正反馈交易、市场效率与流动性黑洞——基于日内分笔交易数据的实证研究

金融危机爆发以来,全球资本市场流动性出现紧缩;中国市场波动幅度增加,多只股票出现流动性黑洞,市场效率显著降低。本文通过向量自回归(VAR)分析,发现投资者在不同程度上采用了正反馈交易策略。进一步地,对存在正反馈交易和不存在正反馈交易的数据分别进行多方面的比较分析,文章发现正反馈交易者显著地降低了市场的效率;通过对收益率序列和委比序列进行向量自回归分析,发现正反馈交易降低了市场的多样性,更容易产生流动性黑洞。     

基于股市投资者情绪的非理性投机泡沫模型研究

针对股市非理性投机泡沫研究的不足,通过引入投资者情绪构建基于噪声交易者模型的非理性投机泡沫模型,以此研究噪声交易者的认知偏差,其在投资过程中所带有的情绪及其对风险资产历史基础价值冲击的过度反应对股市投机泡沫的影响。结果表明：市场中带情绪的噪声交易者数量越多,股价中的非理性投机泡沫成分越大,其波动程度也越剧烈。     

流动性黑洞下的投资者结构与股票收益率研究

基于投资者在不同流动性状况下的行为,研究他们对股票收益率影响,结果表明:个人股东数和持股比例对收益率具有负向影响,而机构股东数和持股比例对收益率具有正向影响,且在发生流动性黑洞时,两者的影响都得到加强;不同机构投资者对收益率影响方向不同,有些机构投资者在不同流动性状况下对收益率影响方向和强度也不同;个人股权集中度在不同流动性状况下对收益率影响方向并不具有一致性,机构投资者股权集中度越大,收益率越高,且这种影响在发生流动性黑洞时更强烈。     

货币供给与投资者交易行为

本文针对货币供给对股票市场中投资者交易行为的影响进行了实证检验。市场上有知情交易者和不知情交易者两类投资者,研究发现：货币供给对知情交易者影响很小,但是货币供给对不知情交易者的影响很大。如果货币供给增加,那么知情交易者到达市场的强度会增大,并且信息交易的比例会下降。因此,增大货币供给在提高股市的流动性的同时也会降低股票市场反映信息的效率,那么最优的货币政策应当在这两方面达到一个最优的平衡。     

流动性过剩与宏观经济政策选择

解决流动性过剩问题,已成为我国宏观调控的重大问题。本文分析了我国流动性过剩现状,探讨流动性过剩的成因．提出强化货币政策与财税、贸易等政策的协调配合,有效管理流动性,促进国际收支平衡,实现储蓄、消费、投资以及三次产业结构等宏观比例关系的协调与均衡,促进经济增长由主要依靠投资和出口拉动,向依靠消费与投资、内需与外需协调拉动转变。     

“流动性陷阱”中的金融加速器和杠杆作用

本文通过建立包含房地产价格、金融摩擦以及货币政策的新凯恩斯宏观经济模型,研究了非基础面的预期冲击对"流动性陷阱"驱动的动态特征。研究表明,当宏观经济陷入悲观预期驱动的流动性陷阱后,抵押品效应收缩所引起的信贷约束将成为预期冲击影响实际产出的主要传导渠道。杠杆率越高,冲击所引起的经济衰退越严重,流动性陷阱的持续期也更为持久。因此,政府应加大对金融创新的监管力度,并积极实施宏观审慎政策,以避免杠杆率水平过高引发"流动性陷阱"。     

宏观流动性的测度、波动及其对资产价格的影响

本文对不同层次的流动性概念进行了阐述,并在此基础上着重探讨了宏观流动性的有关问题,同时通过理论分析及实证检验得出以下结论:宏观流动性的波动总体上取决于货币政策的取向和力度;但也可能在外部冲击下短期内发生剧烈波动。宏观流动性状况对资产价格具有一定作用,但实际影响取决于多种因素。     

货币政策冲击对股票市场流动性的影响——基于Markov区制转换VAR模型的实证研究

本文首先对货币政策影响股市流动性的机理进行分析,在此基础上,尝试构建了一个新的股票市场流动性指标,通过引入MS-VAR模型,考察了货币政策在不同区制下对股市流动性的动态影响。基于MSIH(3)-VAR(4)模型和累积脉冲响应的结果表明,货币政策扩张有助于提高市场流动性,货币政策收紧,会导致市场流动性降低。但在不同区制下,影响程度存在显著差异,当股市处于膨胀期时,货币政策冲击对市场流动性的影响比股市处于低迷期时表现得更加明显。同时,股市收益率和股市波动率对股市流动性也存在显著影响。     

