本文關(guān)鍵詞：中國股票市場流動性黑洞的影響因素研究　出處：《上海交通大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 流動性黑洞 金融市場摩擦 信息不對稱 直接摩擦 投資者結(jié)構(gòu)

【摘要】：傳統(tǒng)金融理論一般研究金融市場處于均衡狀態(tài)下的問題,而對于市場出現(xiàn)資產(chǎn)供求不均衡的特殊階段的研究相對匱乏。流動性黑洞是指金融資產(chǎn)流動性驟然消失的現(xiàn)象,其發(fā)生時會導(dǎo)致資本市場無法發(fā)揮正常的定價及交易功能,對市場產(chǎn)生不利影響。而縱觀歷史,金融市場流動性危機(jī)頻頻發(fā)生,對流動性黑洞進(jìn)行研究對理解金融市場運(yùn)行有重大意義。本文綜合運(yùn)用金融經(jīng)濟(jì)學(xué)研究方法、市場微觀結(jié)構(gòu)理論以及公司金融學(xué)等金融知識,并使用了面板數(shù)據(jù)固定效應(yīng)模型、截面回歸模型、對照組研究方法、事件分析法等計(jì)量方法,采用了國泰安csmar數(shù)據(jù)庫、Wind金融終端數(shù)據(jù)庫等數(shù)據(jù)庫,以及Stata、Matlab及Eviews等數(shù)學(xué)計(jì)量軟件,對中國股票市場流動性黑洞影響因素問題進(jìn)行研究。本文主要的研究工作包括:(1)歸納總結(jié)了流動性及流動性黑洞的內(nèi)涵及外在表現(xiàn)的研究,總結(jié)了過往文獻(xiàn)對于流動性黑洞形成機(jī)制的探討及大量影響流動性黑洞的因素。在現(xiàn)有文獻(xiàn)研究不足的基礎(chǔ)上提出了本文的研究方向。(2)定性討論了流動性黑洞的內(nèi)涵,給出了流動性黑洞的明確定義,借鑒市場崩盤模型得出了流動性黑洞的二元測度模型,并以此測度了中國股票市場,對其流動性黑洞的表現(xiàn)特征進(jìn)行討論。(3)考察信息不對稱對流動性黑洞的影響,在信息不對稱框架下建立了流動性黑洞的形成模型。以投資者結(jié)構(gòu)為出發(fā)點(diǎn),并利用中國股市面板數(shù)據(jù)研究信息不對稱對流動性黑洞的影響,進(jìn)而研究我國市場典型知情交易者——投資基金行為對流動性黑洞產(chǎn)生的影響。(4)考察直接摩擦對流動性黑洞的影響,建立了考慮直接摩擦的HS模型并利用事件研究實(shí)證方法研究直接摩擦變化對流動性黑洞的影響。本文在以下幾個方面做了創(chuàng)新性研究:(1)在深入探討證券市場流動性黑洞內(nèi)涵的基礎(chǔ)上,明確定義了流動性黑洞的概念。基于此前對于流動性的研究,從流動性黑洞的概念出發(fā),借鑒關(guān)于市場崩盤的測度模型,提出了流動性黑洞的二元測度模型。(2)研究信息不對稱對流動性黑洞的影響,在信息不對稱框架下推導(dǎo)了流動性黑洞的形成模型,指出在信息不對稱較高時,不知情交易者傾向于根據(jù)價格變化改變對市場的預(yù)期,從而出現(xiàn)集體的買入或拋售,這是導(dǎo)致流動性黑洞出現(xiàn)的重要因素;采用中國面板數(shù)據(jù)以固定效應(yīng)模型進(jìn)行實(shí)證進(jìn)一步論證了上述結(jié)論。(3)研究直接摩擦對流動性黑洞的影響,提出了考慮直接摩擦的hs模型,研究表明,直接摩擦?xí)黾恿鲃有院诙窗l(fā)生的可能性和提升流動性黑洞發(fā)生的幅度。采用單因素和多因素模型,以印花稅變動為研究對象,實(shí)證表明直接摩擦提升會提高流動性黑洞的發(fā)生頻率,與理論模型相符合。全文研究結(jié)論總結(jié)如下:本文重點(diǎn)研究了流動性黑洞的定義、測度指標(biāo)構(gòu)建及影響因素,研究結(jié)論表明:(1)流動性黑洞的定義是金融市場流動性在短時間內(nèi)驟然消失。參考關(guān)于市場崩盤的測度方式,得到了流動性黑洞的二元測度指標(biāo)。實(shí)證分析表明,中國證券市場的流動性黑洞具有流動性水平驟然下降、價格非對稱不連續(xù)變化和集聚性三大表現(xiàn)特征,和此前對于流動性黑洞的現(xiàn)象表現(xiàn)的描述一致,證明了該二元測度指標(biāo)的合理性和有效性。(2)影響流動性黑洞的因素很多,包括投資者同質(zhì)化、機(jī)構(gòu)投資者投資策略、資金約束、交易機(jī)制、泡沫破滅及金融市場摩擦,而流動性黑洞作為一種金融市場失靈現(xiàn)象,金融市場摩擦是其最重要的影響因素之一,其對流動性黑洞的影響可以從信息不對稱和直接摩擦兩方面進(jìn)行分析。(3)在市場信息不對稱程度較高時,不知情交易者傾向于因資產(chǎn)價格變化改變預(yù)期造成了流動性黑洞的發(fā)生,不知情交易者比例越高,市場出現(xiàn)流動性黑洞的可能性越高。對基金的研究表明,基金重倉股發(fā)生流動性黑洞的可能性較小,表明在我國,基金公司作為知情交易者,在股票市場中起到了穩(wěn)定市場的作用。(4)直接摩擦對流動性黑洞具有影響,理論和實(shí)證均表明直接摩擦變大時流動性黑洞發(fā)生的可能性和發(fā)生的幅度會更大。本文研究從理論上講,完善了對流動性黑洞定義、測度及影響因素的理論研究,并將其應(yīng)用于中國股票市場。從實(shí)踐上講,無論對監(jiān)管層和投資者,都可以加深對股票市場理解,防范流動性黑洞的產(chǎn)生。
[Abstract]:The traditional financial theory of financial markets in general equilibrium problem, and the research for the special stage of market supply and demand imbalance in the capital is relatively scarce. Liquidity refers to the financial asset liquidity suddenly disappears, which resulted in the capital market can not play a normal pricing and trading functions, have an adverse effect on market. Throughout history, the financial market liquidity crisis occurred frequently, liquidity black hole research is of great significance to understand the financial operation of the market. This paper uses research methods of economics financial knowledge, financial market microstructure theory and corporate finance, and uses fixed effect model in panel data, cross-sectional regression model, the control group research methods, event analysis and other measurement methods, using the Tai'an CSMAR database, Wind database and other financial terminal data base, and S Tata, Matlab and Eviews mathematical software, studied the influencing factors of Chinese stock market liquidity black hole. The main work of this paper includes: (1) summary of the research on the meaning of liquidity and the liquidity black hole and external performance, summarizes the past study literature on the formation mechanism of liquidity black hole and a large number of the effects of liquidity black hole. Based on the existing literature research on the research direction of this article. (2) discussed the connotation of the liquidity black hole, gives a clear definition of the liquidity black hole, from the market crash model obtained two yuan model to measure the liquidity black hole, and then measure the Chinese stock the market, on the flow characteristics of the black hole is discussed. (3) the influence of information asymmetry on the liquidity black hole, in the asymmetric information framework is established to form a model of liquidity black hole