基于全球流动性背景下的新兴资本市场收益研究  

Research on the Returns of the Emerging Capital Market based on the Background of Global Excess Liquidity

作　　者：张一 Yi ZHANG(School of Management Science and Engineering ,Central University of Finance and Economics ,Beijing , 100081 ,China)

机构地区：[1]中央财经大学管理科学与工程学院,北京100081

出　　处：《经济数学》2017年第3期71-76,共6页Journal of Quantitative Economics

基　　金：国家自然科学基金:金融市场的非线性动力学特征研究:同步;传染与危机预警(71503035);国家自然科学基金:基于多元多尺度熵的金融危机多国间传染研究(71401028)

摘　　要：随着在全球金融一体化程度不断加深,全球流动性状况对于新兴市场资产价格的影响备受关注.构建了反应主要发达国家与新兴市场国家对全球货币数量影响的广义流动性指标,并以波动率指数作为反映市场情绪的变量将市场分为平稳期和压力期.通过建立非线性面板门限回归模型考察了全球流动性状况对于金砖五国资本市场的非线性影响,结果表明在金融市场繁荣期,流动性过剩对于资产价格起到了明显的正向带动作用;而在市场衰退期间,流动性的释放并没有对资产价格的提升产生显著的影响.With the deepening of the degree of global financial integration, the effect of global liquidity surplus on the as- set prices of emerging markets has attracted more attention. In this paper, we construct the generalized liquidity index of the main developed countries and emerging market countries on the global monetary environment, and the volatility index is used as a variable to reflect the market sentiment, which can be divided into stationary stage and pressure stage. Using a panel threshold model, we find that in a period of global investors＇ high risk appetites, global excess liquidity is a positive determinant of asset prices in emerging market countries. However,the link between the two variables changes when global risk aversion strengthens.

关 键 词：金融工程 波动率指数 面板门限回归模型 全球流动性 新兴市场 

分 类 号：F810.30[经济管理—财政学]