| 中国股市流动性风险的非对称效应分析 |
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| 引用本文： | 沈豪杰,黄峰. 中国股市流动性风险的非对称效应分析[J]. 统计与信息论坛, 2010, 25(4): 93-98 |
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| 作者姓名： | 沈豪杰 黄峰 |
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| 作者单位： | 1. 西安交通大学,经济与金融学院,陕西,西安,710061
2. 浙商银行总行,风险管理部,浙江,杭州,310006 |
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| 摘 要： | 通过构建一个非流动性指标，对中国沪深股市1995—2005年的市场流动性进行计量，发现中国股市流动性风险存在明显的波动聚集性特点。在此基础上，通过引入非对称GARCH模型对中国股市的流动性风险的动态特征进行实证检验，结果显示：中国股市的流动性风险存在明显的非对称效应，流动性风险表现出“强时愈强，弱时愈弱”的特征，这意味着当市场出现流动性问题时，政府的积极干预是合理的。
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| 关 键 词： | 流动性风险 非流动性 非对称效应 GARCH |
The Asymmetric Effect of Liquidity Volatility in Mainland China's Stock Markets |
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| SHEN Hao-jie,HUANG Feng. The Asymmetric Effect of Liquidity Volatility in Mainland China's Stock Markets[J]. Statistics & Information Tribune, 2010, 25(4): 93-98 |
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| Authors: | SHEN Hao-jie HUANG Feng |
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| Affiliation: | SHEN Hao-jie1,HUANG Feng2(1 School of Economics & Finance,Xi'an Jiaotong University,Xi'an 710061,China,2 Dept.of Risk Management,China Zheshang Bank,Hangzhou 310006,China) |
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| Abstract: | This paper tests the liquidity risks of mainland China's stock markets by constructing an illiquidity indicator during the year from 1995 to 2005, and find that the liquidity risks of stock markets we mentioned above were obviously stand by the feature of volatility clustering.Further,we tested the dynamic characteristic of the stock markets by introduced asymmetric GARCH models,it shows that the liquidity risks of the stock markets were apparently asymmetric,which means when liquidity risk was weak,the fut... |
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| Keywords: | GARCH |
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