本文關(guān)鍵詞：上海股票市場流動(dòng)性實(shí)證研究　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 流動(dòng)性 高頻流動(dòng)性指標(biāo) Ⅲiq_Zero 面板模型 資產(chǎn)定價(jià) 流動(dòng)性溢價(jià)“規(guī)模—流動(dòng)性”組 “賬面市值比—流動(dòng)性”組

【摘要】：流動(dòng)性是證券市場的重要屬性,它是指能夠在較短的時(shí)間內(nèi),以較小的交易成本,交易一定數(shù)量的資產(chǎn)且不會(huì)導(dǎo)致市場價(jià)格大幅波動(dòng)的能力。一個(gè)正常運(yùn)行的證券市場必須為廣大投資者轉(zhuǎn)讓和買賣證券及籌資者在一級(jí)市場上以較低成本融資提供足夠的流動(dòng)性。如果因缺乏足夠的流動(dòng)性而導(dǎo)致交易無法實(shí)現(xiàn),對(duì)股票市場乃至于整個(gè)實(shí)體經(jīng)濟(jì)都會(huì)產(chǎn)生非常嚴(yán)重的影響。鑒于流動(dòng)性的重要性,對(duì)流動(dòng)性的研究一直是金融市場微觀結(jié)構(gòu)領(lǐng)域的研究熱點(diǎn)之一,本文在前人研究的基礎(chǔ)上,對(duì)上海股票市場流動(dòng)性相關(guān)特征進(jìn)行了較為全面的實(shí)證探討,以期能為完善我國證券市場提供一些參考。 使用和研究流動(dòng)性,必須首先能夠有效的測度流動(dòng)性,由于流動(dòng)性包含四個(gè)維度,是一個(gè)很難定義、捉摸的概念,至今尚不存在公認(rèn)的最佳流動(dòng)性度量指標(biāo)。縱觀金融領(lǐng)域相關(guān)文獻(xiàn),流動(dòng)性被廣泛的應(yīng)用于資產(chǎn)定價(jià)。然而,因缺乏一個(gè)公認(rèn)的最優(yōu)流動(dòng)性指標(biāo),很多學(xué)者在研究流動(dòng)性與資產(chǎn)定價(jià)的關(guān)系時(shí),要么簡單的選定某個(gè)指標(biāo)代替流動(dòng)性,對(duì)選擇該指標(biāo)的原因并未做出詳細(xì)說明,即使進(jìn)行了分析,也只是簡單的定性分析,缺乏讓人信服的實(shí)證證明；要么同時(shí)選取數(shù)個(gè)指標(biāo),試圖通過不斷增加指標(biāo)數(shù)量來克服指標(biāo)選取的問題,從而造成實(shí)證結(jié)果的互相矛盾和不穩(wěn)定。 本文對(duì)流動(dòng)性指標(biāo)的選取做出了一些有意義的突破與創(chuàng)新：設(shè)計(jì)了三個(gè)流動(dòng)性指標(biāo)優(yōu)劣的比較評(píng)價(jià)標(biāo)準(zhǔn),使用高頻和低頻數(shù)據(jù),通過相關(guān)分析和面板分析,找到了一個(gè)適用于我國上海股票市場的最佳流動(dòng)性指標(biāo)。利用該流動(dòng)性指標(biāo),選取2001至2010年所有在上海股票市場交易的A股為樣本股,本文進(jìn)一步研究了流動(dòng)性與資產(chǎn)定價(jià)的關(guān)系,最終得到了一個(gè)較為穩(wěn)健且普適性較強(qiáng)的資產(chǎn)定價(jià)模型。 本文主要結(jié)構(gòu)如下： 第一章為緒論,主要介紹了本文的研究背景和研究意義。 第二章討論了流動(dòng)性的定義及度量方法。與現(xiàn)有文獻(xiàn)不同,本文不再從從流動(dòng)性四個(gè)維度出發(fā),將流動(dòng)性的衡量方法分為四種,即時(shí)間法、價(jià)差法、交易量法和價(jià)量結(jié)合法,而是將流動(dòng)性的四維分類為兩種成本,直接的交易成本(即時(shí)性和寬度)和間接的交易成本(深度和彈性),從成本角度對(duì)著名的流動(dòng)性指標(biāo)做了簡要介紹。 第三章對(duì)流動(dòng)性指標(biāo)進(jìn)行了實(shí)證比較研究。從CSMAR高頻數(shù)據(jù)庫下載了60只樣本股2005年1月至2008年12月的分筆交易數(shù)據(jù),設(shè)計(jì)了三個(gè)流動(dòng)性指標(biāo)優(yōu)劣的比較評(píng)價(jià)標(biāo)準(zhǔn),通過截面相關(guān)分析、時(shí)間序列相關(guān)分析和面板分析對(duì)7個(gè)使用廣泛的流動(dòng)性指標(biāo)進(jìn)行了比較,得到了一個(gè)主要結(jié)論,Illiq_zero是測度我國上海股票市場流動(dòng)性的最佳指標(biāo)。 第四章實(shí)證研究了流動(dòng)性與資產(chǎn)定價(jià)的關(guān)系。在第三章所得結(jié)論的基礎(chǔ)上,使用Illiq_zero指標(biāo)構(gòu)建了一個(gè)經(jīng)流動(dòng)性調(diào)整的資本資產(chǎn)定價(jià)模型。且以2001年1月至2010年12月所有在上海證券交易所掛牌交易的A股及A股指數(shù)的日數(shù)據(jù)和月數(shù)據(jù)為樣本數(shù)據(jù),通過構(gòu)造股票組合,采用最小二乘法、GRS檢驗(yàn)和wald檢驗(yàn),發(fā)現(xiàn)：在對(duì)規(guī)模和賬面市值比進(jìn)行控制后,流動(dòng)性較好的股票組合流動(dòng)性因子系數(shù)大多為負(fù),而流動(dòng)性較差的股票組合流動(dòng)性因子系數(shù)則大多為正,上海A股市場存在較顯著的流動(dòng)性風(fēng)險(xiǎn)溢價(jià)；回歸結(jié)果中,截距大多表現(xiàn)為不顯著,聯(lián)合檢驗(yàn)顯著等于0,各解釋因子系數(shù)大多表現(xiàn)為顯著,聯(lián)合檢驗(yàn)顯著不等于0,表明股票風(fēng)險(xiǎn)收益與市場風(fēng)險(xiǎn)溢價(jià)、公司規(guī)模、賬面市值比、流動(dòng)性四個(gè)自變量保持了較穩(wěn)定的線性關(guān)系,且模型在穩(wěn)健性檢驗(yàn)中表現(xiàn)良好,本章構(gòu)建的定價(jià)模型具有一定的普適性。 第五章是結(jié)論。對(duì)本文的研究過程和結(jié)果進(jìn)行了總結(jié)說明,并且指出了本文存在的不足及值得我們做進(jìn)一步研究的方向。
[Abstract]:Liquidity is an important attribute of the securities market, it is in a relatively short period of time, in lower cost, trade a certain amount of assets and will not cause the ability of market price volatility. A normal operation of the securities market for the majority of investors must transfer and buy and sell securities and fund raisers in the primary market with sufficient liquidity to lower the cost of financing. If due to lack of sufficient liquidity to the transaction can not be achieved, on the stock market and the real economy will have a very serious impact. In view of the importance of liquidity, liquidity has been the focus of research in the field of financial market microstructure. Based on the previous research, the Shanghai stock market liquidity related empirical characteristics are discussed comprehensively, in order to improve China's securities market to provide some reference.
