摘要

流動(dòng)性是證券市場(chǎng)的生命力所在，也是決定市場(chǎng)質(zhì)量的有效衡量指標(biāo)之一。市場(chǎng)流動(dòng)性的提高，不僅有助于活躍市場(chǎng)，吸引投資者，更重要的是有利于穩(wěn)定市場(chǎng)價(jià)格、保證金融市場(chǎng)的正常運(yùn)轉(zhuǎn)并促進(jìn)資源有效配置。不僅如此，流動(dòng)性也被證明是資產(chǎn)價(jià)格的重要決定因素。本文基于金融市場(chǎng)微觀結(jié)構(gòu)理論，對(duì)中國(guó)股市流動(dòng)性風(fēng)險(xiǎn)問(wèn)題展開(kāi)了系統(tǒng)而深入的研究。
流動(dòng)性也被證明是資產(chǎn)價(jià)格的重要決定因素。本文基于金融市場(chǎng)微觀結(jié)構(gòu)理論，對(duì)中國(guó)股市流動(dòng)性風(fēng)險(xiǎn)問(wèn)題展開(kāi)了系統(tǒng)而深入的研究。運(yùn)用Copula函數(shù)進(jìn)行研究后發(fā)現(xiàn)，Gumbel Copula函數(shù)與Frank Copula函數(shù)可以更好地描述中國(guó)滬深股市流動(dòng)性風(fēng)險(xiǎn)與市場(chǎng)風(fēng)險(xiǎn)的相關(guān)結(jié)構(gòu)，意味著在風(fēng)險(xiǎn)分布的下尾部，兩種風(fēng)險(xiǎn)的相關(guān)性并沒(méi)有顯著增強(qiáng)?；诹鲃?dòng)性風(fēng)險(xiǎn)度量指標(biāo)——LVaR的研究表明，相比較低流動(dòng)性的股票組合而言，高流動(dòng)性股票組合具有比較小的瞬時(shí)沖擊系數(shù)、較短的清算期和較小的變現(xiàn)損失LVaR。以最小化變現(xiàn)損失為目標(biāo)，在最佳清算期下，高流動(dòng)性股票組合的平均變現(xiàn)損失占期初總市值的比例約5%左右，而低流動(dòng)性股票組合則高達(dá)7%。運(yùn)用KLR信號(hào)分析法構(gòu)建了中國(guó)股市流動(dòng)性風(fēng)險(xiǎn)預(yù)警系統(tǒng)，實(shí)證分析發(fā)現(xiàn)，在2008-2009年間中國(guó)股市將面臨較大的流動(dòng)性風(fēng)險(xiǎn)；投資者可以根據(jù)市場(chǎng)流動(dòng)性調(diào)整股票組合、利用最優(yōu)交易執(zhí)行策略與風(fēng)險(xiǎn)對(duì)沖工具等手段管理流動(dòng)性風(fēng)險(xiǎn)；與此同時(shí)，機(jī)構(gòu)投資者要避免投資的同質(zhì)化行為等。最后，本文給出了具體的建議。就中國(guó)股市監(jiān)管者而言，要加快設(shè)立風(fēng)險(xiǎn)對(duì)沖機(jī)制、建立流動(dòng)性風(fēng)險(xiǎn)應(yīng)急機(jī)制以及保持政策穩(wěn)定性，以防止投資者情緒的大幅波動(dòng)等。
關(guān)鍵詞：流動(dòng)性；流動(dòng)性共性；流動(dòng)性風(fēng)險(xiǎn)；LVaR








Abstract
The stock market is full of vitality because of liquidity which is also one of themeasures to determine the quality of the market.The improvement in liquidity not only contributes to make the market active and absorb the investors,but also is beneficial tostabilize the market price,guarantee the financial market to operate well and distribute the resources effectively. Moreover, it is proved that liquidity is one of the important deterministic factors of asset price. Based on financial market microstructure,this paper systematically makes the research on liquidity and liquidity risk of China’s Shanghai and Shenzhen stock exchange. This paper first constructs a market risk adjusted illiquidity measure which has a high correlation coefficient with the Amihud(2002)illiquidity measure and the correlation coefficient is 0.8444.Taking advantage of this measure to study the liquidity of China’s stock market,this paper finds that there is a strong dependence on liquidity between SHSE and SZSE and the correlation coefficient is up to 0.9438;through the comparison on the price impact index,the liquidity of China’s stock market is lower than that of other markets;
the liquidity of portfolios is increasing on the total market capitalization of them.The market cumulative abnormal illiquidity will drop significantly when the policies which are beneficial to the market are announced and vice versa by means of event study methodology. The government policy can mainly affect the market liquidity through the impact on the supply of funds of the stock market in the medium and
Key words: liquidity；commonality in liquidity；liquidity risk；LVaR