上海证 券市场流动性的实证研究-政治经济学专业论文.docxVIP

摘 摘 要 本文以研究证券市场的流动性为出发点，借助大量的数据和各种分析工具， 以上海证券市场为对象，考察了其中的市场流动性特征，并与相关的研究成果以 及其他市场的情况进行了比较分析。在本文当中，我们着重考察了在交易日内不 同时段上市场流动性的分布特征，同时我们也对限价指令簿进行了分析，考察了 其中不同报价上的市场容纳能力，得出了一些有益的结论。最后，我们还利用MRR 模型对流动性成本进行了分解，通过考察流动性成本各组成部分的分布和变动特 征来探询导致市场流动性发生变动的主要驱动力量。 研究表明，市场的流动性与交易时段和交易量之间存在着密切的关系。在交 易日内，市场的流动性分布呈现倒“L”型的分布特征，开盘阶段的市场流动性相 对较低，而之后市场的流动性迅速达到一个较高的稳定水平。通过对限价指令簿 进行价、量相结合进行的分析，我们发现限价指令簿当中各报价之上并不对称的 交易容纳能力，这也与很多研究结果保持了一定的相似性。我们相信，市场的流 动性表现同信息的非对称分布结构之间密切相关。通过对流动性成本的分解研究， 我们也发现了流动性成本发生变动的主要驱动力量——信息非对称成本。 关键词：流动性 信息非对称 交易时段 交易量 AbstractIn Abstract In this thesis，we will focus on the liquidity of the security market．With the data we get from FXJ system as well as some useful data processing tools，we have brought out an empirical research work on the liquidity of Shanghai Stock Exchange． Firstly，we will survey on the systematic distribution of the market liquidity in a typical trading day．We do believe there should be some interesting features of systematic distribution behind mass of data．Secondly,we will study on the Limit Order Book to find the capacities of the market for absorbing the impulse impact due to the trading behavior,especially trading with large size．And in the laSt sector,we will decompose the cost of liquidity wim the purpose of finding the driven factors behind the fluctuation of market liquidity．In this process we will usher in the MRR model that Madhavan，Richardson and Roomans first used in 1 997．What’S more，we have compared our fmdings in this thesis with what have been found in other existed research works． Throughout the empirical research，we have found some key phenomena about the liquidity of the security market．There should be close relations between market liquidity and some variables such as the trading period，trading volume(0r trading size)． In a typical trading day,trading will begin with the lowest liquidity in the open period of the market and then the liquidity will reach a comparatively high level in a shoft period and the market liquidity will be