本文選題：流動(dòng)性　切入點(diǎn)：價(jià)差　出處：《東北大學(xué)》2005年碩士論文

【摘要】：股票市場(chǎng)存在的根本目的在于向投資者提供轉(zhuǎn)讓股票的機(jī)會(huì)，也就是為了提高投資者持有股票的流動(dòng)性。流動(dòng)性是進(jìn)行金融資產(chǎn)定價(jià)的核心所在，缺乏或沒(méi)有流動(dòng)性的金融資產(chǎn)，其價(jià)值不僅會(huì)低估，甚至可能出現(xiàn)無(wú)人愿意持有的極端現(xiàn)象。流動(dòng)性的存在是股票市場(chǎng)存在的基礎(chǔ)和前提，失去了象征流動(dòng)性的買賣要約，股票市場(chǎng)就消失了，轉(zhuǎn)變?yōu)閭�(gè)人之間的雙方合同行為。 考慮到流動(dòng)性對(duì)股票市場(chǎng)的重要性和中國(guó)股票市場(chǎng)處于發(fā)展初期，還有很多需要完善的地方，本文對(duì)中國(guó)滬深股市的流動(dòng)性特征進(jìn)行了比較全面的研究，以便為中國(guó)股票市場(chǎng)的完善提供一些有用的思路。 金融市場(chǎng)微觀結(jié)構(gòu)理論研究已基本成熟，目前已進(jìn)入實(shí)證研究階段，但絕大多數(shù)實(shí)證研究主要集中在歐美等發(fā)達(dá)國(guó)家的報(bào)價(jià)驅(qū)動(dòng)市場(chǎng)，而關(guān)于指令驅(qū)動(dòng)市場(chǎng)的微觀結(jié)構(gòu)研究還剛剛起步。中國(guó)的證券市場(chǎng)成立于90年代初，處于初級(jí)發(fā)展階段，關(guān)于中國(guó)證券市場(chǎng)流動(dòng)性的實(shí)證研究近幾年來(lái)才有涉及，但基本都只考慮流動(dòng)性的單一屬性，即只研究流動(dòng)性的某一方面。由于流動(dòng)性的多重屬性，而且現(xiàn)在還沒(méi)有測(cè)度流動(dòng)性的統(tǒng)一指標(biāo)，用單一的指標(biāo)進(jìn)行流動(dòng)性研究，得出的結(jié)論有失準(zhǔn)確性�；诖�，本文采用指標(biāo)體系的方法，對(duì)中國(guó)股票市場(chǎng)的流動(dòng)性進(jìn)行了全面的研究，具體包括：短期流動(dòng)性研究和長(zhǎng)期流動(dòng)性研究。短期流動(dòng)性研究是指同時(shí)對(duì)中國(guó)股票市場(chǎng)的價(jià)差和深度的日內(nèi)模式及其影響因素進(jìn)行研究，從而來(lái)考察中國(guó)股票市場(chǎng)的短期流動(dòng)性及其影響因素。市場(chǎng)微觀結(jié)構(gòu)理論認(rèn)為，股票市場(chǎng)的價(jià)差和深度受股票價(jià)格、交易量和波動(dòng)性的影響，本文除了考慮以上因素以外，考慮到各股票的流通規(guī)模和投資者偏好不同，還檢驗(yàn)了公司規(guī)模對(duì)價(jià)差和深度的影響；長(zhǎng)期流動(dòng)性研究是指采用換手率和馬丁指數(shù)構(gòu)成指標(biāo)體系，對(duì)中國(guó)滬深股市各年流動(dòng)性的變化特征以及滬深股市長(zhǎng)期流動(dòng)性的差異性和聯(lián)動(dòng)性進(jìn)行研究。換手率和馬丁指數(shù)綜合考慮了流動(dòng)性的及時(shí)性、寬度和深度屬性，同時(shí)針對(duì)馬丁指數(shù)的缺陷，對(duì)其進(jìn)行了改進(jìn)，通過(guò)檢驗(yàn)表明，改進(jìn)后的馬丁指數(shù)消除了原來(lái)的缺陷。 本文研究結(jié)論如下： 短期流動(dòng)性研究表明，，滬深股市日內(nèi)相對(duì)價(jià)差呈“L”型變化模式，而深度呈現(xiàn)近似倒“S”型變化模式，二者呈相反的變化趨勢(shì)；相對(duì)價(jià)差與股票價(jià)格和交易量負(fù)相關(guān)，與波動(dòng)性正相關(guān)。然而，滬深股市的相對(duì)價(jià)差與各自市場(chǎng)的公司規(guī)模卻呈現(xiàn)不一致的相關(guān)關(guān)系。滬市相對(duì)價(jià)差與公司規(guī)模呈正相關(guān)關(guān)系，深市相對(duì)價(jià)
[Abstract]:The fundamental purpose of the stock market is to provide investors with the opportunity to transfer stocks, that is, to increase the liquidity of investors' holdings of stocks. Liquidity is at the heart of the pricing of financial assets. The value of financial assets without or without liquidity will not only be underestimated, but may even appear an extreme phenomenon that no one is willing to hold. The existence of liquidity is the basis and premise of the existence of the stock market, and it loses the offer to buy and sell, which symbolizes liquidity. The stock market disappears and turns into an act of mutual contract between individuals. Considering the importance of liquidity to the stock market and the fact that the Chinese stock market is in the early stage of development, there are still many areas that need to be improved, so this paper makes a relatively comprehensive study on the liquidity characteristics of China's Shanghai and Shenzhen stock markets. In order to provide some useful ideas for the perfection of Chinese stock market. The research on financial market microstructure theory has basically matured and has entered the stage