Type. To the structure of investors as a starting point, and the influence of the stock market Chinese panel data on information asymmetry of the liquidity black hole, and then study the market of our country the typical effect of informed traders - investment behavior of the fund liquidity black hole generated. (4) to examine the friction impact on liquidity black hole, considering the HS model directly the friction and research by using event study empirical methods directly affect the change on the friction of liquidity black hole. The innovative research in the following aspects: (1) based on the in-depth study of securities market liquidity black hole ", a clear definition of the concept of liquidity black hole. Prior to the study based on liquidity, starting from the concept of liquidity black hole, a reference model to measure the market crash, put forward two yuan model to measure the liquidity black hole. (2) study of information asymmetry on the liquidity black hole In effect, the asymmetric information framework is derived form the model of liquidity black hole, pointed out that in the information asymmetry is high, the uninformed traders tend to price changes according to the change of market expectations, to buy or sell the collective, which is an important factor leading to the liquidity black hole is Chinese; using panel data with fixed effects the empirical model to prove the above conclusion. (3) research on direct friction impact on liquidity of the black hole, HS model is proposed, considering the direct friction research shows that direct friction will increase the probability of liquidity black hole occurred and enhance the liquidity black holes to occur. The amplitude of the single factor model and multi factors in printing tax changes as the research object, empirical evidence shows that direct friction hoist will increase the frequency of occurrence of the liquidity black hole, consistent with the theoretical model. The conclusions of the study are summarized as follows: This paper Focus on the definition of liquidity black hole, and the factors affecting the indices, this study concluded that: (1) the definition of liquidity black hole is the liquidity of the financial market suddenly disappear in a short period of time. The reference about the market crash measure, obtained two yuan index to measure the liquidity black hole. The empirical analysis shows that the flow black hole Chinese securities market with liquidity levels plummet, symmetric discontinuous change and gather three features of non price, and prior to the liquidity black hole phenomenon description, proved that the $two measure is reasonable and effective. (2) a lot of factors that influence the liquidity black hole. Investors including homogenization, the investment strategy of institutional investors, capital constraints, trading mechanism, the bubble burst and the financial market friction, while the liquidity black hole as a phenomenon of the financial market, the financial market friction Cleaning is one of the most important factors which influence, its impact on the liquidity black hole can be analyzed from two aspects of information asymmetry and direct friction. (3) the degree of information asymmetry in the market is higher, the uninformed traders tend to change due to changes in asset prices is expected to create liquidity black holes, the proportion of uninformed traders the higher possibility of market liquidity black hole is higher. According to fund research, less likely to fund chongcanggu liquidity black hole, shows that in our country, the fund company as informed traders in the stock market, plays a role in stabilizing the market. (4) direct liquidity black hole with friction influence of theoretical and empirical show that direct friction occurred when the possibility of liquidity black hole and the rate will be greater. This paper studies theoretically, to improve the definition of liquidity, measure and The theoretical research of influencing factors is applied to China's stock market. Practically speaking, both regulators and investors can deepen understanding of stock market and prevent the generation of liquidity black hole.

【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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本文編號：1380669