我国资本市场效率与流动性的相关性研究

发布时间：2018-01-26 22:17

本文关键词： 资本市场效率流动性衡量相关性　出处：《山西大学》2012年硕士论文　论文类型：学位论文

【摘要】：资本市场的效率是指资本市场的运作能力和其对经济发展的作用能力,资本市场效率的高低决定着资本市场发挥作用的成本和作用力的强弱,同时也在很大程度上决定了整个经济体系的效率。而流动性作为资本市场生命力的所在,是衡量资本市场运行质量的核心指标,是影响价格行为的重要因素,也是市场配置资源的重要能力。本文关注的重点是我国资本市场效率和流动性之间的相关性问题,在研究此问题的过程中又引出了对我国资本市场效率和流动性的分别测度。本文在国内外现有的理论研究基础上,借鉴Dennis Chung和Karel Hrazdil (2010)提出的关于资本市场效率的测度以及资本市场效率与流动性的相关性研究模型,并针对中国资本市场的特点对其加以修改和优化,以期更符合中国资本市场的特点和本文的写作需求。通过慎重筛选,最终确定了本文实证研究的样本为2005-2010年间上证A股中的28只股票。利用上述模型和样本进行实证分析,最终得出以下结论：中国资本市场效率与流动性是呈现正相关关系的,与其他的影响因素也呈现了不同的较为显著的相关关系；加入了新信息变量后发现,在新信息存在的情况下,流动性对资本市场效率的影响程度更强；中国资本市场目前还不够成熟,资本市场效率和流动性的方面还需要进一步的发展和稳定；影响资本市场效率高低的主要因素是资本市场的流动性,所以在今后提高我国资本市场效率方面,应首要考虑资本市场流动性因素。
[Abstract]:The efficiency of the capital market refers to the ability of the capital market to operate and its effect on the economic development. The efficiency of the capital market determines the cost and force of the capital market to play its role. At the same time, it also determines the efficiency of the whole economic system to a great extent. As the vitality of capital market, liquidity is the core index to measure the operation quality of capital market and the important factor to influence the price behavior. This paper focuses on the correlation between the efficiency and liquidity of the capital market in China. In the process of studying this problem, it leads to the measurement of the efficiency and liquidity of China's capital market. This paper is based on the existing theoretical research at home and abroad. Using Dennis Chung and Karel Hrazdil 2010 for reference, the paper proposes the measurement of capital market efficiency and the research model of the correlation between capital market efficiency and liquidity. And according to the characteristics of China's capital market to modify and optimize, in order to more in line with the characteristics of China's capital market and the writing needs of this paper, through careful screening. Finally, the sample of this empirical study is 28 stocks in Shanghai Stock Exchange A stock from 2005 to 2010. Using the above model and sample to carry out empirical analysis. Finally, the following conclusions are drawn: the efficiency of China's capital market is positively correlated with liquidity, and has different and more significant correlation with other influencing factors. After adding new information variables, it is found that liquidity has a stronger influence on the efficiency of capital market under the condition of the existence of new information. China's capital market is not yet mature, the efficiency and liquidity of the capital market needs further development and stability; The main factor affecting the efficiency of the capital market is the liquidity of the capital market. Therefore, in improving the efficiency of the capital market in China, the liquidity factor of the capital market should be considered first.
【学位授予单位】：山西大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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