The use and research of liquidity, must first be able to measure liquidity effectively, because liquidity consists of four dimensions, one is hard to define, elusive concept, there are still no accepted optimal liquidity measure. The related literature in the financial sector, liquidity is widely applied in asset pricing. However and because of the lack of an accepted optimal liquidity index, many scholars in the study of relationship between liquidity and asset pricing, or simply select a certain index instead of liquidity, did not make detailed reason for choosing the index, which is analyzed, a simple qualitative analysis, lack of empirical evidence that convincing; or at the same time a number of selected indicators, trying to overcome the problem of selecting the index by increasing the number of indexes, resulting in conflicting empirical results and unstable.
Make some significant breakthroughs and innovations of the paper selected liquidity index: design compared with the standard evaluation of three liquidity index of quality, use of high frequency and low frequency data, through the analysis of the correlation analysis and the panel, the best liquidity index to find a suitable for China's Shanghai stock market. The liquidity the index, from 2001 to 2010 in Shanghai stock market trading of A shares as samples, this paper further studies the relationship between liquidity and asset pricing, finally get a more robust and universal strong asset pricing model.
The main structure of this paper is as follows:
The first chapter is the introduction, which mainly introduces the background and significance of the research.
The second chapter discussed the definition of liquidity and measurement. Different from the existing literature, this article will not from four dimensions of liquidity, the liquidity measure is divided into four kinds, namely time method, spread, trading volume and price and volume combination method, but the classification of two dimensional flow the cost of transaction costs directly (instant and width) and indirect transaction costs (depth and flexibility), a brief introduction of the liquidity index famous from the perspective of cost.
A comparative study of the empirical dynamic index third chapter convection. From CSMAR database download the high-frequency trading data of 60 sample stocks from January 2005 to December 2008, compared with the standard design evaluation of the three liquidity index of quality, through cross correlation analysis, time series correlation analysis and panel analysis of 7 widely used liquidity the index were compared to obtain a main conclusion, Illiq_zero is the best measure of liquidity indicators in Shanghai stock market.
The fourth chapter is the empirical research of the relationship between liquidity and asset pricing. On the basis of the third chapter of the conclusion, the use of Illiq_zero index to construct a liquidity adjusted capital asset pricing model. And from January 2001 to December 2010 all listed on the Shanghai stock exchange's A shares and A shares index of the daily data and monthly data as the sample data, by constructing a portfolio of stocks, using the least squares method, GRS test and Wald test, found in size and book to market ratio after controlling stock portfolio liquidity factor good liquidity are mostly negative, while the flow of stock portfolio liquidity factor poor are mostly positive, Shanghai A stock market liquidity risk premium is significant; the regression results, the intercept is mostly not significant, joint test was equal to 0, the explanatory factor coefficients are significantly associated. Test was not equal to 0, indicating that the stock market risk return and risk premium, firm size, book to market ratio, liquidity four variables remained relatively stable linear relationship, and the model performance in the robustness test, this chapter constructs the pricing model has a certain universality.
The fifth chapter is the conclusion. We summarize the research process and results in this paper, and point out the shortcomings of this article and the direction for further research.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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