有限关注视角下的股市流动性反转效应研究

股票市场流动性从正常到缺失转变是历次金融危机的重要表现,投资者关注是信息传递到股市引发流动性变化的前提,本文以中国股票市场为研究对象,从投资者有限关注角度分析市场流动性的反转问题。研究发现,在牛市、熊市和震荡盘整不同市场周期下投资者关注度与股市流动性之间存在非对称关系,通过门限模型进一步分析其背后的原因是市场状态对投资者关注行为的调节作用,当市场状态未超过门限值时,投资者关注度与股市流动性呈正向关系,超过门限值时二者关系转变为负向。本文丰富了行为金融领域的相关理论,为投资者和相关管理部门的决策依据提供新的视角。

Research on the Reversal Effect of Stock Market Liquidity from the Perspective of Investor Attention

The change of stock market liquidity is an important reflection of previous financial crises.Investor attention is the premise on which information transfers to stock market and triggers liquidity change.This paper takes Chinese stock market as the research object and analyzes the reversal of liquidity from the perspective of investors’limited attention.The study finds that there is an asymmetric relationship between investor attention and stock market liquidity in different market cycles of bull market,bear market and shock consolidation.Further analysis of the internal reason by threshold model is the adjustment of market state to investors’attention behavior.When the market state does not exceed the threshold,the investor attention is positively related to the stock market liquidity.When the threshold is exceeded,the relationship becomes negative.This paper enriches the relevant theories in the field of behavioral finance and provides a new perspective for investors and relevant management departments.