本文選題：港股 + 流動性　； 參考：《廣東財經(jīng)大學》2014年碩士論文

【摘要】：香港市場作為世界第三大國際金融中心，對于其股票市場的流動性溢價問題研究有著十分重要的現(xiàn)實意義和理論意義，尤其是對于國內(nèi)金融發(fā)展更是具有重要的指導意義。當然其資本市場的開放程度和發(fā)達程度也一直是世界各國的研究典范，對于其他國家金融業(yè)的發(fā)展具有重要的借鑒意義。97年亞洲金融危機以及07年世界金融危機都對香港的資本市場和實體經(jīng)濟造成了重創(chuàng)，而流動性問題也凸現(xiàn)出來。同時市場監(jiān)管者和政策措施也不斷受到金融全球化和現(xiàn)代信息技術(shù)發(fā)展的挑戰(zhàn)。 本文的主要研究思路為：首先，根據(jù)現(xiàn)有的流動性溢價理論分析研究股票市場流動性問題的實際意義，并重點分析了流動性問題及其度量方法，以及股票市場中流動性的影響因素。 其次，構(gòu)建面板數(shù)據(jù)模型彌補橫截面和時間序列回歸模型的不足，并結(jié)合多個因子去研究流動性與收益之間的關(guān)系。 最后，在證明了香港股市流動性溢價問題存在的情況下，，利用換手率和Amivest兩個指標去針對香港股票市場做行為金融分析，重點探討規(guī)模溢價以及價值效應兩個方面。 根據(jù)實證結(jié)果以及原因分析，本文得到如下結(jié)論： （1）在以換手率和ILLIQ為衡量指標的時候，香港股票市場在整個樣本期間并不存在明顯的流動性溢價情況，相應地，從所得結(jié)果可以看出，流動性與股票的預期收益正相關(guān)。 （2）香港股票市場存在明顯的規(guī)模效應，小公司股票的收益率相對較高，尤其是金融危機之后的一段時間內(nèi)，以換手率為指標的香港股票市場具備明顯的流動性溢價情況，而以ILLIQ為指標衡量的香港股票市場并不支持流動性溢價理論。 （3）實證結(jié)果表明，只有以換手率為指標時，香港股票市場的流動性溢價現(xiàn)象具有規(guī)模溢價情況發(fā)生。而以，以換手率和Amivest流動性比率為流動性因子時，香港股票市場的流動性溢價情況具備“價值效應”現(xiàn)象產(chǎn)生。
[Abstract]:As the third largest international financial center in the world, Hong Kong market has a very important practical and theoretical significance for the study of liquidity premium in its stock market, especially for the development of domestic finance. Of course, the degree of openness and the degree of development of its capital markets has also been a model of research in the world. The Asian financial crisis in 1997 and the world financial crisis in 2007 have caused heavy damage to Hong Kong's capital market and real economy, and liquidity problems have also emerged. At the same time, market regulators and policy measures are constantly challenged by financial globalization and the development of modern information technology. The main research ideas of this paper are as follows: firstly, according to the existing liquidity premium theory, the paper analyzes the practical significance of the stock market liquidity problem, and focuses on the liquidity problem and its measurement methods. And the influence factor of liquidity in stock market. Secondly, the panel data model is constructed to make up for the deficiency of cross section and time series regression model, and the relationship between liquidity and income is studied by combining several factors. Finally, after proving the existence of liquidity premium in Hong Kong stock market, we use turnover rate and Amivest to do behavioral financial analysis on Hong Kong stock market, focusing on two aspects: scale premium and value effect. Based on the empirical results and cause analysis, this paper draws the following conclusions: 1) when the turnover rate and ILLIQ are taken as the measures, there is no obvious liquidity premium in the Hong Kong stock market during the whole sample period. Accordingly, it can be seen from the results that liquidity is positively correlated with the expected return of the stock. (2) there is a significant scale effect in the Hong Kong stock market. The returns of small companies are relatively high. In particular, in the period following the financial crisis, the Hong Kong stock market, which is characterized by turnover rates, has an obvious liquidity premium. The Hong Kong stock market, measured by ILLIQ, does not support the liquidity premium theory. The empirical results show that the liquidity premium in Hong Kong stock market has the scale premium only when the turnover rate is taken as the indicator. With turnover ratio and Amivest liquidity ratio as liquidity factors, the liquidity premium in Hong Kong stock market has "value effect" phenomenon.
【學位授予單位】：廣東財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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