权证市场创设制度绩效研究

为了研究权证创设制度对市场的影响，本文构建了一个包括理性投资者、理性投机交易者和噪声交易者三种市场参与者的权证市场均衡模型，并利用权证市场推出后沪市所有交易数据对该模型进行了估计，同时比较了创设制度对不同权证种类的影响，分析了创设制度对标的股票价格行为的作用，本文发现，创设制度的引入对认沽权证的价格稳定作用超过对认购权证的价格稳定作用；权证的出现使得股票市场价格波动性变小，但创设制度却使得股票市场的波动性增大。     

货币政策、同业业务与银行流动性创造

本文通过构造商业银行同业和非同业流动性创造指标,研究了货币政策对银行流动性创造的总体和结构性影响,根据商业银行参与同业业务的不同程度分析了货币政策作用的异质性,并检验了商业银行参与同业业务的影响因素。研究结果表明:第一,货币政策同时影响商业银行的流动性创造增速和结构,宽松的货币政策提高了银行总体流动性创造增速和非同业流动性创造增速,但是降低了同业流动性创造增速;第二,对参与同业业务程度不同的银行,货币政策的影响存在异质性,具体为宽松的货币政策降低了高参与度银行的同业流动性创造增速,提高了低参与度银行的同业流动性创造增速;第三,货币政策显著地改变了银行的同业资产持有比例,银行的风险越高,参与同业业务的程度越高。因此,在宏观审慎政策框架下,应该加强货币政策和金融监管的配合;运用多种货币政策工具,及时进行预调微调;进一步促进金融市场的发展,降低银行对同业业务的过度依赖。     

Liquidity in the cryptocurrency market and commonalities across anomalies

We examine how liquidity affects cryptocurrency market efficiency and study commonalities in anomaly performance in cryptocurrency markets. Based on the unique features of cryptocurrencies, we build a model with anonymous traders valuing cryptocurrencies as payments for goods and investment assets, and find that decreases in funding liquidity translate into lower asset liquidity in the cryptocurrency market. Empirically, we observe that many widely recognized stock market anomalies also exist in the cryptocurrency market, although some have opposite long and short legs. We also find evidence that a decrease in cryptocurrency liquidity enhances anomalous returns while preventing the cryptocurrency market from achieving efficiency.     

Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality

We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a positive relation between market and liquidity risk. Moreover, this relationship is the stronger the deeper one digs into the order book. Even more interestingly, this paper sheds further light on so far puzzling features of market liquidity: liquidity commonality and flight-to-quality. We show that liquidity commonality varies over time, increases during market downturns, peaks at major crisis events and becomes weaker the deeper we look into the limit order book. Consistent with recent theoretical models that argue for a spiral effect between the financial sector’s funding liquidity and an asset’s market liquidity, we find that funding liquidity tightness induces an increase in liquidity commonality which then leads to market-wide liquidity dry-ups. Therefore our findings corroborate the view that market liquidity can be a driving force for financial contagion. Finally, we show that there is a positive relationship between credit risk and liquidity risk, i.e., there is a spread between liquidity costs of high and low credit quality stocks, and that in times of increased market uncertainty the impact of credit risk on liquidity risk intensifies. This corroborates the existence of a flight-to-quality or flight-to-liquidity phenomenon also on the stock markets.     

透明度对银行间债券市场流动性变化趋势的影响

为检验透明度制度变化对我国银行间债券市场流动性变化趋势是否有影响,本文将突变理论引入债券市场研究,并对我国银行间债券市场的综合流动性、国债流动性、政策性金融债券和短期融资券流动性进行突变检验。结果表明,我国银行间债券市场流动性数据的生成过程没有出现结构突变,整体上观察,我国银行间债券市场流动性呈平稳上升趋势。我们又使用非参数检验方法检验了透明度变化对流动性的影响,结果表明,透明度对流动性的影响因债券而各异,对整个银行间债券市场的流动性也因各种债券受到透明度的影响强度不同而不同。     

融资流动性与债券资产流动性的互动特征——基于MS-VAR模型的时变分析

依据2015-2021年货币市场和债券市场的时间序列数据,运用MS-VAR探究了不同违约风险环境下融资流动性与债券资产流动性间的互动关系。研究发现：无论是利率债还是信用债,其资产流动性与货币市场的融资流动性存在互为正反馈的流动性螺旋。此外,两类流动性间的互动特征存在非对称性和异质性,在风险时期,融资流动性与利率债资产流动性互动特征比较明显,而在平稳时期,融资流动性与信用债资产流动性互动特征比较明显。     

