中国股票市场流动性衡量指标改进研究

发布时间：2018-05-16 10:15

本文选题：中国股票市场 + 流动性　；参考：《辽宁大学》2013年硕士论文

【摘要】：随着金融市场的发展，金融理论也在不断的更新。产生于20世纪60年代的金融市场微观结构理论作为金融理论的一个重要分支，越来越受到学者们的关注。流动性作为金融市场微观结构理论的基本研究方向，，更是研究的重中之重。一个金融市场能够有效运行，流动性起了决定性的作用。Amihud和Mendelson在1990年指出：“市场的主要功能就是提供流动性，流动性是市场的一切”。对于流动性的研究起源于美国，基于美国报价驱动市场建立起来的流动性理论也已经比较成熟了。但是我国股票市场是指令驱动型，市场交易机制不同，流动性的形成过程就不一样，这也就决定了不能直接照搬国外流动性研究成果运用在我国股票市场研究工作中。本文意在构建一个适合于我国股票市场指令驱动型交易机制的流动性衡量指标，为以后我国股票市场流动性管理提供一个有效的工具。首先，本文对股票市场流动性的定义和不同维度进行阐述，并对已有的流动性测度指标进行了对比和分析，在此基础之上，构建了一个新的股票市场流动性测度指标。其次，对新构建的股票市场流动性测度指标从综合性和敏感性两个方面进行了检验。在检验其综合性方面，以新构建的指标为被解释变量，以宽度指标、深度指标、即时性指标为解释变量做多元回归分析，观测R2数值的大小；在检验其敏感性方面，以新构建的指标能否有效反映流动性周内特征和日内特征为判断依据。实证结果表明，本文新构建的股票市场流动性衡量指标在综合性、敏感性、适应性上都优于已有的直接从国外照搬过来的流动性衡量指标，可以作为我国股票市场流动性度量的工具，为后续的流动性管理提供支持。
[Abstract]:With the development of financial market, financial theory is constantly updated. As an important branch of financial theory, financial market microstructure theory, which originated in 1960's, has been paid more and more attention by scholars. As the basic research direction of financial market microstructure theory, liquidity is the most important research. Liquidity plays a decisive role. Amihud and Mendelson pointed out in 1990 that "the main function of the market is to provide liquidity, liquidity is everything." The research on liquidity originated in the United States, and the liquidity theory based on the market driven by American quotation has been more mature. However, the stock market in our country is instruction-driven, and the formation process of liquidity is different with different trading mechanism, which determines that the foreign liquidity research results can not be directly copied in the research work of Chinese stock market. The purpose of this paper is to construct a liquidity measurement index suitable for the order-driven trading mechanism in China's stock market and to provide an effective tool for liquidity management in the stock market in the future. First of all, this paper expounds the definition and different dimensions of stock market liquidity, and compares and analyzes the existing liquidity measurement indicators. On this basis, a new stock market liquidity measurement index is constructed. Secondly, the paper tests the newly constructed stock market liquidity measurement index from two aspects: comprehensiveness and sensitivity. In the aspect of testing its comprehensiveness, the newly constructed index is taken as the explained variable, the width index, the depth index and the instantaneous index are used as the explanatory variables to make multiple regression analysis, the magnitude of R2 value is observed, and the sensitivity of R2 is tested. Based on whether the newly constructed index can effectively reflect the intraweek and intraday characteristics of liquidity. The empirical results show that the newly constructed index of stock market liquidity is more comprehensive, sensitive and adaptable than the existing liquidity measurement index which has been copied directly from abroad. It can be used as a tool to measure the liquidity of China's stock market and provide support for the subsequent liquidity management.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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