基于马尔可夫区制转移模型的流动性协动效应研究

历次金融危机都伴随着流动性水平的共同下降,流动性协动效应为金融危机提供潜在的动力.文章旨在研究个股与市场、行业与市场间的流动性协动效应的状态依赖特征;研究方法采用了 Markov 区制转移的向量自回归模型,随机选取了30只样本股与市场流动性水平作为研究对象;研究结果发现个股与市场流动性水平的协动性存在非对称效应,市场下跌时其协动效应更加显著,并对这一结果进行了稳健性检验.此外,基于Markov区制转移模型对行业间与市场间流动性协动效应进行研究,结果表明,在市场持续下跌时,行业与市场间以及行业之间均存在显著的流动性协动效应;然而,在非持续下跌过程中,行业间却存在流动性互补关系,并结合中国证券市场的实际情况分析了流动性协动效应产生的原因.

Study on Liquidity Co-movement Effect Based on Markov Regime Switching Model

Financial crisis always companied with the liquidity level fall together in the whole stock market,liquidity co-movement effect offer potential energy to the crisis.This paper constructs property model(MS-VAR) to study the states dependence of the liquidity co-movement among stocks blocks and markets,and chooses liquidity lever and 30 sample stocks of Shanghai Stock Exchange Market,the result shows that the liquidity co-movement effect increases as the index goes down,and conducts a robust test.Then,the paper studies the liquidity co-movement among blocks and markets by Markov regime switching model,the result shows that there is a notable liquidity co-movement effect among the stock index and two block indexes when the stock market goes down continually.However,there is liquidity co-movement relationship among the industries in the process of continued decreasing.Finally,the paper analyzes the reason of liquidity co-movement effect.