本文選題：流動性 + 行業(yè)��； 參考：《東北財經(jīng)大學(xué)》2012年碩士論文

【摘要】：證券市場中流動性與波動性的研究一直都是現(xiàn)代金融領(lǐng)域中的熱點問題,流動性與波動性也始終貫穿整個市場微觀結(jié)構(gòu)理論,更是被用來設(shè)計市場結(jié)構(gòu)及評價一個市場結(jié)構(gòu)是否成熟、穩(wěn)定的標(biāo)準(zhǔn),2010年滬深300股指期貨合約的推出更是結(jié)束了市場的單邊交易機制,完善了中國的資本市場結(jié)構(gòu)。正確認(rèn)識股指期貨推出兩年以來中國資本市場的運行情況對投資者做出準(zhǔn)確的投資策略以及決策者制定有效的宏觀政策具有重要的作用,因此對現(xiàn)階段中國資本市場流動性與波動性的實證研究具有重要的現(xiàn)實意義,而從行業(yè)與市場態(tài)勢角度分析股票市場中流動性與波動性的問題,不僅可以為投資者提供較為精確的投資建議,更能為決策者與監(jiān)管者提供相應(yīng)的政策建議,而對股指期貨市場交易的實證研究則可以幫助市場參與者了解當(dāng)前期指市場的運行情況及市場功能的發(fā)揮情況,其中對股指期貨的中外對比研究旨在揭示國內(nèi)期指市場與國外期指市場相比較所存在的不足之處,為國內(nèi)資本市場的不斷完善提供相應(yīng)的建議。 本文具體的研究內(nèi)容與主要結(jié)論如下： 首先,從行業(yè)與市場態(tài)勢角度研究了股票市場流動性與波動性之間的關(guān)系,行業(yè)分析中,本文使用公司截面的Fama-MacBeth回歸分析了不同行業(yè)市場中流動性與波動性等市場交易特征變量之間的關(guān)系,結(jié)果表明不同流動性指標(biāo)與市場波動性之間表現(xiàn)出較大差異的相關(guān)性,且在壟斷程度較高的行業(yè)中,流動性與波動性的相關(guān)性程度較弱。在市場態(tài)勢分析中,本文使用了Lunde和Timmermann方法區(qū)分了樣本期內(nèi)的牛市與熊市,使用CGARCH模型分析不同態(tài)勢下時變波動性的長期成分與短期成分,并重點研究了短期波動與預(yù)期流動性和非預(yù)期流動性之間的關(guān)系,結(jié)果表明預(yù)期流動性在不同態(tài)勢下對市場短期波動有相反的影響,而非預(yù)期流動性總是會增大市場短期波動,增大市場內(nèi)的短期風(fēng)險。 其次,從價量關(guān)系角度研究了股指期貨市場交易活動對股票市場、股指期貨市場波動性的影響。其中在股票市場分析中,使用HP濾波方法對成交量、持倉量等序列去趨勢,并將去趨勢后的成交量、持倉量分解為預(yù)期成分與非預(yù)期成分,利用Bessembinder和Seguin方法分析股指期貨市場交易活動對股票市場波動性的影響,結(jié)果表明股票市場波動更多的是受股票市場成交量的影響,股指期貨市場中預(yù)期成交量對股票市場有較弱的正向解釋能力,而持倉量因素則對股票市場沒有影響；而在股指期貨市場分析中,同樣利用BS方法研究股指期貨市場交易活動對期指市場波動性的影響,并通過多個國家期指合約的數(shù)據(jù)對比分析了不同期指市場中波動性與流動性的關(guān)系,結(jié)果表明期指市場成交量對波動性有正向解釋能力,而持倉量對波動性有負(fù)向解釋能力,其中持倉量具有更強的解釋能力,而通過對比分析發(fā)現(xiàn)美國、英國等歐美期指市場波動主要受到成交量、持倉量非預(yù)期成分的影響,而中國與日本期指市場不僅受到非預(yù)期成分的影響,還受到預(yù)期成分的影響。
[Abstract]:The study of liquidity and volatility in the stock market has always been a hot issue in the field of modern finance. Liquidity and volatility also run through the whole market micro structure theory. It is also used to design market structure and evaluate the maturity and stability of a market structure. The introduction of Shanghai and Shenzhen 300 stock index futures contracts in 2010 is more At the end of the market, the unilateral transaction mechanism and the capital market structure of China have been perfected. It is important for the investors to make an accurate investment strategy and to make effective macro policies for the investors to make a correct understanding of the operation of the Chinese capital market since the introduction of stock index futures for two years. The empirical study of volatility and volatility is of great practical significance. The analysis of liquidity and volatility in the stock market from the perspective of industry and market situation can not only provide more accurate investment proposals for investors, but also provide policy suggestions for decision-makers and regulators, and empirical research on stock index futures market transactions. The study can help the market participants to understand the running situation of the current futures market and the situation of the market function. The comparative study of the stock index futures is aimed at revealing the shortcomings of the domestic futures market compared with the foreign futures market, and providing the corresponding suggestions for the continuous improvement of the domestic capital market.
The specific research contents and main conclusions are as follows:
First, the relationship between liquidity and volatility in the stock market is studied from the perspective of industry and market situation. In the industry analysis, the relationship between liquidity and volatility in different industry markets is analyzed by using the Fama-MacBeth regression of the company section. The results show that the different liquidity indexes and market volatility are different. There is a significant correlation between sex differences, and there is a weak correlation between liquidity and volatility in high monopoly industries. In the market situation analysis, the Lunde and Timmermann methods are used to distinguish between the bull market and the bear market in the sample period, and the CGARCH model is used to analyze the long-term component of the time-varying volatility under different trends. In the short term, the relationship between short-term volatility and expected liquidity and unexpected liquidity is focused on. The results show that expected liquidity has the opposite effect on short-term market volatility in different situations, while non expected liquidity will increase short-term market volatility and increase short-term risk in the market.
Secondly, the influence of stock index futures market activity on stock market and stock index futures market volatility is studied from the perspective of price relation. In the analysis of stock market, the HP filtering method is used for the trend of volume, holding volume and so on, and the volume after the trend is divided into expected and unexpected components, and B is used. Essembinder and Seguin methods are used to analyze the effect of stock index futures market transactions on stock market volatility. The results show that the volatility of stock market is more influenced by the stock market turnover. The expected volume of stock index futures market has a weak positive explanatory power to the stock market, while the position factor has no shadow on the stock market. In the stock index futures market analysis, the BS method is also used to study the effect of the stock index futures market trading activities on the volatility of the futures market, and the relationship between volatility and liquidity in different futures markets is analyzed through the comparison of the data of the futures contracts in several countries. The results show that the market volume has a positive explanation for volatility. Capacity, and holding capacity has a negative explanatory ability to volatility, in which the holding capacity has a stronger explanatory capacity. Through comparative analysis, it is found that the market volatility in the United States and the United States, such as the United States, Britain and the United States, are mainly influenced by the volume of trading, the unexpected position of the position, and the market of China and Japan not only affected by the unexpected components, but also preoccupied. The influence of the phase composition.

【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F830.91

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