本文選題：流動(dòng)性 + 多元線性回歸模型　； 參考：《云南師范大學(xué)》2013年碩士論文

【摘要】：流動(dòng)性是評(píng)價(jià)一國(guó)證券市場(chǎng)運(yùn)行質(zhì)量的重要指標(biāo)之一，它是指一種資產(chǎn)能夠以合理的價(jià)格和較低的交易成本迅速轉(zhuǎn)換成其它資產(chǎn)的能力。中國(guó)是一個(gè)明顯的“政策市”，信息披露制度不完善，股票市場(chǎng)受政府行為影響較大。針對(duì)此，本文從國(guó)家重大經(jīng)濟(jì)金融政治會(huì)議出發(fā)，引進(jìn)虛擬變量，通過(guò)多元線性回歸模型、Box-Cox變換、半?yún)?shù)模型研究了近三年來(lái)中國(guó)黨代會(huì)、兩會(huì)、全國(guó)金融會(huì)議、中央經(jīng)濟(jì)會(huì)議對(duì)股市流動(dòng)性的影響。結(jié)果表明，兩會(huì)與中國(guó)股票市場(chǎng)流動(dòng)性具有負(fù)相關(guān)關(guān)系，黨代會(huì)、中央經(jīng)濟(jì)會(huì)議對(duì)股票市場(chǎng)流動(dòng)性的影響不確定，如：十七屆五中全會(huì)與股市流動(dòng)性具有負(fù)相關(guān)關(guān)系，但十七屆六中全會(huì)、十七屆七中全會(huì)對(duì)股市流動(dòng)性影響不顯著，中央經(jīng)濟(jì)會(huì)議中，2011年的對(duì)股市流動(dòng)性影響較大，其他的有一定影響，但沒有明顯的相關(guān)關(guān)系，如2010年的中央經(jīng)濟(jì)會(huì)議。根據(jù)這些結(jié)果，本文對(duì)投資決策進(jìn)行了分析，，給出了對(duì)市場(chǎng)流動(dòng)性需求者有參考價(jià)值的建議。
[Abstract]:Liquidity is one of the important indicators to evaluate the operation quality of a country's securities market. It refers to the ability of an asset to convert quickly to other assets at a reasonable price and lower transaction cost.China is an obvious "policy city", the information disclosure system is not perfect, and the stock market is greatly influenced by government behavior.In view of this, starting from the major national economic, financial and political conferences, this paper introduces virtual variables, studies the Party Congress, the two sessions and the national financial conference of China in the past three years by means of the multivariate linear regression model, the Box-Cox transformation and the semi-parametric model.The impact of the Central Economic Conference on the liquidity of the stock market.The results show that there is a negative correlation between the two sessions and the liquidity of the stock market in China. The influence of the Party Congress and the Central Economic Conference on the liquidity of the stock market is uncertain. For example, the Fifth Plenary session of the 17th CPC Central Committee has a negative correlation with the liquidity of the stock market.However, the sixth Plenary session of the 17th CPC Central Committee and the Seventh Plenary session of the 17th CPC Central Committee have no significant impact on the liquidity of the stock market. At the Central Economic Conference, the 2011 session had a greater impact on the liquidity of the stock market, while others had a certain impact, but there was no obvious correlation.Such as the 2010 Central Economic Conference.According to these results, this paper analyzes the investment decision, and gives some suggestions for the market liquidity demanders.
【學(xué)位授予單位】：云南師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：1740445