货币状况对流动性风险及其溢价的影响研究

发布时间：2018-05-26 16:36

本文选题：流动性风险 + 流动性溢价　；参考：《山西大学》2012年硕士论文

【摘要】：本文致力于研究货币状况对股票市场流动性风险及其溢价的影响,论证过程将货币状况、市场流动性风险和股票收益率联系了起来。本文比较了价差指标、价格影响力指标、零天数指标等多种流动性测量方法,最终选定了Amihud (2002)的流动性测度指标来衡量我国股票市场的流动性。货币状况则分别选用"Shibor隔夜”和“一年期贷款利率”两个利率指标进行划分,根据各自不同的利率走势,划分为扩张和紧缩状态。 Acharya和Pedersen(2005)以及Brunnermeier和Pedersen(2009)指出：股票市场流动性变化影响股票收益率和流动性溢价,即流动性溢价的变化是由股票市场流动性变化引起的。因此,本文认为流动性溢价的时变性是由于投资者融资条件的变化,即货币政策的波动引起的；具体的作用机制为货币政策的波动首先影响了股票市场的总流动性,进而影响股票的流动性溢价。本文首先研究了货币状况对股票市场流动性风险的影响,模仿Pastor和Stambaugh(2003)的方法,将股票市场流动性的新息ε作为流动性风险因子。运用组合分析法、向量自回归(VAR)和脉冲响应函数(IRF)研究得出：在货币状况扩张期间,由于融资条件的宽松,市场参与者的资本可获得性增加,从而股票市场的流动性风险减小,整个市场流动性得以改善；而货币状况紧缩期间,市场流动性风险增加,整个市场流动性降低。在确定了货币状况与股票市场流动性存在关联之后,本文继续研究了货币状况对流动性溢价的影响。采用近似于Fama-French (1993)构造规模因子(SMB)和价值因子(HML)的方法,构造了L-H组合来表示流动性的风险溢价。同样运用组合分析法、向量自回归(VAR)和脉冲响应函数(IRF)研究得出：第一,在宽松货币状况下,市场流动性得到改善,对于市场参与者,提供流动性的成本以及持有流动性较差证券的风险和成本都降低了,投资者持有流动性较差的股票所要求的收益率溢价减少,即流动性溢价降低；投资者愿意持有流动性差的股票,并且对流动性差的股票增加投资,使得流动性低的股票价格相对流动性高的股票价格涨幅更大,进而L-H组合收益率显著扩大。第二,融资条件受限时,流动性对投资者的影响较高,市场流动性和融资状况的恶化,使得投资者对于持有流动性差的证券所承担的风险和成本增加,因此投资者增加对持有非流动性股票所要求的收益率溢价,即流动性溢价增加；投资者被迫放弃在流动性差的股票上的头寸,转而持有更流动的资产,使得流动性低的股票价格相对流动性高的股票价格跌幅更大,进而L-H组合收益率减小。
[Abstract]:This paper is devoted to the study of the influence of monetary situation on liquidity risk and its premium in stock market. The process of demonstration links monetary situation, market liquidity risk and stock yield. This paper compares a variety of liquidity measurement methods, such as price difference index, price influence index, zero day index and so on. Finally, the liquidity measurement index of Amihud / 2002) is selected to measure the liquidity of China's stock market. The monetary situation is divided into "Shibor overnight" and "one-year loan rate" two interest rate indicators, according to their different interest rate trend, divided into expansion and contraction state. Acharya and Pedersen 2005) and Brunnermeier and Pedersenn 2009) pointed out that the change of stock market liquidity affects the stock yield and liquidity premium, that is, the change of liquidity premium is caused by the change of stock market liquidity. Therefore, this paper holds that the time-variant of liquidity premium is caused by the change of investor's financing conditions, that is, the fluctuation of monetary policy, and the specific mechanism is that the fluctuation of monetary policy first affects the total liquidity of stock market. And then affect the liquidity premium of the stock. This paper first studies the influence of monetary situation on liquidity risk of stock market, and takes the innovation 蔚 of stock market liquidity as the liquidity risk factor by imitating the method of Pastor and Stambaugher 2003. By using combination analysis, vector autoregressive analysis (VAR) and impulse response function (IRFF), it is concluded that during the period of monetary expansion, the capital availability of market participants increases due to the loose financing conditions, thus the liquidity risk of the stock market decreases. Liquidity improved throughout the market, while liquidity risks increased and liquidity fell throughout the market during tight monetary conditions. After determining the relationship between monetary conditions and stock market liquidity, this paper continues to study the influence of monetary conditions on liquidity premiums. The L-H combination is constructed to represent the risk premium of liquidity by using the method of constructing scale factor (Fama-French) and value factor (Fama-French) similar to that of Fama-French / 1993). By using combinatorial analysis, vector autoregressive VARs and impulse response function IRFs, it is concluded that: First, in the context of loose money, market liquidity has improved, and the cost of providing liquidity, as well as the risk and cost of holding illiquid securities, has been reduced for market participants. Investors are willing to hold less liquid stocks and invest more in less liquid stocks. As a result, the low liquidity stock price increases more than that of the high liquidity stock price, and the yield of the L H portfolio expands significantly. Second, when the financing conditions are restricted, liquidity has a higher impact on investors, and the deterioration of market liquidity and financing conditions increases the risk and cost of holding illiquid securities. As a result, investors have increased the yield premium required for holding illiquid stocks, or liquidity premiums; investors have been forced to abandon positions in illiquid stocks for more liquid assets. As a result, the low-liquidity stock price is lower than the high-liquidity stock price, and then the L-H portfolio yield decreases.
【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;F822;F224

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