【作者】 吕学梁；

【导师】 杨春鹏；

【作者基本信息】 青岛大学 ， 金融学， 2005， 硕士

【摘要】 股票流动性是股票生命力之所在,因此如何度量股票流动性就极为重要。国外对于股票流动性度量的研究伴随着金融市场微观结构理论的发展日臻成熟,但也存在不足,需要对其进行修正;国内学者对于流动性度量的研究也日益增多,但在将国外已有的度量方法运用于国内股票市场时需进一步改进,以适应国内指令驱动的交易制度。行为金融学的兴起和发展为传统金融市场微观结构理论的研究提供了一种新的思路。据此,本文主要作了以下一些工作: 根据噪声交易者模型,考虑了噪声交易者的认知偏差和反应不足,构建了一种新的价格冲击模型,对于噪声交易和股票流动性的关系给出了一种新的行为金融学解释,并且通过设定参数进行模拟,具体描绘了噪声交易对于股票流动性的影响。 在所构建的价格冲击模型的基础上,进一步研究了噪声交易者数量变动对于股票流动性的影响,得出了噪声交易者的数量越多股票流动性越差的结论,并对所得结论进行了模拟和分析。 依据所作的理论研究,采用价量结合的方法,对中国股票市场进行了实证检验,测算了所选样本股的价格冲击系数。更多还原

【Abstract】 Measuring the liquidity of stock is very important, because the liquidity of stock is its life. With the development of microstructure theory of financial market, the research abroad on the measurement of the stock’s liquidity is ripe day by day, but there are some deficiencies, so we need revise it. Domestic scholars’ research on the measurement of stock’s liquidity is more and more, but when we apply the existing measuring methods abroad to the domestic stock market, we need improve them further in order to adapt to the domestic order-driven trade system. The naissance and development of behavioral finance offers some new ideas for the development of traditional microstructure theory of financial market. So, the main works of the paper are as follows:Based on the model of noise trade, thinking of perceive bias and underreaction of noise trader, this paper constructs a new price-impact model, provides a new explanation of the relation of noise trader and stock’s liquidity based on behavior finance, and describes concretely the influence of noise trader on stock’s liquidity by setting parameters and doing some simulation.On the basis of price-impact model constructed, the paper studies the influence of noise trader’s quantity change on stock’s liquidity, and draws the conclusion that the greater the amount of noise trader is, the lower stock’s liquidity is. Then, the paper simulates and analyzes it.According to the theoretical research, this paper adopts the method of combining volume and price to do some empirical analysis in Chinese Stock market and measure price-impact coefficient of sample stocks.更多还原