【摘要】：傳統(tǒng)的金融市場理論假設(shè)金融資產(chǎn)的交易環(huán)境無摩擦。然而事實(shí)上,任何金融市場的投資者都面臨流動性的限制,流動性對資產(chǎn)價格的影響程度成為了一個廣受爭議的問題。 本文試圖檢驗(yàn)在中國這樣的新興證券市場(通常被認(rèn)為流動性較差)流動性風(fēng)險對資產(chǎn)定價的影響力,從流動性風(fēng)險的溢價形式和流動性風(fēng)險溢價測算方法兩個方面,研究流動性風(fēng)險的溢價。主要包括以下內(nèi)容和創(chuàng)新: 1.目前國內(nèi)的研究還僅限于流動性和風(fēng)險溢價的孤立研究,關(guān)于流動性風(fēng)險溢價的研究較為鮮有。本文提出,在缺乏成熟經(jīng)濟(jì)理論指導(dǎo)的情況下,為了研究二者的動態(tài)關(guān)系,可結(jié)合運(yùn)用觀察VAR脈沖響應(yīng)和格蘭杰非因果性檢驗(yàn),清楚地觀察流動性和收益的傳遞過程和多期沖擊方式,從而容易觀察到不流動性溢價現(xiàn)象。實(shí)證研究表明,隨著中國證券市場的發(fā)展,市場流動性特征也在發(fā)生變化,2002年中國股票市場出現(xiàn)了“不流動性溢價”現(xiàn)象。說明中國股票市場的有效性在增加,且目前流動性風(fēng)險不能忽略,應(yīng)參與資產(chǎn)定價。 2.由于現(xiàn)存理論不能很好的解釋流動性與收益的動態(tài)關(guān)系為什么表現(xiàn)為“不流動性溢價”,本文借鑒Amihud(2002)的思想,改進(jìn)了其模型,通過ARIMA模型把不流動性劃分為預(yù)期的不流動性和未預(yù)期的不流動性,然后把得到的這兩個序列作為外生變量加入到GARCH-M模型中,通過把流動性進(jìn)行科學(xué)的分解,同時考慮了波動的時變性和對市場風(fēng)險的補(bǔ)償,得到了關(guān)于“不流動性溢價”的理論解釋。即:股票的超額回報包含不流動性補(bǔ)償,預(yù)期的不流動性與未來市場超額回報正相關(guān),而未預(yù)期的不流動性與當(dāng)期的市場超額回報負(fù)相關(guān)。 3.目前國內(nèi)外文獻(xiàn)關(guān)于極值理論在金融領(lǐng)域的應(yīng)用主要為各股市收益的極值相關(guān)研究,從而研究分散化投資問題和金融風(fēng)險的控制問題。本文采用高頻數(shù)據(jù),首次將這種理論運(yùn)用在流動性風(fēng)險和市場風(fēng)險的極值相關(guān)性研究上,分別用寬度和收益代表流動性風(fēng)險和市場風(fēng)險,研究了上海股票市場流動性風(fēng)險和市場風(fēng)險的極值相關(guān)特征。研究表明:中國股票市場上,投資者面臨的流動性風(fēng)險具有不對稱性,在市場大幅下跌時,流動性風(fēng)險放大,而在市場大幅上漲時,流動性風(fēng)
[Abstract]:Traditional financial market theory assumes that the trading environment of financial assets is frictionless. In fact, however, any investor in financial markets faces liquidity restrictions, and the extent to which liquidity affects asset prices has become a controversial issue. This paper attempts to examine the influence of liquidity risk on asset pricing in emerging securities markets such as China (usually considered to be less liquid), from two aspects: the form of liquidity risk premium and the method of measuring liquidity risk premium. Study the premium of liquidity risk. Mainly include the following contents and innovations: 1. At present, the domestic research is limited to the isolated study of liquidity and risk premium, and the research on liquidity risk premium is rare. In this paper, in the absence of the guidance of mature economic theory, in order to study the dynamic relationship between the two, we can combine observation of VAR impulse response and Granger non-causality test. It is easy to observe the phenomenon of illiquidity premium by observing clearly the transmission process of liquidity and income and the multi-stage shock mode. The empirical study shows that with the development of China's securities market, the liquidity characteristics of the market are also changing, and the "illiquidity premium" phenomenon appeared in the Chinese stock market in 2002. It shows that the efficiency of Chinese stock market is increasing, and the liquidity risk can not be ignored at present, and should participate in asset pricing. 2. Because the existing theories can not explain why the dynamic relationship between liquidity and income is represented as "illiquidity premium", this paper improves the model of Amihud (2002) by using the idea of "illiquidity premium". Through the ARIMA model, the illiquidity is divided into expected illiquidity and unexpected illiquidity, and then the two sequences are added to the GARCH-M model as exogenous variables, and the liquidity is scientifically decomposed. At the same time, considering the time variation of volatility and compensation for market risk, the theoretical explanation of "illiquidity premium" is obtained. That is, the excess return of stock includes the compensation of illiquidity, the expected illiquidity is positively correlated with the future market excess return, and the unanticipated illiquidity is negatively correlated with the current market excess return. 3. At present, the application of extreme value theory in the field of finance in domestic and foreign literature is mainly related to the extreme value of stock market returns, so as to study the problem of diversification investment and the control of financial risk. This paper uses high frequency data for the first time to apply this theory to the study of the extreme value correlation between liquidity risk and market risk, using width and income to represent liquidity risk and market risk, respectively. The characteristics of extreme value correlation between liquidity risk and market risk in Shanghai stock market are studied. The study shows that the liquidity risk faced by investors in China's stock market is asymmetric. When the market falls sharply, the liquidity risk increases, and when the market rises sharply, the liquidity wind increases.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2004
【分類號】：F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前2條

1 李青;投資者情緒對市場風(fēng)險價格的影響[D];天津大學(xué);2011年

2 王姍姍;中國證券市場高頻數(shù)據(jù)極值的波動性研究[D];吉林大學(xué);2012年

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本文編號：2322318