金融黑洞在我国中小板市场上的实证检验

发布时间：2018-07-05 19:02

本文选题：金融黑洞 + 流动性　；参考：《山东大学》2014年硕士论文

【摘要】：回顾历次金融危机,很多资产过百亿的大型金融机构在很短的时间内由于资金链断裂而丧失流动性,雷曼兄弟和长期资产管理公司就是最好的例证。这也引起了国内外学者对金融黑洞问题的重视和研究。金融黑洞,借用了物理学上的“黑洞”一词,指的是市场上的流动性在短时间内被吸入“黑洞”,瞬间消失。本文对金融黑洞问题的研究主要分为五个方面：第一章：绪论。本章首先提出了本文的研究主要对象——金融黑洞,并且阐述了对这一问题的研究所面临的背景以及研究这一问题的意义所在,介绍了文中所用到的计量模型以及所选取的数据。第二部分主要对本文的主要内容进行了梳理,介绍了本文的主要框架。最后突出强调了本文的创新点,同时也指出了文中的不足之处。第二章：流动性、金融黑洞及相关文献综述。本章首先界定了金融黑洞理论的相关概念——金融黑洞及流动性的内涵,并重点介绍了二者的度量方法。为之后在我国中小板市场检验是否存在金融黑洞问题提供了理论依据。之后对国内外学者在金融黑洞领域的研究现状进行了归纳总结。第三章：金融黑洞的诱发机制。由于市场的同质性,金融机构风险管理的同质性以及整个金融监管的同质性所导致的整个市场的同质性、过于悲观的市场预期,公众市场信心的不足、资产负债表的关联导致金融机构面临巨大的流动性风险、市场中的正反馈效应等因素都会增加金融黑洞产生的机率。第四章：金融黑洞在我国中小板市场上的实证检验。本章分别利用宏观数据和微观数据来分析我国中小板市场存在金融黑洞的可能性。在宏观方面,本章主要选取了金融危机中2008年全年中小板指数及其交易量的数据,并且利用乖离率、威廉指数等指标来进行分析。在微观方面,本章随机从中小板市场中选取了五只样本股,主要运用了Hasbrouck所提出的向量自回归模型,从正反馈效应的角度进行了实证检验,以说明我国中小板市场上是否存在金融黑洞的现象。第五章：政策建议。在对流动性及金融黑洞相关概念、度量方法及金融黑洞的诱发机制分析的基础上,结合我国中小板市场金融黑洞存在性实证研究的结果,提出了防范金融黑洞,保持流动性的政策建议。防范金融黑洞的核心是增强多样性,增强市场的多样性主要可以从三个方面入手：增强交易的多样性、增强风险管理方法的多样性和增强市场预期的多样性。同时还应注重增强市场透明度,以避免由于信息不对称而带来的“羊群效应”。
[Abstract]:In retrospect of the financial crises, many large financial institutions with more than 10 billion assets lost liquidity in a short period of time because of the breakage of the capital chain, as exemplified by Lehman Brothers and long-term asset managers. This also causes the domestic and foreign scholars to pay attention to the financial black hole problem and the research. A financial black hole, borrowed from the term "black hole" in physics, means that liquidity in the market is sucked into the black hole in a short period of time and disappears instantly. The research on financial black hole is divided into five aspects: chapter one: introduction. In this chapter, the main research object of this paper, financial black hole, is put forward, and the background of the research on this problem and the significance of studying this problem are expounded. The measurement model used in this paper and the selected data are introduced. The second part mainly combs the main content of this paper, introduces the main frame of this paper. Finally, the innovation of this paper is highlighted, and the shortcomings of the paper are also pointed out. Chapter II: liquidity, financial black hole and related literature review. In this chapter, we first define the related concepts of financial black hole theory-financial black hole and liquidity, and focus on their measurement methods. It provides a theoretical basis for testing the existence of financial black hole in Chinese small and medium board market. Then the domestic and foreign scholars in the field of financial black hole research status is summarized. Chapter three: the inducing mechanism of financial black hole. Due to the homogeneity of the market, the homogeneity of the risk management of financial institutions and the homogeneity of the entire financial supervision, the homogeneity of the whole market, the overly pessimistic market expectations, and the lack of public confidence in the market, The correlation of balance sheet causes financial institutions to face huge liquidity risk, and the positive feedback effect in the market will increase the probability of financial black hole. Chapter 4: the empirical test of financial black hole in Chinese small and medium board market. In this chapter, macro and micro data are used to analyze the possibility of financial black hole in Chinese small and medium board market. In the macro aspect, this chapter mainly selects the data of the small and medium board index and its trading volume in the financial crisis in 2008, and makes use of the index such as the rate of departure and the William index to carry on the analysis. In microcosmic aspect, this chapter selects five sample stocks from small and medium-sized board market randomly, mainly using vector autoregressive model proposed by Hasbrouck, and carries on the empirical test from the point of view of positive feedback effect. In order to explain whether there is a financial black hole on the small and medium board market in China. Chapter V: policy recommendations. Based on the analysis of the related concepts of liquidity and financial black hole, the measurement method and the induced mechanism of financial black hole, combined with the results of empirical research on the existence of financial black hole in Chinese small and medium-sized board market, the paper puts forward the prevention of financial black hole. Policy advice on maintaining liquidity. The core of preventing the financial black hole is to enhance the diversity of the market, which can be started from three aspects: enhance the diversity of transactions, enhance the diversity of risk management methods and enhance the diversity of market expectations. At the same time, market transparency should be strengthened to avoid herding effect caused by asymmetric information.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.59;F832.51

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