证券市场流动性及流动性溢价影响因素分析与实证研究
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摘要
随着金融市场的发展,以流动性消失为特征的金融危机此起彼伏,证券市场的流动性都曾出现了极其严重的问题,关于证券市场和金融资产等的流动性问题已经引起了世界经济学家和金融学家的广泛关注。随着我国金融业的改革开放和管理理念的转变,我国证券市场快速蓬勃的发展和股权分置的改革,机构投资者已经成为金融市场的投资主题,流动性及流动性溢价也越来越受到监管者,机构投资者和学者的的重视并进行了大量的研究。论文在这些基础上对证券市场流动性影响因素作了进一步梳理和分类,深入分析了其外生影响因素与内生影响因素的作用机制,并针对我国证券市场近期发生的外生影响因素和内生影响因素的突变对相关的上市公司股票流动性的影响作为对象进行了实证分析和研究,同时论文也对我国证券市场非流通股流动性溢价及其影响因素进行了分析和实证研究。
本文主要针对证券市场流动性影响因素及其流动性溢价进行了分析和实证研究。首先对流动性的一些基本的概念和相关理论进行了回顾和总结。根据流动性的价格、数量、时间等属性,把各种衡量流动性的方法即价格法、交易量法、价量结合法、时间法、其他等分为五种类型,总结了适合我国证券市场流动性度量的方式和方法。根据研究流动性所依据的基本理论不同分为基于金融市场微观结构和基于行为金融学理论的有关流动性理论与模型,基于报价驱动机制和指令驱动机制不同交易机制的流动性理论和模型,并对流动性溢价和流动性的价值,流动性风险的产生和控制,流动性风险与收益的关系进行了阐述和总结。
然后,针对我国证券市场流动性现状进行了分析和总结,对我国证券市场的不同时期,沪深两市不同的市场,以及国外发达的金融市场的流动性进行了对比,总结出了我国证券市场的现状、特点和发展的趋势。并根据我国证券市场的独特性,和我国2005年股权分置的改革,对我国证券市场的非流通股流动性溢价问题进行了分析。
接着,根据流动性的属性,影响的不同对象,不同影响范围和时期,对影响流动性的因素进行了详细的分析和归类,把所有影响流动性的因素归结为外生影响因素和内生影响两种,并分析比较了外生影响因素和内生影响因素的不同及其相互关系,和外生影响因素和内生影响因素的影响作用机制。得出所有的影响流动性变化因素,都将通过投资者组成和行为起作用,通过投资主体的行为理念和投资策略,影响流动性供需关系,影响整个市场,单个资产和投资组合的流动性。
最后,结合我国证券市场的股权分置改革及近期券商借壳上市的特有现象,分别实证研究了突发性外生影响因素和内生影响因素对我国证券市场单个资产流动性的影响,并分析了他们的作用过程。得出了突发外生影响因素的变化对个股的流动性有很大的影响,即股权分置改革后相关个股的流动性得到了很大提高;突发性内生影响因素的变化对相关股票流动性短期内有巨大影响,而且其不同时期的变化和同期的换手率密切相关,与其流通盘大小无关,并随着时间的推移,其流动性的变化大致成U形变化的结论。另外,又在我国证券市场股权分置改革的背景下,运用神经网络技术对我国非流通股流动性溢价及其影响因素进行了实证研究,对流动性的溢价进行预测,总结出了主要影响因素及其个各影响因素的权重。
With the financial market development in the world, financial crash often appeared because financial market liquidity risk. Some securities market liquidity had severity problems, So the securities liquidity has been attended by many economist and financial scholar. In china, financial market had a large changes and the split shares structure reform will be finished, more and more institution come to be main investor in china stock market, the securities liquidity and liquidity risk, liquidity premium also be attached importantly. Many scholars also have studied Chinese stock market liquidity so much. Here, we will do some work for study liquidity and liquidity premium.
This paper empirically study and analysis the liquidity influencing factors and liquidity premium of securities market. Firstly, we generally review the liquidities concepts, characteristics and measures. We summarize the liquidity measures up five types for transaction price, transaction amount, transaction price and amount, transaction time, and others by its price, amount and time, and we distinguish the liquidity measure mode adapted china stock market. Then, according to the different base of study liquidity theory, we also divide the liquidity theory to base on market microstructure and behavior financial liquidity theory and model, and base on different exchange mechanism divide to the quote and order mechanism liquidity theory and mode. We also discuss the liquidity premium and the liquidity value and the relationship between the liquidity risk and return.
Secondly, We summaries liquidity study and status of china stock market, compare the different liquidity between different Shanghai and Shenzheng stock market and different period, also compare Chinese stock market liquidity with west developed securities market liquidity. We point out the Chinese stock market liquidity character, status and trend. Especially in china 2005 the split shares structure reform background, this paper try to analyse the liquidity premium of non-floating shares.
Thirdly, the paper concludes the many influencing factors to impact the market liquidity, individual asset liquidity, and portfolio liquidity according to the liquidity character, different objects, different areas, and different influencing period, and particular classify and analysis. Base on the total influencing factors, the paper divide them into two type basic influencing factors: external liquidity influencing factor variable and internal liquidity influencing factor variable. We also analyzes the relationship between the external liquidity influencing factor variable and the internal liquidity influencing factor variable. analyzes how the external liquidity influencing factor variable and internal liquidity influencing factor variable impact the market liquidity, individual asset liquidity and portfolio liquidity, and give out their work mechanism.
