本文選題：股票市場(chǎng) + 流動(dòng)性風(fēng)險(xiǎn)��； 參考：《安徽財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：資本資產(chǎn)定價(jià)理論研究一直是證券市場(chǎng)理論的基礎(chǔ)和核心,但是,對(duì)流動(dòng)性的研究卻相對(duì)較少并且沒(méi)有得到足夠的重視。傳統(tǒng)的金融研究理論通常會(huì)有兩個(gè)基本的假設(shè)前提,即市場(chǎng)必須是無(wú)摩擦的,而且不存在交易成本,這樣投資者就可以不斷地買(mǎi)進(jìn)賣(mài)出任意數(shù)量的證券,證券的價(jià)格卻不會(huì)受到影響,這是假定市場(chǎng)存在無(wú)限流動(dòng)性為前提。但是在現(xiàn)實(shí)的證券中,這種理想的情況不存在。近些年,隨著流動(dòng)性風(fēng)險(xiǎn)給股市帶來(lái)危機(jī)次數(shù)越來(lái)頻繁,人們也越來(lái)越多的關(guān)注流動(dòng)性風(fēng)險(xiǎn),本文試圖從以中國(guó)為代表的新興證券市場(chǎng)研究流動(dòng)性風(fēng)險(xiǎn)對(duì)資產(chǎn)定價(jià)的影響。 首先,本文通過(guò)VAR模型的脈沖響應(yīng)和格蘭杰因果因果檢驗(yàn)來(lái)考察市場(chǎng)流動(dòng)性與收益之間的關(guān)系。實(shí)證分析表明：收益率是流動(dòng)性Granger原因,但是,流動(dòng)性不是收益率的Granger原因；流動(dòng)性和收益率之間的傳遞效應(yīng)主要表現(xiàn)在收益率變化驅(qū)動(dòng)了流動(dòng)性的變化,收益率的增加會(huì)在即期實(shí)現(xiàn)流動(dòng)性的增加,同時(shí),流動(dòng)性對(duì)收益率也有多期沖擊效應(yīng)。這就表明中國(guó)股市存在流動(dòng)性風(fēng)險(xiǎn)溢價(jià)現(xiàn)象,在資產(chǎn)定價(jià)上我們應(yīng)當(dāng)考慮流動(dòng)性風(fēng)險(xiǎn)因素。 其次,我們運(yùn)用Amihud(2002)提出的觀點(diǎn)：將非流動(dòng)性指標(biāo)分解成預(yù)期的非流動(dòng)性指標(biāo)和未預(yù)期的非流動(dòng)性指標(biāo),收集和分析市場(chǎng)收益率和非流動(dòng)性?xún)山M時(shí)間序列,通過(guò)GARCH-M模型研究非流動(dòng)性序列和收益率序列之間的動(dòng)態(tài)關(guān)系,通過(guò)引入非流動(dòng)性波動(dòng)序列研究非流動(dòng)性的波動(dòng)和收益之間的動(dòng)態(tài)關(guān)系。實(shí)證結(jié)果表明：預(yù)期的非流動(dòng)性和和未預(yù)期的非流動(dòng)性分別和預(yù)期收益成正相關(guān)和負(fù)相關(guān),而非流動(dòng)性的波動(dòng)幅度和預(yù)期收益也成正相關(guān)。進(jìn)一步為中國(guó)股市流動(dòng)性風(fēng)險(xiǎn)溢價(jià)采取何種方式補(bǔ)償做出了合理解釋。 傳統(tǒng)的VaR模型沒(méi)有考慮流動(dòng)性的影響而低估了風(fēng)險(xiǎn),這給資產(chǎn)定價(jià)帶來(lái)了一定的偏差,所以,本文將度量流動(dòng)性的指標(biāo)引入股票風(fēng)險(xiǎn)的度量模型(LVaR)中。研究結(jié)論表明：流動(dòng)性風(fēng)險(xiǎn)可以分解成外生流動(dòng)性風(fēng)險(xiǎn)和內(nèi)生流動(dòng)性風(fēng)險(xiǎn),流動(dòng)性風(fēng)險(xiǎn)是一種不可忽略的風(fēng)險(xiǎn)因素,引入流動(dòng)性風(fēng)險(xiǎn)的度量模型是一種更具實(shí)用價(jià)值的風(fēng)險(xiǎn)度量模型,它比傳統(tǒng)的VaR模型更準(zhǔn)確的評(píng)價(jià)資產(chǎn)風(fēng)險(xiǎn)水平。 最后,本文基于KRL信號(hào)分析法建立流動(dòng)性風(fēng)險(xiǎn)預(yù)警指標(biāo)體系,提出了相應(yīng)的流動(dòng)性風(fēng)險(xiǎn)管理的對(duì)策。對(duì)我國(guó)未來(lái)幾年的股市運(yùn)行情況進(jìn)行了總結(jié)與展望,并提出了相關(guān)建議。通過(guò)研究發(fā)現(xiàn),近幾年我國(guó)股市流動(dòng)性風(fēng)險(xiǎn)增大的可能性非常大,政府應(yīng)該充分重視流動(dòng)性風(fēng)險(xiǎn)并及時(shí)對(duì)股市流動(dòng)性情況進(jìn)行有效預(yù)警。
[Abstract]:The study of capital asset pricing theory has been the basis and core of securities market theory, but the research on liquidity is relatively few and has not been paid enough attention to. Traditional financial research theories usually have two basic assumptions: the market must be frictionless and there is no transaction cost, so investors can keep buying and selling any number of securities. The price of securities will not be affected, which presupposes the existence of unlimited liquidity in the market. But in real securities, this ideal situation does not exist. In recent years, as liquidity risk brings more and more crises to stock market, people pay more and more attention to liquidity risk. This paper