【摘要】：我國股票市場以個體投資者居多，大部分投資者風險防范意識不強，對流動性風險的認識還不夠，為了追求高收益率將資產(chǎn)投資于預期收益較高、流動性較低的資產(chǎn)組合，在經(jīng)歷2008年股市的大起大落后，，我國投資者對規(guī)避風險的需求日趨加強，意識到在追求資產(chǎn)收益最大化的同時還必須保證資產(chǎn)的安全性。大部分研究文獻認為我國股票市場是存在流動性溢價現(xiàn)象的，且熊市時流動性溢價程度顯著高于牛市時流動性溢價程度，同時在牛市時市場通常表現(xiàn)出風險傳染現(xiàn)象，而熊市通常表現(xiàn)出流動性投資轉(zhuǎn)移現(xiàn)象。 本文首先對國內(nèi)外相關(guān)研究成果進行總結(jié)，然后在借鑒國內(nèi)外研究成果的基礎(chǔ)上將牛市、熊市進一步細分為恢復期、上升期、衰退前期、衰退后期四個子階段，并以2006-2010的數(shù)據(jù)研究了上海A股市場在四個子階段是否均存在流動性溢價現(xiàn)象以及流動性溢價程度，再次，在對風險傳染和流動性投資轉(zhuǎn)移做出具體界定的基礎(chǔ)上，將股票組合分為流動性好的股票和流動性差的股票，控制市場共同因素對流動性好與流動性差的股票組合的影響，分析流動性好與流動性差的股票組合之間在四個子區(qū)間是否存在風險傳染和流動性投資轉(zhuǎn)移現(xiàn)象，并借由投資者心理機制理論對模型結(jié)論進行解釋。 實證得到了兩個與現(xiàn)有研究不同的結(jié)論：（1）雖然熊市流動性溢價程度總體上高于牛市，但牛市中恢復期的流動性溢價程度反而高于熊市中的衰退后期；（2）熊市中衰退前期表現(xiàn)為流動性投資轉(zhuǎn)移現(xiàn)象，但衰退后期卻表現(xiàn)為風險傳染。
[Abstract]:Most of the stock markets in our country are individual investors, most of them are not aware of risk prevention, and the understanding of liquidity risk is not enough. in order to pursue high yield, invest assets in the portfolio with higher expected return and lower liquidity. After the ups and downs of the stock market in 2008, the demand for risk aversion of Chinese investors has been strengthened day by day, realizing that it is necessary to ensure the safety of assets while pursuing the maximization of asset returns. Most of the research literature holds that there is a liquidity premium in the stock market of our country, and the degree of liquidity premium in bear market is significantly higher than that in bull market. At the same time, in bull market, the market usually shows the phenomenon of risk contagion. Bear markets usually show the phenomenon of liquidity investment transfer. This paper first summarizes the relevant research results at home and abroad, and then on the basis of drawing lessons from the domestic and foreign research results, further subdivides the bull market and bear market into four sub-stages: recovery period, rising period, early recession stage and late recession stage. Based on the data of 2006 / 2010, this paper studies whether there is a liquidity premium phenomenon and the degree of liquidity premium in the four sub-stages of Shanghai A-share market. Thirdly, on the basis of the specific definition of risk contagion and liquidity investment transfer, The stock portfolio is divided into liquid stocks and illiquid stocks, and the influence of common factors in the market on the stock portfolio with good liquidity and poor liquidity is controlled. This paper analyzes whether there is risk contagion and liquidity investment transfer between the four sub-regions of the stock portfolio with good liquidity and poor liquidity, and explains the conclusion of the model by the theory of investor psychological mechanism. The empirical results are different from the existing studies: (1) although the liquidity premium of bear market is generally higher than that of bull market, the degree of liquidity premium in recovery period of bull market is higher than that in the late recession of bear market; (2) the phenomenon of liquidity investment transfer in the early stage of bear market is the phenomenon of liquidity investment transfer, but in the late stage of recession, it is risk contagion.
【學位授予單位】：湘潭大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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