证券市场流动性多重分形波动与共振研究  

Study on Multifractal Fluctuation and Resonance of Securities Market Liquidity

作　　者：淳正杰 唐小我[2] Chun Zhengjie;Tang Xiaowo(College of Management Science,Chengdu University of Technology,Chengdu 610059;College of Economics and Management,University of Electronic Science and Technology of China,Chengdu 610054)

机构地区：[1]成都理工大学管理科学学院,成都610059 [2]电子科技大学经济与管理学院,成都610054

出　　处：《管理评论》2021年第10期81-89,共9页Management Review

基　　金：国家自然科学基金青年项目(71903017)。

摘　　要：证券市场是金融系统的重要组成部分,其流动性波动及共振的特征关系到金融系统稳定运行,若证券流动性波动异常并通过共振引起证券市场流动性枯竭,就可能会给证券市场带来灾难,甚至引发金融危机。鉴于研究证券市场流动性波动及共振的特征是预测流动性异常波动和复杂共振的重要前提和理论依据,本文选取我国上证50指数及18个行业数据,利用多重分形去趋势相关分析方法,检验了流动性波动及共振的多重分形特征。研究发现,上证50指数与18个行业指数的流动性均具有多重分形特征,并且行业指数与市场指数之间的流动性共振也存在多重分形特征。因此,流动性波动和流动性共振均具有可预测性,从而监管层可通过监测流动性的波动与共振,实现防范和化解系统性金融风险的目标。The securities market is an important part of the financial system and its liquidity and resonance bear heavily on the stable operation of the financial system. If the abnormal fluctuation of securities liquidity and the resultant resonance cause liquidity drying-up,the securities market may face disaster and even fall into financial crisis. Considering that studying the characteristics of liquidity fluctuation and resonance in securities market is an important premise and theoretical basis for predicting abnormal liquidity fluctuation and complex resonance,this paper examines the multifractal characteristics of liquidity fluctuation and resonance by using the multifractal detrend correlation analysis method based on the Shanghai Stock Exchange 50 Index and 18-industry data. It is found that the liquidity of Shanghai 50 Index and 18-industry indexes all have multifractal characteristics,and the liquidity resonance between industry index and market index also has multifractal characteristics. Therefore,liquidity volatility and liquidity resonance are both predictable,so regulators can achieve the goal of preventing and resolving systemic financial crisis by monitoring liquidity volatility and resonance.

关 键 词：证券市场 流动性波动 流动性共振 多重分形特征 

分 类 号：F832.51[经济管理—金融学]