[优秀毕业设计毕业论文]证券市场毕业论文.doc
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[优秀毕业设计毕业论文]证券市场毕业论文,摘要流动性是证券市场的生命力所在，也是决定市场质量的有效衡量指标之一。市场流动性的提高，不仅有助于活跃市场，吸引投资者，更重要的是有利于稳定市场价格、保证金融市场的正常运转并促进资源有效配置。不仅如此，流动性也被证明是资产价格的重要决定因素。本文基于金融市场微观结构理论，对中国股市流动性风险问题展开了系统而深入的研究。...
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摘要
流动性是证券市场的生命力所在，也是决定市场质量的有效衡量指标之一。市场流动性的提高，不仅有助于活跃市场，吸引投资者，更重要的是有利于稳定市场价格、保证金融市场的正常运转并促进资源有效配置。不仅如此，流动性也被证明是资产价格的重要决定因素。本文基于金融市场微观结构理论，对中国股市流动性风险问题展开了系统而深入的研究。
流动性也被证明是资产价格的重要决定因素。本文基于金融市场微观结构理论，对中国股市流动性风险问题展开了系统而深入的研究。运用Copula函数进行研究后发现，Gumbel Copula函数与Frank Copula函数可以更好地描述中国沪深股市流动性风险与市场风险的相关结构，意味着在风险分布的下尾部，两种风险的相关性并没有显著增强。基于流动性风险度量指标——LVaR的研究表明，相比较低流动性的股票组合而言，高流动性股票组合具有比较小的瞬时冲击系数、较短的清算期和较小的变现损失LVaR。以最小化变现损失为目标，在最佳清算期下，高流动性股票组合的平均变现损失占期初总市值的比例约5%左右，而低流动性股票组合则高达7%。运用KLR信号分析法构建了中国股市流动性风险预警系统，实证分析发现，在2008-2009年间中国股市将面临较大的流动性风险；投资者可以根据市场流动性调整股票组合、利用最优交易执行策略与风险对冲工具等手段管理流动性风险；与此同时，机构投资者要避免投资的同质化行为等。最后，本文给出了具体的建议。就中国股市监管者而言，要加快设立风险对冲机制、建立流动性风险应急机制以及保持政策稳定性，以防止投资者情绪的大幅波动等。
关键词：流动性；流动性共性；流动性风险；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
流动性是证券市场的生命力所在，也是决定市场质量的有效衡量指标之一。市场流动性的提高，不仅有助于活跃市场，吸引投资者，更重要的是有利于稳定市场价格、保证金融市场的正常运转并促进资源有效配置。不仅如此，流动性也被证明是资产价格的重要决定因素。本文基于金融市场微观结构理论，对中国股市流动性风险问题展开了系统而深入的研究。
流动性也被证明是资产价格的重要决定因素。本文基于金融市场微观结构理论，对中国股市流动性风险问题展开了系统而深入的研究。运用Copula函数进行研究后发现，Gumbel Copula函数与Frank Copula函数可以更好地描述中国沪深股市流动性风险与市场风险的相关结构，意味着在风险分布的下尾部，两种风险的相关性并没有显著增强。基于流动性风险度量指标——LVaR的研究表明，相比较低流动性的股票组合而言，高流动性股票组合具有比较小的瞬时冲击系数、较短的清算期和较小的变现损失LVaR。以最小化变现损失为目标，在最佳清算期下，高流动性股票组合的平均变现损失占期初总市值的比例约5%左右，而低流动性股票组合则高达7%。运用KLR信号分析法构建了中国股市流动性风险预警系统，实证分析发现，在2008-2009年间中国股市将面临较大的流动性风险；投资者可以根据市场流动性调整股票组合、利用最优交易执行策略与风险对冲工具等手段管理流动性风险；与此同时，机构投资者要避免投资的同质化行为等。最后，本文给出了具体的建议。就中国股市监管者而言，要加快设立风险对冲机制、建立流动性风险应急机制以及保持政策稳定性，以防止投资者情绪的大幅波动等。
关键词：流动性；流动性共性；流动性风险；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
