我国证券市场流动性风险衡量指标研究

发布时间：2018-03-17 13:36

本文选题：股票　切入点：开放式基金　出处：《青岛大学》2014年硕士论文　论文类型：学位论文

【摘要】：主要从股票和基金这两个方面来研究我国证券市场的流动性风险。对于股票市场,在国内外已有研究的基础上,结合我国股票市场现状,对原有指标进行了改进,提出了新的流动性风险指标(当日最高价、最低价之差比前一日收盘价与当日换手率的比值)。选取从2006年7月1日到2008年12月31日上海证券交易所900多家上市公司的A股数据作为研究对象,区分行业,以个股日收益率、市场日收益率和个股短期流动性风险水平为基础,分别研究其在牛市和熊市时期各行业股票流动性风险的超额回报情况,与此同时,还考虑了公司规模、账面市值比、流通股比例等对股票收益率的影响,在多因素基础上对个股的超额回报进行衡量。对于开放式基金,在国内外研究的基础上,选取股票型开放式基金作为研究对象,对原有的流动性风险衡量指标进行改进,并与新提出的股票流动性风险指标结合,结合基金中占基金净值前十的股票最低价、最高价、前收盘价、换手率等指标,考虑股票占基金净值的比重、净赎回比例等,提出新的开放式基金流动性风险指标,并选取2006年7月1日到2008年12月31日作为研究区间,分别研究牛市和熊市股票型开放式基金的流动性风险,并对比不同市场走势时期基金流动性风险是否存在明显差异
[Abstract]:The liquidity risk of China's securities market is mainly studied from the stock and fund aspects. For the stock market, on the basis of the existing research at home and abroad, combining with the current situation of the stock market in China, the original indicators are improved. A new liquidity risk indicator (the highest price for the day) was proposed. From July 1st 2006 to December 31st 2008, the A share data of more than 900 listed companies on the Shanghai Stock Exchange were selected as the research objects. Based on the market daily rate of return and the short-term liquidity risk level of individual stocks, this paper studies the excess return of stock liquidity risk in various industries in bull market and bear market respectively. At the same time, it also takes into account the company size, book market value ratio, On the basis of many factors, the excess returns of individual stocks are measured. For open-end funds, on the basis of domestic and foreign research, the stock open-end fund is selected as the research object. To improve the original liquidity risk measurement index, and combine it with the newly proposed stock liquidity risk index, combined with the minimum price, the highest price, the former closing price, the turnover rate, and so on, which account for the top ten stocks in the fund's net value. Considering the proportion of stocks in the net value of the fund and the proportion of net redemption, a new open-end fund liquidity risk index is proposed, and the period from July 1st 2006 to December 31st 2008 is selected as the study interval. This paper studies the liquidity risk of bull market and bear market equity open-end fund, and compares whether there are obvious differences in fund liquidity risk in different market trends.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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