资产定价中的市场流动性—流动性文献综述

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。

Determinants of risk premiums on corporate bonds

Purpose/SignificanceLiquidity 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/MethodologyBy 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/ConclusionThe forced liquidation mechanism of leveraged trading has caused the stock market to form a serious