我国证券市场流动性溢出效应的实证研究

2008年金融危机中的一个重要金融现象是流动性溢出效应.本文以我国沪深两市交易的国债和股票为样本,利用VAR技术分析了股票市场与债券市场之间的流动性溢出效应问题.由于我国股票市场的规模远大于交易所交易债券,我们发现存在显著的股市流向债市的流动性溢出效应,而债市流向股市的流动性溢出效应统计上却不显著.同时我们发现各个市场自身的收益率和波动率对其流动性也有着显著的影响.最后我们还发现两市自身的流动性存在着很强的自相关性.证据表明当我国资本市场出现流动性不足时,尤其要加强对股票市场流动性风险的防范和监管.同时也反映出我国要大力发展债券市场的必要,使股市和债市的流动性相互影响相得益彰.

Our Country Securities Market Liquidity Spillover Effect of Empirical Research

During the recent financial crisis in 2008,one of the most important financial phenomenon is the liquidity spillover.In this paper,we analyzed the liquidity spill.The empirical evidences show that the regulation on the stock market liquidity risk should be put more emphasis.Meanwhile it is indispensable to develop out bon over effect in Chinese stock market and bond market,using the sample of Shanghai and Shenzhen Exchange.With the help of VAR,we find that there is unidirectional liquidity spillover effect from stock market to bond market,but not the vis-a-vis.We also explored the significant impact of returns and volatility on liquidity.And we find that the liquidity of the two markets have high autocorrelations.Market in order that the stock and bond markets interact with each other.