证券市场流动性研究综述  

Review of Research on the Security Market Liquidity

作　　者：李平[1] 汤怀林 LI Ping;TANG Huai-lin(University of Electronic Science and Technology of China, Chengdu 611731, China)

机构地区：[1]电子科技大学

出　　处：《电子科技大学学报（社科版）》2020年第1期29-37,共9页Journal of University of Electronic Science and Technology of China(Social Sciences Edition)

基　　金：国家自然科学基金项目(71873022)

摘　　要：【目的/意义】流动性是证券市场的生命力,理解流动性与资产定价之间的关系是理解金融危机的核心。2015年中国股灾的发生使得流动性成为关注焦点,更引发了对股灾过程中相关交易机制如何影响市场流动性的思考。【设计/方法】通过系统回顾证券市场流动性相关的研究文献,包括流动性的定义、流动性的测度、流动性与资产定价的关系,以及流动性共振及其影响因素,对2015年股灾发生的微观机理以及杠杆交易和涨跌幅限制在股灾过程中的作用机制进行了重点剖析和评述。【结论/发现】杠杆交易的强制平仓机制使得股市在下行过程中形成了严重的“流动性螺旋”效应,而价格涨跌幅限制进一步加剧了市场的流动性枯竭,最终导致股灾发生。【Purpose/Significance】Liquidity is the life of security market,and understanding the relationship between liquidity and asset pricing is the core of understanding the financial crisis.The occurrence of China’s stock market crash in 2015 made liquidity become the focus of attention,and triggered a reflection on how relevant trading mechanisms affect market liquidity in the process of market crash as well.【Design/Methodology】By systematically reviewing the research literature related to the liquidity of the securities market,including the definition of liquidity,the measurement of liquidity,the relationship between liquidity and asset pricing,and the resonance of liquidity and its influencing factors,the paper analyzes the micro-mechanism of the 2015 stock market disaster.The mechanism of leveraged trading and the limit of price fluctuations in the course of the stock disaster has been analyzed and reviewed.【Findings/Conclusion】The forced liquidation mechanism of leveraged trading has caused the stock market to form a serious"liquidity spiral"effect in the downward process,and the price limit has further exacerbated the depletion of liquidity in the market,which eventually led to the stock market disaster.

关 键 词：市场流动性 流动性风险 流动性共振 市场微观结构 股灾 

分 类 号：F830.91[经济管理—金融学]