基于市值规模的上海股市流动性动态分析  

Dynamic Analysis of Liquidity in the Shanghai Stock Exchange Based on Market Capitalization Scale

作　　者：朱元琪[1] 刘善存[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《系统工程》2009年第9期1-9,共9页Systems Engineering

基　　金：国家自然科学基金资助项目(70671006);全国优秀博士学位论文作者专项基金资助项目(200466)

摘　　要：将上海证券交易所上市交易的股票分成十组,选取其中的极大和极小市值组合,采用向量自回归模型(VAR)分析收益、波动及日内买卖不平衡对大盘股和小盘股流动性的动态影响以及两类股票流动性的相互影响。实证结果表明,大盘股和小盘股的流动性存在着显著的正相关关系,且在同期都受到收益和波动的影响。两个组合的流动性不存在显著的领先——滞后关系,它们对前期的收益、波动和买卖不平衡变化存在不同的反应模式。This article creates 10 portfolios based on market capitalization of all stocks listed on the Shanghai Stock Exchange （SSE） and explores the dynamic reactions of liquidities of the two extreme portfolios, the largest cap portfolio and the smallest cap portfolio, to return, volatility and daily order imbalance in a Vector Autoregressive （VAR） framework. The empirical results show that there is significant positive correlation between llquidities of large cap stocks and small cap stocks, which are both affected by return and volatility in the same time period. There is no significant lead-lag relationship between liquidities of the two portfolios. Moreover, they respond to previous return, volatility and daily order imbalance in different patterns.

关 键 词：流动性 收益 波动 日内买卖不平衡 向量自回归模型(VAR) 市场微观结构 

分 类 号：F830[经济管理—金融学]