流动性黑洞下投资行为研究

发布时间：2018-08-16 11:28

【摘要】：在全球金融一体化与自由化背景下,国际金融在相互交织渗透的同时,所面临的流动性风险也在不断加大,在金融危机不断爆发的前提下,金融市场受到了巨大的威胁。流动性在短期内消失造成金融市场的剧烈波动,变成金融学家和政府决策机构关注的焦点。纵观历次金融危机,绝大部分都是由于流动性的失衡而导致的金融投资者无法进行正常的资产交易。因此,建立一个稳定高效的金融市场,将会大大增强投资者对市场的信心,这也是金融体系得以健康有序发展的重要前提。因此本论文首先结合学者现有的理论假设及理论模型,对我国金融市场流动性消失现象进行分析,对是否有流动性黑洞的现状进行相关理论探索,在现有研究成果中,寻找贴切实际的解释方法对金融危机中的异象进行检验,对当前我国证券市场是否存在流动性黑洞进行检验,确认流动性黑洞爆发前后的主要特征。在研究我国股票市场流动性现状时,将流动性黑洞视为在正常交易情形下,市场价格收益率与投资者之间买卖订单的正向因果关系。因此采用基于正反馈交易下,股票对数收益率与同一时间投资者买方订单量与卖方订单量之间的相互关系进行检验,通过在固定区间内交易价格的差额变化趋势判断影响流动性黑洞的主要因素。为了对市场流动性黑洞产生的内在机理进行分析,本文研究在LOF基金市场环境下,不同投资者的交易行为及最优资产配置策略,通过加入流动性黑洞为假设的极端市场环境,进一步研究极端环境下交易者之间的投资行为,并挖掘产生流动性黑洞的更深层次的原因。最后,通过本文的研究结论,为改善我国金融市场环境,提升金融市场稳定性,提出缓解流动性黑洞的主要建议及措施。
[Abstract]:In the context of global financial integration and liberalization, the international finance is intertwined with each other, and the liquidity risk is also increasing. Under the premise of the financial crisis, the financial market has been greatly threatened. The disappearance of liquidity in the short term has caused sharp volatility in financial markets and has become the focus of attention of financiers and government policy-makers. Throughout the financial crises, the vast majority of financial investors are unable to trade normal assets due to liquidity imbalances. Therefore, the establishment of a stable and efficient financial market will greatly enhance investors' confidence in the market, which is also an important prerequisite for the healthy and orderly development of the financial system. Therefore, this paper firstly analyzes the phenomenon of liquidity disappearance in China's financial market by combining the existing theoretical assumptions and theoretical models, and explores whether there is a liquidity black hole. To find a practical explanation method to test the anomalies in the financial crisis, to test the existence of liquidity black hole in the current securities market in China, and to confirm the main characteristics of the liquidity black hole before and after the outbreak of the liquidity black hole. In studying the current situation of liquidity in China's stock market, the liquidity black hole is regarded as the positive causal relationship between the market price return rate and the purchase order between investors under the normal trading situation. Therefore, based on positive feedback trading, the relationship between the logarithmic return rate of stock and the amount of buyer's order and the quantity of seller's order is tested at the same time. The main factors affecting the liquidity black hole are judged by the trend of the difference of the price in a fixed range. In order to analyze the inherent mechanism of the liquidity black hole in the market, this paper studies the trading behavior and optimal asset allocation strategy of different investors under the LOF fund market environment, and the extreme market environment under the assumption of the liquidity black hole is added. Further study the investment behavior between traders in extreme environments and dig out the deeper causes of the liquidity black hole. Finally, through the conclusion of this paper, in order to improve the financial market environment and promote the stability of the financial market, the paper puts forward the main suggestions and measures to alleviate the liquidity black hole.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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