香港股票市场流动性溢价的行为金融研究

发布时间：2018-05-08 16:14

本文选题：港股 + 流动性　；参考：《广东财经大学》2014年硕士论文

【摘要】：香港市场作为世界第三大国际金融中心，对于其股票市场的流动性溢价问题研究有着十分重要的现实意义和理论意义，尤其是对于国内金融发展更是具有重要的指导意义。当然其资本市场的开放程度和发达程度也一直是世界各国的研究典范，对于其他国家金融业的发展具有重要的借鉴意义。97年亚洲金融危机以及07年世界金融危机都对香港的资本市场和实体经济造成了重创，而流动性问题也凸现出来。同时市场监管者和政策措施也不断受到金融全球化和现代信息技术发展的挑战。本文的主要研究思路为：首先，根据现有的流动性溢价理论分析研究股票市场流动性问题的实际意义，并重点分析了流动性问题及其度量方法，以及股票市场中流动性的影响因素。其次，构建面板数据模型弥补横截面和时间序列回归模型的不足，并结合多个因子去研究流动性与收益之间的关系。最后，在证明了香港股市流动性溢价问题存在的情况下，，利用换手率和Amivest两个指标去针对香港股票市场做行为金融分析，重点探讨规模溢价以及价值效应两个方面。根据实证结果以及原因分析，本文得到如下结论：（1）在以换手率和ILLIQ为衡量指标的时候，香港股票市场在整个样本期间并不存在明显的流动性溢价情况，相应地，从所得结果可以看出，流动性与股票的预期收益正相关。（2）香港股票市场存在明显的规模效应，小公司股票的收益率相对较高，尤其是金融危机之后的一段时间内，以换手率为指标的香港股票市场具备明显的流动性溢价情况，而以ILLIQ为指标衡量的香港股票市场并不支持流动性溢价理论。（3）实证结果表明，只有以换手率为指标时，香港股票市场的流动性溢价现象具有规模溢价情况发生。而以，以换手率和Amivest流动性比率为流动性因子时，香港股票市场的流动性溢价情况具备“价值效应”现象产生。
[Abstract]:As the third largest international financial center in the world, Hong Kong market has a very important practical and theoretical significance for the study of liquidity premium in its stock market, especially for the development of domestic finance. Of course, the degree of openness and the degree of development of its capital markets has also been a model of research in the world. The Asian financial crisis in 1997 and the world financial crisis in 2007 have caused heavy damage to Hong Kong's capital market and real economy, and liquidity problems have also emerged. At the same time, market regulators and policy measures are constantly challenged by financial globalization and the development of modern information technology. The main research ideas of this paper are as follows: firstly, according to the existing liquidity premium theory, the paper analyzes the practical significance of the stock market liquidity problem, and focuses on the liquidity problem and its measurement methods. And the influence factor of liquidity in stock market. Secondly, the panel data model is constructed to make up for the deficiency of cross section and time series regression model, and the relationship between liquidity and income is studied by combining several factors. Finally, after proving the existence of liquidity premium in Hong Kong stock market, we use turnover rate and Amivest to do behavioral financial analysis on Hong Kong stock market, focusing on two aspects: scale premium and value effect. Based on the empirical results and cause analysis, this paper draws the following conclusions: 1) when the turnover rate and ILLIQ are taken as the measures, there is no obvious liquidity premium in the Hong Kong stock market during the whole sample period. Accordingly, it can be seen from the results that liquidity is positively correlated with the expected return of the stock. (2) there is a significant scale effect in the Hong Kong stock market. The returns of small companies are relatively high. In particular, in the period following the financial crisis, the Hong Kong stock market, which is characterized by turnover rates, has an obvious liquidity premium. The Hong Kong stock market, measured by ILLIQ, does not support the liquidity premium theory. The empirical results show that the liquidity premium in Hong Kong stock market has the scale premium only when the turnover rate is taken as the indicator. With turnover ratio and Amivest liquidity ratio as liquidity factors, the liquidity premium in Hong Kong stock market has "value effect" phenomenon.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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