attempts to study the influence of liquidity risk on asset pricing from emerging securities market represented by China. Firstly, the relationship between market liquidity and return is investigated by the impulse response of VAR model and Granger causality test. The empirical analysis shows that: the return rate is the reason of liquidity Granger, but liquidity is not the Granger reason of the rate of return, and the transfer effect between liquidity and return mainly shows that the change of return rate drives the change of liquidity. The increase of rate of return will realize the increase of liquidity at spot, at the same time, liquidity also has multi-period impact effect on yield. This suggests that there is a liquidity risk premium in China's stock market, and liquidity risk factors should be considered in asset pricing. Secondly, we use the viewpoint put forward by Amihudan 2002.We decompose the illiquidity index into expected illiquidity index and unexpected illiquidity index, collect and analyze two groups of time series of market rate of return and illiquidity. The dynamic relationship between the illiquid series and the return series is studied by GARCH-M model, and the dynamic relationship between the illiquid volatility and the return is studied by introducing the illiquid volatility series. The empirical results show that the expected illiquidity and unanticipated illiquidity are positively and negatively correlated with the expected return, while the volatility of the non-liquidity is also positively correlated with the expected return. Further for the Chinese stock market liquidity risk premium how to compensate to make a reasonable explanation. The traditional VaR model underestimates the risk without considering the influence of liquidity, which brings some deviation to asset pricing. Therefore, this paper introduces the index of liquidity into the stock risk measurement model. The results show that liquidity risk can be decomposed into exogenous liquidity risk and endogenous liquidity risk, and liquidity risk is a risk factor that can not be ignored. The liquidity risk measurement model is a more practical risk measurement model, which is more accurate than the traditional VaR model to evaluate the asset risk level. Finally, based on the KRL signal analysis method, the paper establishes the liquidity risk warning index system, and puts forward the corresponding liquidity risk management countermeasures. This paper summarizes and looks forward to the operation of stock market in the next few years, and puts forward some relevant suggestions. Through the research, it is found that the liquidity risk of stock market in China is very likely to increase in recent years, the government should pay full attention to the liquidity risk and give an effective warning to the stock market liquidity situation in time.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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