宏观事件对股市流动性的影响研究与投资决策分析

发布时间：2018-04-12 16:08

本文选题：流动性 + 多元线性回归模型　；参考：《云南师范大学》2013年硕士论文

【摘要】：流动性是评价一国证券市场运行质量的重要指标之一，它是指一种资产能够以合理的价格和较低的交易成本迅速转换成其它资产的能力。中国是一个明显的“政策市”，信息披露制度不完善，股票市场受政府行为影响较大。针对此，本文从国家重大经济金融政治会议出发，引进虚拟变量，通过多元线性回归模型、Box-Cox变换、半参数模型研究了近三年来中国党代会、两会、全国金融会议、中央经济会议对股市流动性的影响。结果表明，两会与中国股票市场流动性具有负相关关系，党代会、中央经济会议对股票市场流动性的影响不确定，如：十七届五中全会与股市流动性具有负相关关系，但十七届六中全会、十七届七中全会对股市流动性影响不显著，中央经济会议中，2011年的对股市流动性影响较大，其他的有一定影响，但没有明显的相关关系，如2010年的中央经济会议。根据这些结果，本文对投资决策进行了分析，，给出了对市场流动性需求者有参考价值的建议。
[Abstract]:Liquidity is one of the important indicators to evaluate the operation quality of a country's securities market. It refers to the ability of an asset to convert quickly to other assets at a reasonable price and lower transaction cost.China is an obvious "policy city", the information disclosure system is not perfect, and the stock market is greatly influenced by government behavior.In view of this, starting from the major national economic, financial and political conferences, this paper introduces virtual variables, studies the Party Congress, the two sessions and the national financial conference of China in the past three years by means of the multivariate linear regression model, the Box-Cox transformation and the semi-parametric model.The impact of the Central Economic Conference on the liquidity of the stock market.The results show that there is a negative correlation between the two sessions and the liquidity of the stock market in China. The influence of the Party Congress and the Central Economic Conference on the liquidity of the stock market is uncertain. For example, the Fifth Plenary session of the 17th CPC Central Committee has a negative correlation with the liquidity of the stock market.However, the sixth Plenary session of the 17th CPC Central Committee and the Seventh Plenary session of the 17th CPC Central Committee have no significant impact on the liquidity of the stock market. At the Central Economic Conference, the 2011 session had a greater impact on the liquidity of the stock market, while others had a certain impact, but there was no obvious correlation.Such as the 2010 Central Economic Conference.According to these results, this paper analyzes the investment decision, and gives some suggestions for the market liquidity demanders.
【学位授予单位】：云南师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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