Finally, the paper empirically study that china the split shares structure reform as external liquidity influencing factor variable induce some listed company share liquidity changes and the securities company borrowing the other company to list as the internal liquidity influencing factor hugely induce these list company liquidity changes. Then we empirically analyze these variables work mechanism. We conclude all the influencing factors impact liquidity by the way influencing the investor ideas and behavior and investor behavior impacts the relation of liquidity demand and supply. The investor compages and investing behavior decide the market liquidity, individual asset liquidity and portfolio liquidity. Otherwise, in china 2005 the split shares structure reform background, this paper try to use ANN technique to analyze and test the value of the liquidity about non-floating shares, and empirical study the mainly factors to affect the value of liquidity of non-floating shares.
本文主要针对证券市场流动性影响因素及其流动性溢价进行了分析和实证研究。首先对流动性的一些基本的概念和相关理论进行了回顾和总结。根据流动性的价格、数量、时间等属性,把各种衡量流动性的方法即价格法、交易量法、价量结合法、时间法、其他等分为五种类型,总结了适合我国证券市场流动性度量的方式和方法。根据研究流动性所依据的基本理论不同分为基于金融市场微观结构和基于行为金融学理论的有关流动性理论与模型,基于报价驱动机制和指令驱动机制不同交易机制的流动性理论和模型,并对流动性溢价和流动性的价值,流动性风险的产生和控制,流动性风险与收益的关系进行了阐述和总结。
然后,针对我国证券市场流动性现状进行了分析和总结,对我国证券市场的不同时期,沪深两市不同的市场,以及国外发达的金融市场的流动性进行了对比,总结出了我国证券市场的现状、特点和发展的趋势。并根据我国证券市场的独特性,和我国2005年股权分置的改革,对我国证券市场的非流通股流动性溢价问题进行了分析。
接着,根据流动性的属性,影响的不同对象,不同影响范围和时期,对影响流动性的因素进行了详细的分析和归类,把所有影响流动性的因素归结为外生影响因素和内生影响两种,并分析比较了外生影响因素和内生影响因素的不同及其相互关系,和外生影响因素和内生影响因素的影响作用机制。得出所有的影响流动性变化因素,都将通过投资者组成和行为起作用,通过投资主体的行为理念和投资策略,影响流动性供需关系,影响整个市场,单个资产和投资组合的流动性。
最后,结合我国证券市场的股权分置改革及近期券商借壳上市的特有现象,分别实证研究了突发性外生影响因素和内生影响因素对我国证券市场单个资产流动性的影响,并分析了他们的作用过程。得出了突发外生影响因素的变化对个股的流动性有很大的影响,即股权分置改革后相关个股的流动性得到了很大提高;突发性内生影响因素的变化对相关股票流动性短期内有巨大影响,而且其不同时期的变化和同期的换手率密切相关,与其流通盘大小无关,并随着时间的推移,其流动性的变化大致成U形变化的结论。另外,又在我国证券市场股权分置改革的背景下,运用神经网络技术对我国非流通股流动性溢价及其影响因素进行了实证研究,对流动性的溢价进行预测,总结出了主要影响因素及其个各影响因素的权重。
With the financial market development in the world, financial crash often appeared because financial market liquidity risk. Some securities market liquidity had severity problems, So the securities liquidity has been attended by many economist and financial scholar. In china, financial market had a large changes and the split shares structure reform will be finished, more and more institution come to be main investor in china stock market, the securities liquidity and liquidity risk, liquidity premium also be attached importantly. Many scholars also have studied Chinese stock market liquidity so much. Here, we will do some work for study liquidity and liquidity premium.
This paper empirically study and analysis the liquidity influencing factors and liquidity premium of securities market. Firstly, we generally review the liquidities concepts, characteristics and measures. We summarize the liquidity measures up five types for transaction price, transaction amount, transaction price and amount, transaction time, and others by its price, amount and time, and we distinguish the liquidity measure mode adapted china stock market. Then, according to the different base of study liquidity theory, we also divide the liquidity theory to base on market microstructure and behavior financial liquidity theory and model, and base on different exchange mechanism divide to the quote and order mechanism liquidity theory and mode. We also discuss the liquidity premium and the liquidity value and the relationship between the liquidity risk and return.
Secondly, We summaries liquidity study and status of china stock market, compare the different liquidity between different Shanghai and Shenzheng stock market and different period, also compare Chinese stock market liquidity with west developed securities market liquidity. We point out the Chinese stock market liquidity character, status and trend. Especially in china 2005 the split shares structure reform background, this paper try to analyse the liquidity premium of non-floating shares.
Thirdly, the paper concludes the many influencing factors to impact the market liquidity, individual asset liquidity, and portfolio liquidity according to the liquidity character, different objects, different areas, and different influencing period, and particular classify and analysis. Base on the total influencing factors, the paper divide them into two type basic influencing factors: external liquidity influencing factor variable and internal liquidity influencing factor variable. We also analyzes the relationship between the external liquidity influencing factor variable and the internal liquidity influencing factor variable. analyzes how the external liquidity influencing factor variable and internal liquidity influencing factor variable impact the market liquidity, individual asset liquidity and portfolio liquidity, and give out their work mechanism.
Finally, the paper empirically study that china the split shares structure reform as external liquidity influencing factor variable induce some listed company share liquidity changes and the securities company borrowing the other company to list as the internal liquidity influencing factor hugely induce these list company liquidity changes. Then we empirically analyze these variables work mechanism. We conclude all the influencing factors impact liquidity by the way influencing the investor ideas and behavior and investor behavior impacts the relation of liquidity demand and supply. The investor compages and investing behavior decide the market liquidity, individual asset liquidity and portfolio liquidity. Otherwise, in china 2005 the split shares structure reform background, this paper try to use ANN technique to analyze and test the value of the liquidity about non-floating shares, and empirical study the mainly factors to affect the value of liquidity of non-floating shares.
引文
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