本文選題：流動性風(fēng)險 + 流動性溢價��； 參考：《山西大學(xué)》2012年碩士論文

【摘要】：本文致力于研究貨幣狀況對股票市場流動性風(fēng)險及其溢價的影響,論證過程將貨幣狀況、市場流動性風(fēng)險和股票收益率聯(lián)系了起來。 本文比較了價差指標(biāo)、價格影響力指標(biāo)、零天數(shù)指標(biāo)等多種流動性測量方法,最終選定了Amihud (2002)的流動性測度指標(biāo)來衡量我國股票市場的流動性。貨幣狀況則分別選用"Shibor隔夜”和“一年期貸款利率”兩個利率指標(biāo)進(jìn)行劃分,根據(jù)各自不同的利率走勢,劃分為擴張和緊縮狀態(tài)。 Acharya和Pedersen(2005)以及Brunnermeier和Pedersen(2009)指出：股票市場流動性變化影響股票收益率和流動性溢價,即流動性溢價的變化是由股票市場流動性變化引起的。因此,本文認(rèn)為流動性溢價的時變性是由于投資者融資條件的變化,即貨幣政策的波動引起的；具體的作用機制為貨幣政策的波動首先影響了股票市場的總流動性,進(jìn)而影響股票的流動性溢價。 本文首先研究了貨幣狀況對股票市場流動性風(fēng)險的影響,模仿Pastor和Stambaugh(2003)的方法,將股票市場流動性的新息ε作為流動性風(fēng)險因子。運用組合分析法、向量自回歸(VAR)和脈沖響應(yīng)函數(shù)(IRF)研究得出：在貨幣狀況擴張期間,由于融資條件的寬松,市場參與者的資本可獲得性增加,從而股票市場的流動性風(fēng)險減小,整個市場流動性得以改善；而貨幣狀況緊縮期間,市場流動性風(fēng)險增加,整個市場流動性降低。 在確定了貨幣狀況與股票市場流動性存在關(guān)聯(lián)之后,本文繼續(xù)研究了貨幣狀況對流動性溢價的影響。采用近似于Fama-French (1993)構(gòu)造規(guī)模因子(SMB)和價值因子(HML)的方法,構(gòu)造了L-H組合來表示流動性的風(fēng)險溢價。同樣運用組合分析法、向量自回歸(VAR)和脈沖響應(yīng)函數(shù)(IRF)研究得出： 第一,在寬松貨幣狀況下,市場流動性得到改善,對于市場參與者,提供流動性的成本以及持有流動性較差證券的風(fēng)險和成本都降低了,投資者持有流動性較差的股票所要求的收益率溢價減少,即流動性溢價降低；投資者愿意持有流動性差的股票,并且對流動性差的股票增加投資,使得流動性低的股票價格相對流動性高的股票價格漲幅更大,進(jìn)而L-H組合收益率顯著擴大。 第二,融資條件受限時,流動性對投資者的影響較高,市場流動性和融資狀況的惡化,使得投資者對于持有流動性差的證券所承擔(dān)的風(fēng)險和成本增加,因此投資者增加對持有非流動性股票所要求的收益率溢價,即流動性溢價增加；投資者被迫放棄在流動性差的股票上的頭寸,轉(zhuǎn)而持有更流動的資產(chǎn),使得流動性低的股票價格相對流動性高的股票價格跌幅更大,進(jìn)而L-H組合收益率減小。
[Abstract]:This paper is devoted to the study of the influence of monetary situation on liquidity risk and its premium in stock market. The process of demonstration links monetary situation, market liquidity risk and stock yield. This paper compares a variety of liquidity measurement methods, such as price difference index, price influence index, zero day index and so on. Finally, the liquidity measurement index of Amihud / 2002) is selected to measure the liquidity of China's stock market. The monetary situation is divided into "Shibor overnight" and "one-year loan rate" two interest rate indicators, according to their different interest rate trend, divided into expansion and contraction state. Acharya and Pedersen 2005) and Brunnermeier and Pedersenn 2009) pointed out that the change of stock market liquidity affects the stock yield and liquidity premium, that is, the change of liquidity premium is caused by the change of stock market liquidity. Therefore, this paper holds that the time-variant of liquidity premium is caused by the change of investor's financing conditions, that is, the fluctuation of monetary policy, and the specific mechanism is that the fluctuation of monetary policy first affects the total liquidity of stock market. And then affect the liquidity premium of the stock. This paper first studies the influence of monetary situation on liquidity risk of stock market, and takes the innovation 蔚 of stock market liquidity as the liquidity risk factor by imitating the method of Pastor and Stambaugher 2003. By using combination analysis, vector autoregressive analysis (VAR) and impulse response function (IRFF), it is concluded that during the period of monetary expansion, the capital availability of market participants increases due to the loose financing conditions, thus the liquidity risk of the stock market decreases. Liquidity improved throughout the market, while liquidity risks increased and liquidity fell throughout the market during tight monetary conditions. After determining the relationship between monetary conditions and stock market liquidity, this paper continues to study the influence of monetary conditions on liquidity premiums. The L-H combination is constructed to represent the risk premium of liquidity by using the method of constructing scale factor (Fama-French) and value factor (Fama-French) similar to that of Fama-French / 1993). By using combinatorial analysis, vector autoregressive VARs and impulse response function IRFs, it is concluded that: First, in the context of loose money, market liquidity has improved, and the cost of providing liquidity, as well as the risk and cost of holding illiquid securities, has been reduced for market participants. Investors are willing to hold less liquid stocks and invest more in less liquid stocks. As a result, the low liquidity stock price increases more than that of the high liquidity stock price, and the yield of the L H portfolio expands significantly. Second, when the financing conditions are restricted, liquidity has a higher impact on investors, and the deterioration of market liquidity and financing conditions increases the risk and cost of holding illiquid securities. As a result, investors have increased the yield premium required for holding illiquid stocks, or liquidity premiums; investors have been forced to abandon positions in illiquid stocks for more liquid assets. As a result, the low-liquidity stock price is lower than the high-liquidity stock price, and then the L-H portfolio yield decreases.
【學(xué)位授予單位】：山西大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F822;F224

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