of empirical research. However, most of the empirical research is mainly focused on the quoted price driven market in developed countries such as Europe and the United States. However, the research on the microstructure of the command-driven market is still in its infancy. China's securities market was founded in the early 1990s, and it is in the primary stage of development that the empirical research on the liquidity of China's securities market has only been involved in recent years. But basically, only the single attribute of liquidity is considered, that is, only one aspect of liquidity is studied. Because of the multiple attributes of liquidity, and now there is no uniform index to measure liquidity, a single index is used to study liquidity. The conclusion is inaccurate. Based on this, this paper makes a comprehensive study on the liquidity of Chinese stock market by using the method of index system. It includes short-term liquidity research and long-term liquidity research. Short-term liquidity research refers to the intraday model and its influencing factors of the price difference and depth of Chinese stock market. The market microstructure theory holds that the price difference and depth of the stock market are influenced by the stock price, trading volume and volatility. Considering that the size of the stocks in circulation and the preferences of investors are different, the effect of the size of the company on the spread and depth of the price is also examined. Long-term liquidity studies refer to the use of the turnover rate and the Martin index to form an indicator system. This paper studies the variation characteristics of liquidity in Shanghai and Shenzhen stock markets, and the difference and linkage of long-term liquidity in Shanghai and Shenzhen stock markets. The turnover rate and Martin index consider the timeliness, width and depth of liquidity. At the same time, aiming at the defect of Martin index, it is improved. The result of test shows that the improved Martin index eliminates the original defect. The conclusions of this paper are as follows:. Short-term liquidity studies show that the intraday relative price difference in Shanghai and Shenzhen stock markets shows a "L" pattern, while the depth is similar to the "S" type model, and the relative price difference is negatively correlated with the stock price and trading volume. However, the relative price difference between Shanghai and Shenzhen stock markets is not consistent with the size of the companies in their respective markets. There is a positive correlation between the relative price spreads in Shanghai and the size of companies, and the relative price in Shenzhen stock market.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2005
【分類號(hào)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)期刊論文 前1條

1 劉昊;;金融市場(chǎng)流動(dòng)性波動(dòng)溢出效應(yīng)的實(shí)證分析[J];南方金融;2011年01期

相關(guān)碩士學(xué)位論文 前3條

1 滕立寧;中小企業(yè)板與主板市場(chǎng)流動(dòng)性比較研究[D];哈爾濱工程大學(xué);2008年

2 郭穎;我國(guó)國(guó)債市場(chǎng)流動(dòng)性研究[D];哈爾濱工程大學(xué);2008年

3 張慧;股指期貨的推出對(duì)股票市場(chǎng)質(zhì)量影響研究[D];天津大學(xué);2009年

本文編號(hào)：1663601