中国股市流动性风险溢价研究

发布时间：2018-05-28 11:50

本文选题：股票市场 + 流动性风险　；参考：《安徽财经大学》2012年硕士论文

【摘要】：资本资产定价理论研究一直是证券市场理论的基础和核心,但是,对流动性的研究却相对较少并且没有得到足够的重视。传统的金融研究理论通常会有两个基本的假设前提,即市场必须是无摩擦的,而且不存在交易成本,这样投资者就可以不断地买进卖出任意数量的证券,证券的价格却不会受到影响,这是假定市场存在无限流动性为前提。但是在现实的证券中,这种理想的情况不存在。近些年,随着流动性风险给股市带来危机次数越来频繁,人们也越来越多的关注流动性风险,本文试图从以中国为代表的新兴证券市场研究流动性风险对资产定价的影响。首先,本文通过VAR模型的脉冲响应和格兰杰因果因果检验来考察市场流动性与收益之间的关系。实证分析表明：收益率是流动性Granger原因,但是,流动性不是收益率的Granger原因；流动性和收益率之间的传递效应主要表现在收益率变化驱动了流动性的变化,收益率的增加会在即期实现流动性的增加,同时,流动性对收益率也有多期冲击效应。这就表明中国股市存在流动性风险溢价现象,在资产定价上我们应当考虑流动性风险因素。其次,我们运用Amihud(2002)提出的观点：将非流动性指标分解成预期的非流动性指标和未预期的非流动性指标,收集和分析市场收益率和非流动性两组时间序列,通过GARCH-M模型研究非流动性序列和收益率序列之间的动态关系,通过引入非流动性波动序列研究非流动性的波动和收益之间的动态关系。实证结果表明：预期的非流动性和和未预期的非流动性分别和预期收益成正相关和负相关,而非流动性的波动幅度和预期收益也成正相关。进一步为中国股市流动性风险溢价采取何种方式补偿做出了合理解释。传统的VaR模型没有考虑流动性的影响而低估了风险,这给资产定价带来了一定的偏差,所以,本文将度量流动性的指标引入股票风险的度量模型(LVaR)中。研究结论表明：流动性风险可以分解成外生流动性风险和内生流动性风险,流动性风险是一种不可忽略的风险因素,引入流动性风险的度量模型是一种更具实用价值的风险度量模型,它比传统的VaR模型更准确的评价资产风险水平。最后,本文基于KRL信号分析法建立流动性风险预警指标体系,提出了相应的流动性风险管理的对策。对我国未来几年的股市运行情况进行了总结与展望,并提出了相关建议。通过研究发现,近几年我国股市流动性风险增大的可能性非常大,政府应该充分重视流动性风险并及时对股市流动性情况进行有效预警。
[Abstract]:The study of capital asset pricing theory has been the basis and core of securities market theory, but the research on liquidity is relatively few and has not been paid enough attention to. Traditional financial research theories usually have two basic assumptions: the market must be frictionless and there is no transaction cost, so investors can keep buying and selling any number of securities. The price of securities will not be affected, which presupposes the existence of unlimited liquidity in the market. But in real securities, this ideal situation does not exist. In recent years, as liquidity risk brings more and more crises to stock market, people pay more and more attention to liquidity risk. This paper attempts to study the influence of liquidity risk on asset pricing from emerging securities market represented by China. Firstly, the relationship between market liquidity and return is investigated by the impulse response of VAR model and Granger causality test. The empirical analysis shows that: the return rate is the reason of liquidity Granger, but liquidity is not the Granger reason of the rate of return, and the transfer effect between liquidity and return mainly shows that the change of return rate drives the change of liquidity. The increase of rate of return will realize the increase of liquidity at spot, at the same time, liquidity also has multi-period impact effect on yield. This suggests that there is a liquidity risk premium in China's stock market, and liquidity risk factors should be considered in asset pricing. Secondly, we use the viewpoint put forward by Amihudan 2002.We decompose the illiquidity index into expected illiquidity index and unexpected illiquidity index, collect and analyze two groups of time series of market rate of return and illiquidity. The dynamic relationship between the illiquid series and the return series is studied by GARCH-M model, and the dynamic relationship between the illiquid volatility and the return is studied by introducing the illiquid volatility series. The empirical results show that the expected illiquidity and unanticipated illiquidity are positively and negatively correlated with the expected return, while the volatility of the non-liquidity is also positively correlated with the expected return. Further for the Chinese stock market liquidity risk premium how to compensate to make a reasonable explanation. The traditional VaR model underestimates the risk without considering the influence of liquidity, which brings some deviation to asset pricing. Therefore, this paper introduces the index of liquidity into the stock risk measurement model. The results show that liquidity risk can be decomposed into exogenous liquidity risk and endogenous liquidity risk, and liquidity risk is a risk factor that can not be ignored. The liquidity risk measurement model is a more practical risk measurement model, which is more accurate than the traditional VaR model to evaluate the asset risk level. Finally, based on the KRL signal analysis method, the paper establishes the liquidity risk warning index system, and puts forward the corresponding liquidity risk management countermeasures. This paper summarizes and looks forward to the operation of stock market in the next few years, and puts forward some relevant suggestions. Through the research, it is found that the liquidity risk of stock market in China is very likely to increase in recent years, the government should pay full attention to the liquidity risk and give an effective warning to the stock market liquidity situation in time.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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