發(fā)布時(shí)間：2019-04-29 07:12

【摘要】：市場流動(dòng)性刻畫市場的交易能力,融資流動(dòng)性反映投資者的融資能力,兩種流動(dòng)性及其相關(guān)程度是衡量金融市場健康發(fā)展的重要指標(biāo),為了控制與防范危機(jī)時(shí)期金融市場的風(fēng)險(xiǎn),有必要準(zhǔn)確分析和量化融資流動(dòng)性與市場流動(dòng)性的關(guān)系。以融資流動(dòng)性和股票市場流動(dòng)性為研究對(duì)象,以美國次級(jí)債危機(jī)作為研究背景,選擇2000年1月3日～2008年4月30日作為樣本區(qū)間,運(yùn)用DCC-MVGARCH模型估計(jì)融資流動(dòng)性與股票市場流動(dòng)性之間的動(dòng)態(tài)相關(guān)系數(shù),并通過t檢驗(yàn)對(duì)比金融危機(jī)前后兩者之間動(dòng)態(tài)條件相關(guān)系數(shù)的時(shí)間走勢,以證實(shí)兩種流動(dòng)性在危機(jī)時(shí)期是否存在相互增強(qiáng)的促進(jìn)作用。實(shí)證結(jié)果表明,危機(jī)爆發(fā)前,融資流動(dòng)性與股票市場流動(dòng)性的動(dòng)態(tài)相關(guān)性較低,且相對(duì)穩(wěn)定,但危機(jī)爆發(fā)后,兩種流動(dòng)性的相關(guān)性顯著增強(qiáng),且波動(dòng)程度變大,呈現(xiàn)出流動(dòng)性螺旋的現(xiàn)象。這一結(jié)論為危機(jī)中市場流動(dòng)性突然消失提供了理論解釋,并以此提出提升市場流動(dòng)性的相關(guān)政策和建議。
[Abstract]:Market liquidity characterizes the trading ability of the market, and the financing liquidity reflects the financing ability of investors. The two kinds of liquidity and their correlation are important indicators to measure the healthy development of financial markets. In order to control and prevent the risk of financial market in crisis period, it is necessary to analyze and quantify the relationship between financing liquidity and market liquidity accurately. Taking financing liquidity and stock market liquidity as the research object and taking the subprime debt crisis in the United States as the research background, this paper chooses January 3, 2000 to April 30, 2008 as the sample interval. The DCC-MVGARCH model is used to estimate the dynamic correlation coefficient between financing liquidity and stock market liquidity, and the time trend of dynamic conditional correlation coefficient between the two before and after the financial crisis is compared by t-test. In order to confirm whether the two kinds of liquidity during the crisis there is a mutually reinforcing role in the promotion. The empirical results show that before the crisis, the dynamic correlation between financing liquidity and stock market liquidity is low and relatively stable, but after the crisis, the correlation between the two kinds of liquidity increases significantly, and the degree of fluctuation becomes larger. Present the phenomenon of liquidity spiral. This conclusion provides a theoretical explanation for the sudden disappearance of market liquidity in the crisis, and puts forward relevant policies and suggestions to improve market liquidity.
【作者單位】： 上海交通大學(xué)安泰經(jīng)濟(jì)與管理學(xué)院;
【基金】：國家自然科學(xué)基金(70773075)~~
【分類號(hào)】：F224;F820

【共引文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 關(guān)家雄;“股權(quán)分置”改革中財(cái)富的創(chuàng)造[D];廈門大學(xué);2007年

【二級(jí)參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 洪永淼;成思危;劉艷輝;汪壽陽;;中國股市與世界其他股市之間的大風(fēng)險(xiǎn)溢出效應(yīng)[J];經(jīng)濟(jì)學(xué)(季刊);2004年02期

2 陸蓉,徐龍炳;“牛市”和“熊市”對(duì)信息的不平衡性反應(yīng)研究[J];經(jīng)濟(jì)研究;2004年03期

3 張亦春,周穎剛;中國股市弱式有效嗎?[J];金融研究;2001年03期

4 金洪飛,李子奈;資本流動(dòng)與貨幣危機(jī)[J];金融研究;2001年12期

5 谷耀;陸麗娜;;滬、深、港股市信息溢出效應(yīng)與動(dòng)態(tài)相關(guān)性——基于DCC-(BV)EGARCH-VAR的檢驗(yàn)[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2006年08期

【相似文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 呂亮雯;DCC-MVGARCH模型計(jì)算方法研究及在金融市場中的應(yīng)用[D];暨南大學(xué);2006年

，

本文編號(hào)：2468054