本文選題：金融黑洞 + 流動(dòng)性　； 參考：《山東大學(xué)》2014年碩士論文

【摘要】：回顧歷次金融危機(jī),很多資產(chǎn)過(guò)百億的大型金融機(jī)構(gòu)在很短的時(shí)間內(nèi)由于資金鏈斷裂而喪失流動(dòng)性,雷曼兄弟和長(zhǎng)期資產(chǎn)管理公司就是最好的例證。這也引起了國(guó)內(nèi)外學(xué)者對(duì)金融黑洞問(wèn)題的重視和研究。金融黑洞,借用了物理學(xué)上的“黑洞”一詞,指的是市場(chǎng)上的流動(dòng)性在短時(shí)間內(nèi)被吸入“黑洞”,瞬間消失。 本文對(duì)金融黑洞問(wèn)題的研究主要分為五個(gè)方面： 第一章：緒論。本章首先提出了本文的研究主要對(duì)象——金融黑洞,并且闡述了對(duì)這一問(wèn)題的研究所面臨的背景以及研究這一問(wèn)題的意義所在,介紹了文中所用到的計(jì)量模型以及所選取的數(shù)據(jù)。第二部分主要對(duì)本文的主要內(nèi)容進(jìn)行了梳理,介紹了本文的主要框架。最后突出強(qiáng)調(diào)了本文的創(chuàng)新點(diǎn),同時(shí)也指出了文中的不足之處。 第二章：流動(dòng)性、金融黑洞及相關(guān)文獻(xiàn)綜述。本章首先界定了金融黑洞理論的相關(guān)概念——金融黑洞及流動(dòng)性的內(nèi)涵,并重點(diǎn)介紹了二者的度量方法。為之后在我國(guó)中小板市場(chǎng)檢驗(yàn)是否存在金融黑洞問(wèn)題提供了理論依據(jù)。之后對(duì)國(guó)內(nèi)外學(xué)者在金融黑洞領(lǐng)域的研究現(xiàn)狀進(jìn)行了歸納總結(jié)。 第三章：金融黑洞的誘發(fā)機(jī)制。由于市場(chǎng)的同質(zhì)性,金融機(jī)構(gòu)風(fēng)險(xiǎn)管理的同質(zhì)性以及整個(gè)金融監(jiān)管的同質(zhì)性所導(dǎo)致的整個(gè)市場(chǎng)的同質(zhì)性、過(guò)于悲觀的市場(chǎng)預(yù)期,公眾市場(chǎng)信心的不足、資產(chǎn)負(fù)債表的關(guān)聯(lián)導(dǎo)致金融機(jī)構(gòu)面臨巨大的流動(dòng)性風(fēng)險(xiǎn)、市場(chǎng)中的正反饋效應(yīng)等因素都會(huì)增加金融黑洞產(chǎn)生的機(jī)率。 第四章：金融黑洞在我國(guó)中小板市場(chǎng)上的實(shí)證檢驗(yàn)。本章分別利用宏觀數(shù)據(jù)和微觀數(shù)據(jù)來(lái)分析我國(guó)中小板市場(chǎng)存在金融黑洞的可能性。在宏觀方面,本章主要選取了金融危機(jī)中2008年全年中小板指數(shù)及其交易量的數(shù)據(jù),并且利用乖離率、威廉指數(shù)等指標(biāo)來(lái)進(jìn)行分析。在微觀方面,本章隨機(jī)從中小板市場(chǎng)中選取了五只樣本股,主要運(yùn)用了Hasbrouck所提出的向量自回歸模型,從正反饋效應(yīng)的角度進(jìn)行了實(shí)證檢驗(yàn),以說(shuō)明我國(guó)中小板市場(chǎng)上是否存在金融黑洞的現(xiàn)象。 第五章：政策建議。在對(duì)流動(dòng)性及金融黑洞相關(guān)概念、度量方法及金融黑洞的誘發(fā)機(jī)制分析的基礎(chǔ)上,結(jié)合我國(guó)中小板市場(chǎng)金融黑洞存在性實(shí)證研究的結(jié)果,提出了防范金融黑洞,保持流動(dòng)性的政策建議。防范金融黑洞的核心是增強(qiáng)多樣性,增強(qiáng)市場(chǎng)的多樣性主要可以從三個(gè)方面入手：增強(qiáng)交易的多樣性、增強(qiáng)風(fēng)險(xiǎn)管理方法的多樣性和增強(qiáng)市場(chǎng)預(yù)期的多樣性。同時(shí)還應(yīng)注重增強(qiáng)市場(chǎng)透明度,以避免由于信息不對(duì)稱(chēng)而帶來(lái)的“羊群效應(yīng)”。
[Abstract]:In retrospect of the financial crises, many large financial institutions with more than 10 billion assets lost liquidity in a short period of time because of the breakage of the capital chain, as exemplified by Lehman Brothers and long-term asset managers. This also causes the domestic and foreign scholars to pay attention to the financial black hole problem and the research. A financial black hole, borrowed from the term "black hole" in physics, means that liquidity in the market is sucked into the black hole in a short period of time and disappears instantly. The research on financial black hole is divided into five aspects: chapter one: introduction. In this chapter, the main research object of this paper, financial black hole, is put forward, and the background of the research on this problem and the significance of studying this problem are expounded. The measurement model used in this paper and the selected data are introduced. The second part mainly combs the main content of this paper, introduces the main frame of this paper. Finally, the innovation of this paper is highlighted, and the shortcomings of the paper are also pointed out. Chapter II: liquidity, financial black hole and related literature review. In this chapter, we first define the related concepts of financial black hole theory-financial black hole and liquidity, and focus on their measurement methods. It provides a theoretical basis for testing the existence of financial black hole in Chinese small and medium board market. Then the domestic and foreign scholars in the field of financial black hole research status is summarized. Chapter three: the inducing mechanism of financial black hole. Due to the homogeneity of the market, the homogeneity of the risk management of financial institutions and the homogeneity of the entire financial supervision, the homogeneity of the whole market, the overly pessimistic market expectations, and the lack of public confidence in the market, The correlation of balance sheet causes financial institutions to face huge liquidity risk, and the positive feedback effect in the market will increase the probability of financial black hole. Chapter 4: the empirical test of financial black hole in Chinese small and medium board market. In this chapter, macro and micro data are used to analyze the possibility of financial black hole in Chinese small and medium board market. In the macro aspect, this chapter mainly selects the data of the small and medium board index and its trading volume in the financial crisis in 2008, and makes use of the index such as the rate of departure and the William index to carry on the analysis. In microcosmic aspect, this chapter selects five sample stocks from small and medium-sized board market randomly, mainly using vector autoregressive model proposed by Hasbrouck, and carries on the empirical test from the point of view of positive feedback effect. In order to explain whether there is a financial black hole on the small and medium board market in China. Chapter V: policy recommendations. Based on the analysis of the related concepts of liquidity and financial black hole, the measurement method and the induced mechanism of financial black hole, combined with the results of empirical research on the existence of financial black hole in Chinese small and medium-sized board market, the paper puts forward the prevention of financial black hole. Policy advice on maintaining liquidity. The core of preventing the financial black hole is to enhance the diversity of the market, which can be started from three aspects: enhance the diversity of transactions, enhance the diversity of risk management methods and enhance the diversity of market expectations. At the same time, market transparency should be strengthened to avoid herding effect caused by asymmetric information.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.59;F832.51

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