总结，然后在借鉴国内外研究成果的基础上将牛市、熊市进一步细分为恢复期、上升期、衰退前期、衰退后期四个子阶段，并以2006-2010的数据研究了上海A股市场在四个子阶段是否均存在流动性溢价现象以及流动性溢价程度，再次，在对风险传染和流动性投资转移做出具体界定的基础上，将股票组合分为流动性好的股票和流动性差的股票，控制市场共同因素对流动性好与流动性差的股票组合的影响，分析流动性好与流动性差的股票组合之间在四个子区间是否存在风险传染和流动性投资转移现象，并借由投资者心理机制理论对模型结论进行解释。 实证得到了两个与现有研究不同的结论：（1）虽然熊市流动性溢价程度总体上高于牛市，但牛市中恢复期的流动性溢价程度反而高于熊市中的衰退后期；（2）熊市中衰退前期表现为流动性投资转移现象，但衰退后期却表现为风险传染。
[Abstract]:Most of the stock markets in our country are individual investors, most of them are not aware of risk prevention, and the understanding of liquidity risk is not enough. in order to pursue high yield, invest assets in the portfolio with higher expected return and lower liquidity. After the ups and downs of the stock market in 2008, the demand for risk aversion of Chinese investors has been strengthened day by day, realizing that it is necessary to ensure the safety of assets while pursuing the maximization of asset returns. Most of the research literature holds that there is a liquidity premium in the stock market of our country, and the degree of liquidity premium in bear market is significantly higher than that in bull market. At the same time, in bull market, the market usually shows the phenomenon of risk contagion. Bear markets usually show the phenomenon of liquidity investment transfer. This paper first summarizes the relevant research results at home and abroad, and then on the basis of drawing lessons from the domestic and foreign research results, further subdivides the bull market and bear market into four sub-stages: recovery period, rising period, early recession stage and late recession stage. Based on the data of 2006 / 2010, this paper studies whether there is a liquidity premium phenomenon and the degree of liquidity premium in the four sub-stages of Shanghai A-share market. Thirdly, on the basis of the specific definition of risk contagion and liquidity investment transfer, The stock portfolio is divided into liquid stocks and illiquid stocks, and the influence of common factors in the market on the stock portfolio with good liquidity and poor liquidity is controlled. This paper analyzes whether there is risk contagion and liquidity investment transfer between the four sub-regions of the stock portfolio with good liquidity and poor liquidity, and explains the conclusion of the model by the theory of investor psychological mechanism. The empirical results are different from the existing studies: (1) although the liquidity premium of bear market is generally higher than that of bull market, the degree of liquidity premium in recovery period of bull market is higher than that in the late recession of bear market; (2) the phenomenon of liquidity investment transfer in the early stage of bear market is the phenomenon of liquidity investment transfer, but in the late stage of recession, it is risk contagion.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
本文编号：2480006
[Abstract]:Most of the stock markets in our country are individual investors, most of them are not aware of risk prevention, and the understanding of liquidity risk is not enough. in order to pursue high yield, invest assets in the portfolio with higher expected return and lower liquidity. After the ups and downs of the stock market in 2008, the demand for risk aversion of Chinese investors has been strengthened day by day, realizing that it is necessary to ensure the safety of assets while pursuing the maximization of asset returns. Most of the research literature holds that there is a liquidity premium in the stock market of our country, and the degree of liquidity premium in bear market is significantly higher than that in bull market. At the same time, in bull market, the market usually shows the phenomenon of risk contagion. Bear markets usually show the phenomenon of liquidity investment transfer. This paper first summarizes the relevant research results at home and abroad, and then on the basis of drawing lessons from the domestic and foreign research results, further subdivides the bull market and bear market into four sub-stages: recovery period, rising period, early recession stage and late recession stage. Based on the data of 2006 / 2010, this paper studies whether there is a liquidity premium phenomenon and the degree of liquidity premium in the four sub-stages of Shanghai A-share market. Thirdly, on the basis of the specific definition of risk contagion and liquidity investment transfer, The stock portfolio is divided into liquid stocks and illiquid stocks, and the influence of common factors in the market on the stock portfolio with good liquidity and poor liquidity is controlled. This paper analyzes whether there is risk contagion and liquidity investment transfer between the four sub-regions of the stock portfolio with good liquidity and poor liquidity, and explains the conclusion of the model by the theory of investor psychological mechanism. The empirical results are different from the existing studies: (1) although the liquidity premium of bear market is generally higher than that of bull market, the degree of liquidity premium in recovery period of bull market is higher than that in the late recession of bear market; (2) the phenomenon of liquidity investment transfer in the early stage of bear market is the phenomenon of liquidity investment transfer, but in the late stage of recession, it is risk contagion.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
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