本文選題：中國(guó)股票市場(chǎng) + 流動(dòng)性��； 參考：《遼寧大學(xué)》2013年碩士論文

【摘要】：隨著金融市場(chǎng)的發(fā)展，金融理論也在不斷的更新。產(chǎn)生于20世紀(jì)60年代的金融市場(chǎng)微觀結(jié)構(gòu)理論作為金融理論的一個(gè)重要分支，越來(lái)越受到學(xué)者們的關(guān)注。流動(dòng)性作為金融市場(chǎng)微觀結(jié)構(gòu)理論的基本研究方向，，更是研究的重中之重。一個(gè)金融市場(chǎng)能夠有效運(yùn)行，流動(dòng)性起了決定性的作用。Amihud和Mendelson在1990年指出：“市場(chǎng)的主要功能就是提供流動(dòng)性，流動(dòng)性是市場(chǎng)的一切”。 對(duì)于流動(dòng)性的研究起源于美國(guó)，基于美國(guó)報(bào)價(jià)驅(qū)動(dòng)市場(chǎng)建立起來(lái)的流動(dòng)性理論也已經(jīng)比較成熟了。但是我國(guó)股票市場(chǎng)是指令驅(qū)動(dòng)型，市場(chǎng)交易機(jī)制不同，流動(dòng)性的形成過(guò)程就不一樣，這也就決定了不能直接照搬國(guó)外流動(dòng)性研究成果運(yùn)用在我國(guó)股票市場(chǎng)研究工作中。本文意在構(gòu)建一個(gè)適合于我國(guó)股票市場(chǎng)指令驅(qū)動(dòng)型交易機(jī)制的流動(dòng)性衡量指標(biāo)，為以后我國(guó)股票市場(chǎng)流動(dòng)性管理提供一個(gè)有效的工具。 首先，本文對(duì)股票市場(chǎng)流動(dòng)性的定義和不同維度進(jìn)行闡述，并對(duì)已有的流動(dòng)性測(cè)度指標(biāo)進(jìn)行了對(duì)比和分析，在此基礎(chǔ)之上，構(gòu)建了一個(gè)新的股票市場(chǎng)流動(dòng)性測(cè)度指標(biāo)。其次，對(duì)新構(gòu)建的股票市場(chǎng)流動(dòng)性測(cè)度指標(biāo)從綜合性和敏感性兩個(gè)方面進(jìn)行了檢驗(yàn)。在檢驗(yàn)其綜合性方面，以新構(gòu)建的指標(biāo)為被解釋變量，以寬度指標(biāo)、深度指標(biāo)、即時(shí)性指標(biāo)為解釋變量做多元回歸分析，觀測(cè)R2數(shù)值的大��；在檢驗(yàn)其敏感性方面，以新構(gòu)建的指標(biāo)能否有效反映流動(dòng)性周內(nèi)特征和日內(nèi)特征為判斷依據(jù)。 實(shí)證結(jié)果表明，本文新構(gòu)建的股票市場(chǎng)流動(dòng)性衡量指標(biāo)在綜合性、敏感性、適應(yīng)性上都優(yōu)于已有的直接從國(guó)外照搬過(guò)來(lái)的流動(dòng)性衡量指標(biāo)，可以作為我國(guó)股票市場(chǎng)流動(dòng)性度量的工具，為后續(xù)的流動(dòng)性管理提供支持。
[Abstract]:With the development of financial market, financial theory is constantly updated. As an important branch of financial theory, financial market microstructure theory, which originated in 1960's, has been paid more and more attention by scholars. As the basic research direction of financial market microstructure theory, liquidity is the most important research. Liquidity plays a decisive role. Amihud and Mendelson pointed out in 1990 that "the main function of the market is to provide liquidity, liquidity is everything." The research on liquidity originated in the United States, and the liquidity theory based on the market driven by American quotation has been more mature. However, the stock market in our country is instruction-driven, and the formation process of liquidity is different with different trading mechanism, which determines that the foreign liquidity research results can not be directly copied in the research work of Chinese stock market. The purpose of this paper is to construct a liquidity measurement index suitable for the order-driven trading mechanism in China's stock market and to provide an effective tool for liquidity management in the stock market in the future. First of all, this paper expounds the definition and different dimensions of stock market liquidity, and compares and analyzes the existing liquidity measurement indicators. On this basis, a new stock market liquidity measurement index is constructed. Secondly, the paper tests the newly constructed stock market liquidity measurement index from two aspects: comprehensiveness and sensitivity. In the aspect of testing its comprehensiveness, the newly constructed index is taken as the explained variable, the width index, the depth index and the instantaneous index are used as the explanatory variables to make multiple regression analysis, the magnitude of R2 value is observed, and the sensitivity of R2 is tested. Based on whether the newly constructed index can effectively reflect the intraweek and intraday characteristics of liquidity. The empirical results show that the newly constructed index of stock market liquidity is more comprehensive, sensitive and adaptable than the existing liquidity measurement index which has been copied directly from abroad. It can be used as a tool to measure the liquidity of China's stock market and provide support for the subsequent liquidity management.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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