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

【摘要】：流動(dòng)性作為市場(chǎng)微觀結(jié)構(gòu)理論研究的重要內(nèi)容之一,越來(lái)越受到各界人士和學(xué)者的關(guān)注。股票市場(chǎng)存在的根本目的是為經(jīng)濟(jì)主體提供交易金融資產(chǎn)的機(jī)會(huì),從而提高金融資產(chǎn)的流動(dòng)性。股票市場(chǎng)的流動(dòng)性,是指在交易成本盡可能低的情況下,使市場(chǎng)參與者能夠迅速執(zhí)行交易的能力。一個(gè)流動(dòng)性高的市場(chǎng)將有利于投資者以合理的價(jià)格迅速完成交易,從而增強(qiáng)其投資的信心,這對(duì)保持股票市場(chǎng)的穩(wěn)定性起到重要作用。 隨著經(jīng)濟(jì)全球化的進(jìn)一步發(fā)展,滬深股票市場(chǎng)面臨著國(guó)際上各種因素的沖擊,特別是金融危機(jī)的爆發(fā)使資本市場(chǎng)流動(dòng)性再次成為研究的熱點(diǎn)。本文理論部分回顧了國(guó)內(nèi)外股票市場(chǎng)流動(dòng)性研究的現(xiàn)狀,并對(duì)股票市場(chǎng)流動(dòng)性的衡量方法進(jìn)行比較分析,以確定本文采用的衡量方法。模型驗(yàn)證部分首先對(duì)VNET的基礎(chǔ)模型進(jìn)行介紹,然后對(duì)基礎(chǔ)模型和VNET進(jìn)行模型估計(jì)和相關(guān)檢驗(yàn),以驗(yàn)證所采用模型在我國(guó)股票市場(chǎng)的適用性。實(shí)證研究部分,選擇滬深股票市場(chǎng)為研究對(duì)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(biāo)對(duì)這兩組樣本股票的交易情況所代表的流動(dòng)性進(jìn)行量化。最后對(duì)滬深股票市場(chǎng)樣本股票的VNET序列進(jìn)行比較,發(fā)現(xiàn)滬市的流動(dòng)性高于深市的流動(dòng)性,并且流動(dòng)性平穩(wěn)。 本文旨在通過(guò)對(duì)滬深股票市場(chǎng)流動(dòng)性的比較研究,分析兩個(gè)市場(chǎng)流動(dòng)性存在差異的原因,為改善我國(guó)股票市場(chǎng)的流動(dòng)性提出改進(jìn)建議,并達(dá)到為股票市場(chǎng)參與者提供理論支持以及實(shí)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(xué)位授予單位】：哈爾濱理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F275;F832.51

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