市场流动性与中国股市危机关系研究

发布时间：2018-04-15 09:08

本文选题：流动性 + 市场流动性　；参考：《济南大学》2017年硕士论文

【摘要】：2015年6月15日,发生的“断崖式”股市危机是自1990年中国股市建立以来一次真正意义上的市场化危机。股票市场的崩溃往往与市场流动性的严重不足直接相关,市场流动性消失会对整个市场造成灾难性的后果。在此背景下,本文以市场流动性的角度探究市场流动性冲击对股票市场波动产生的影响,研究市场流动性与股市危机的内在关系。首先,本文通过对相关研究文献的梳理发现,目前已有文献大多只关注流动性的解释、划分和度量,较少有文献研究市场流动性的变化与股市危机的关系。这为本文的研究提供了一个新的视角,但也成为本文研究的难点。本文将1929年、1987年美国股市危机,1990年台湾股市危机作为案例进行经验研究,探究股市危机前后流动性生成、获得、消失的变化过程;其次,分析2015年中国股市危机的形成过程和原因,阐释流动性的影响因素带来的流动性冲击对股市波动产生的影响。本文认为2015年中国股市危机的根源就在于信贷资金加杠杆进入股市流通,在股市发生了期限错配,由此带来的流动性迅速消失,导致股市危机的发生。在此基础上,本文总结了股市危机形成的理论逻辑结构,随后对市场流动性度量指标进行分析比较,并选取了上证综指2014年6月3日至2015年6月12日254个日度数据,构建市场流动性度量指标:换手率和相对买卖价差。股票市场波动指标:上证综指每日涨跌幅。采用VAR模型实证研究市场流动性冲击对股票市场波动的影响,实证研究得出如下结论:股市波动对换手率变化的反应更为灵敏,换手率变动对股市波动的冲击程度要高于相对买卖价差的冲击程度;而且换手率变动对股市波动的冲击响应始终为正,先于相对买卖价差达到最大的冲击响应。因此,可将换手率作为判断股市行情、提示股市风险的指标之一。最后,从优化金融结构、建立可监测的杠杆融资机制、改进市场交易机制、完善监管架构等方面提出了相关建议。
[Abstract]:On June 15, 2015, the precipitous stock market crisis was a real market-oriented crisis since the establishment of China's stock market in 1990.The collapse of the stock market is often directly related to the severe lack of liquidity in the market, which will have disastrous consequences for the market as a whole.In this context, this paper explores the impact of market liquidity shock on stock market volatility from the perspective of market liquidity, and studies the inherent relationship between market liquidity and stock market crisis.First of all, by combing the relevant research literature, we find that most of the existing literature only focus on the interpretation, division and measurement of liquidity, and there are few documents to study the relationship between the changes of market liquidity and the stock market crisis.This provides a new perspective for the study of this paper, but also becomes the difficulty of this study.This paper takes the stock market crisis of America in 1929, 1987 and Taiwan stock market crisis in 1990 as a case study to explore the changing process of liquidity generation, acquisition and disappearance before and after the stock market crisis. Secondly,This paper analyzes the forming process and causes of China's stock market crisis in 2015, and explains the impact of liquidity impact on stock market volatility caused by the influencing factors of liquidity.This paper argues that the root of China's stock market crisis in 2015 lies in the fact that credit funds and leverage enter the stock market, and the term mismatch occurs in the stock market, resulting in the rapid disappearance of liquidity, which leads to the occurrence of the stock market crisis.On this basis, this paper summarizes the theoretical logical structure of the stock market crisis, then analyzes and compares the market liquidity metrics, and selects 254 day data of Shanghai Composite Index from June 3, 2014 to June 12, 2015.Construction of market liquidity metrics: turnover rate and relative to the spread of buying and selling price.Stock market volatility index: Shanghai Composite Index daily rise and fall.The VAR model is used to study the effect of market liquidity shock on stock market volatility. The conclusions are as follows: stock market volatility is more sensitive to the change of turnover rate.The impact of the change of turnover rate on stock market volatility is higher than that on the trading spread, and the impact response of the change of turnover rate to stock market volatility is always positive, and the biggest impact response is achieved before the relative buying and selling spread.Therefore, the turnover rate can be used to judge the stock market, indicating one of the indicators of stock market risk.Finally, some suggestions are put forward from the aspects of optimizing the financial structure, establishing the mechanism of leveraged financing that can be monitored, improving the market trading mechanism, and perfecting the regulatory framework.
【学位授予单位】：济南大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】