發(fā)布時間：2018-01-26 22:17

  本文關(guān)鍵詞： 資本市場效率 流動性 衡量 相關(guān)性　出處：《山西大學》2012年碩士論文　論文類型：學位論文

【摘要】：資本市場的效率是指資本市場的運作能力和其對經(jīng)濟發(fā)展的作用能力,資本市場效率的高低決定著資本市場發(fā)揮作用的成本和作用力的強弱,同時也在很大程度上決定了整個經(jīng)濟體系的效率。而流動性作為資本市場生命力的所在,是衡量資本市場運行質(zhì)量的核心指標,是影響價格行為的重要因素,也是市場配置資源的重要能力。本文關(guān)注的重點是我國資本市場效率和流動性之間的相關(guān)性問題,在研究此問題的過程中又引出了對我國資本市場效率和流動性的分別測度。本文在國內(nèi)外現(xiàn)有的理論研究基礎(chǔ)上,借鑒Dennis Chung和Karel Hrazdil (2010)提出的關(guān)于資本市場效率的測度以及資本市場效率與流動性的相關(guān)性研究模型,并針對中國資本市場的特點對其加以修改和優(yōu)化,以期更符合中國資本市場的特點和本文的寫作需求。通過慎重篩選,最終確定了本文實證研究的樣本為2005-2010年間上證A股中的28只股票。利用上述模型和樣本進行實證分析,最終得出以下結(jié)論：中國資本市場效率與流動性是呈現(xiàn)正相關(guān)關(guān)系的,與其他的影響因素也呈現(xiàn)了不同的較為顯著的相關(guān)關(guān)系；加入了新信息變量后發(fā)現(xiàn),在新信息存在的情況下,流動性對資本市場效率的影響程度更強；中國資本市場目前還不夠成熟,資本市場效率和流動性的方面還需要進一步的發(fā)展和穩(wěn)定；影響資本市場效率高低的主要因素是資本市場的流動性,所以在今后提高我國資本市場效率方面,應(yīng)首要考慮資本市場流動性因素。
[Abstract]:The efficiency of the capital market refers to the ability of the capital market to operate and its effect on the economic development. The efficiency of the capital market determines the cost and force of the capital market to play its role. At the same time, it also determines the efficiency of the whole economic system to a great extent. As the vitality of capital market, liquidity is the core index to measure the operation quality of capital market and the important factor to influence the price behavior. This paper focuses on the correlation between the efficiency and liquidity of the capital market in China. In the process of studying this problem, it leads to the measurement of the efficiency and liquidity of China's capital market. This paper is based on the existing theoretical research at home and abroad. Using Dennis Chung and Karel Hrazdil 2010 for reference, the paper proposes the measurement of capital market efficiency and the research model of the correlation between capital market efficiency and liquidity. And according to the characteristics of China's capital market to modify and optimize, in order to more in line with the characteristics of China's capital market and the writing needs of this paper, through careful screening. Finally, the sample of this empirical study is 28 stocks in Shanghai Stock Exchange A stock from 2005 to 2010. Using the above model and sample to carry out empirical analysis. Finally, the following conclusions are drawn: the efficiency of China's capital market is positively correlated with liquidity, and has different and more significant correlation with other influencing factors. After adding new information variables, it is found that liquidity has a stronger influence on the efficiency of capital market under the condition of the existence of new information. China's capital market is not yet mature, the efficiency and liquidity of the capital market needs further development and stability; The main factor affecting the efficiency of the capital market is the liquidity of the capital market. Therefore, in improving the efficiency of the capital market in China, the liquidity factor of the capital market should be considered first.
【學位授予單位】：山西大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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