本文選題：滬深股票市場 + VNET��； 參考：《哈爾濱理工大學》2012年碩士論文

【摘要】：流動性作為市場微觀結構理論研究的重要內容之一,越來越受到各界人士和學者的關注。股票市場存在的根本目的是為經(jīng)濟主體提供交易金融資產(chǎn)的機會,從而提高金融資產(chǎn)的流動性。股票市場的流動性,是指在交易成本盡可能低的情況下,使市場參與者能夠迅速執(zhí)行交易的能力。一個流動性高的市場將有利于投資者以合理的價格迅速完成交易,從而增強其投資的信心,這對保持股票市場的穩(wěn)定性起到重要作用。 隨著經(jīng)濟全球化的進一步發(fā)展,滬深股票市場面臨著國際上各種因素的沖擊,特別是金融危機的爆發(fā)使資本市場流動性再次成為研究的熱點。本文理論部分回顧了國內外股票市場流動性研究的現(xiàn)狀,并對股票市場流動性的衡量方法進行比較分析,以確定本文采用的衡量方法。模型驗證部分首先對VNET的基礎模型進行介紹,然后對基礎模型和VNET進行模型估計和相關檢驗,以驗證所采用模型在我國股票市場的適用性。實證研究部分,選擇滬深股票市場為研究對象,分別選取上證50指數(shù)及深證成指中具有代表性的各10只股票作為樣本,然后用VNET指標對這兩組樣本股票的交易情況所代表的流動性進行量化。最后對滬深股票市場樣本股票的VNET序列進行比較,發(fā)現(xiàn)滬市的流動性高于深市的流動性,并且流動性平穩(wěn)。 本文旨在通過對滬深股票市場流動性的比較研究,分析兩個市場流動性存在差異的原因,為改善我國股票市場的流動性提出改進建議,并達到為股票市場參與者提供理論支持以及實際操作建議的目的。
[Abstract]:As one of the important contents of market microstructure theory, liquidity attracts more and more attention from people from all walks of life and scholars.The fundamental purpose of the stock market is to provide the economic entities with the opportunity to trade financial assets, thereby enhancing the liquidity of financial assets.The liquidity of stock market refers to the ability of market participants to execute transactions quickly under the lowest transaction cost.A highly liquid market will allow investors to quickly complete transactions at reasonable prices, thereby boosting confidence in their investments, which will play an important role in maintaining the stability of the stock market.With the further development of economic globalization, Shanghai and Shenzhen stock markets are facing the impact of various international factors, especially the outbreak of financial crisis, capital market liquidity has become a hot spot again.The theoretical part of this paper reviews the current situation of stock market liquidity research at home and abroad, and makes a comparative analysis of the measurement methods of stock market liquidity, in order to determine the measurement methods used in this paper.In the part of model verification, the basic model of VNET is introduced, then the basic model and VNET are estimated and tested to verify the applicability of the model in Chinese stock market.In the empirical research part, the Shanghai and Shenzhen stock markets are chosen as the research objects, and 10 representative stocks in the Shanghai Stock Exchange 50 Index and the Shenzhen Stock Exchange component Index are selected as samples, respectively.Then use VNET index to quantify the liquidity represented by the trading situation of these two groups of sample stocks.Finally, by comparing the VNET sequence of Shanghai and Shenzhen stock market, we find that the liquidity of Shanghai stock market is higher than that of Shenzhen stock market, and the liquidity is stable.Through the comparative study of the liquidity of Shanghai and Shenzhen stock markets, this paper analyzes the reasons for the differences between the two markets, and puts forward some suggestions for improving the liquidity of China's stock markets.And achieve the purpose of providing theoretical support and practical operation advice for the participants in the stock market.
【學位授予單位】：哈爾濱理工大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F275;F832.51

【參考文獻】

相關期刊論文 前10條

1 馬偉;李勤;;我國股票市場流動性影響因素的實證研究[J];北方經(jīng)濟;2009年24期

2 潘亮節(jié);;我國股票市場流動性影響因素分析——來自中國A股證券市場的經(jīng)驗證據(jù)[J];財會通訊;2010年30期

3 王金安;;中國股票市場流動性的實證研究[J];財會通訊;2011年24期

4 張曉蓉;徐劍剛;邱世梁;;時變流動性深度模型[J];復旦學報(自然科學版);2007年02期

5 王聰;唐靜武;;中國股票市場流動性的比較研究[J];南方金融;2009年05期

6 馬超群;張明良;;ACD族計量模型的分類與比較分析[J];金融經(jīng)濟;2005年16期

7 戴國強,陸蓉;中國股票市場的周末效應檢驗[J];金融研究;1999年04期

8 靳云匯,楊文;上海股市流動性影響因素實證分析[J];金融研究;2002年06期

9 滕立寧;曲煒楠;;中小企業(yè)板與主板流動性比較[J];科技與管理;2008年02期

10 莊新田;劉洋;;中國股票市場流動性實證研究[J];南方經(jīng)濟;2006年02期

，

本文編號：1764350