Stock Liquidity Risk and the Cross‐sectional Earnings‐Returns Relationship

We argue that a higher sensitivity to aggregate market‐wide liquidity shocks (i.e., a higher liquidity risk) implies a tendency for a stock's price to converge to fundamentals. We test this intuition within the framework of the earnings‐returns relationship. We find a positive liquidity risk effect on the relationship between return and expected change in earnings. This effect on the earnings‐returns relationship is distinct from the negative effect observed for stock illiquidity level. Notably, the liquidity risk effect is evident (absent) during periods of neutral/low (high) aggregate market liquidity. We also show that the liquidity risk effect is dominant in firms that: (a) are of intermediate size; (b) are of intermediate book‐to‐market; and (c) are profit making.     

The impact of aggressive orders in an order-driven market: a simulation approach

This article investigates resiliency in an order-driven market. On basis of a vector autoregressive model capturing various dimensions of liquidity and their interactions, I simulate the effect of a large liquidity shock, measured by a very aggressive market order. I show that, despite the absence of market makers, the market is resilient. All dimensions of liquidity (spread, depth at the best prices and order book imbalances) revert to their steady-state values within 15 orders after the shock. For prices, a long run effect is found. Furthermore, different dimensions of liquidity interact. Immediately after a liquidity shock, the spread becomes wider than in the steady state, implying that one dimension of liquidity deteriorates, while at the same time, depth at the best prices increases, meaning an improvement of another liquidity dimension. In subsequent periods, the spread reverts back to the steady-state level but also depth decreases. Also, I find evidence for asymmetries in the impact of shocks on the ask and bid side. Shocks on the ask side have a stronger impact than shocks on the bid side. Finally, resiliency is higher for less-frequently traded stocks and stocks with a larger relative tick size.     

Trading and liquidity in the catastrophe bond market

We provide first insights into secondary market trading, liquidity determinants, and the liquidity premium of catastrophe bonds. Based on transaction data from TRACE (Trade Reporting and Compliance Engine), we find that cat bonds are traded less frequently during the hurricane season and more often close to maturity. Trading activity indicates that the market is dominated by brokers without a proprietary inventory. Liquidity is high in periods of high trading activity in the overall market and for bonds with low default risk or close to maturity, which results from lower order processing costs. Finally, using realized bid–ask spreads as a liquidity measure, we find that on average, 21% of the observable yield spread on the cat bond market is attributable to the liquidity premium, with a magnitude of up to 141 bps for high-risk bonds.     

Examining the relationship between earning management and market liquidity

The main purpose of this paper is to argue the extent that earnings management lowers liquidity. It should increase information asymmetry and impair trading liquidity. Using a sample of French firms from 2008 to 2011, we find that firms that manage earnings have wider bid-ask spreads. Our results are robust for both of two well-established measures of market liquidity. Therefore, the empirical results indicate that firms that exhibit greater earnings management are associated with lower market liquidity. These findings are in line with adverse selection and shed light on the role corporate governance devices can play in the consideration of shareholder interest’s protection, which leads to improved stock market liquidity levels.     

流动性的度量及其与资产价格的关系

本文将流动性划分为货币流动性、银行系统流动性和市场流动性三个层次,总结了相应的可操作的度量方法,并通过中国数据进行了度量,从一个侧面论证了货币流动性是市场流动性的基础,以及市场流动性高时资产价格一般也较高的观点。基于货币流动性的基础性地位,本文进一步考察了货币流动性与资产价格的关系,发现超额货币流动性不仅影响股票的名义回报,还影响股票的真实回报;货币流动性在长期内受到股票真实回报的反作用,但这种作用可能是相对微小的。     

Determinants of Trading Profits: The Liquidity Provision Decision

Theories show that liquidity provision implies negative contemporaneous correlation between trades and returns. Dealers on the Taiwan Stock Exchange are granted typical dealer trading advantages without obligations to provide liquidity and, thus, are ideal to test whether these advantages lead to voluntary liquidity provision (earning bid-ask spreads) or information trading (trading in the direction of the market). We find a strong positive correlation in aggregate, implying that these unrestricted dealers prefer information trading. We also find that smaller dealers are more likely to provide liquidity and that small-cap stocks (with larger bid-ask spreads) are more profitable for liquidity provision.