【摘要】：我國(guó)股票市場(chǎng)以個(gè)體投資者居多，大部分投資者風(fēng)險(xiǎn)防范意識(shí)不強(qiáng)，對(duì)流動(dòng)性風(fēng)險(xiǎn)的認(rèn)識(shí)還不夠，為了追求高收益率將資產(chǎn)投資于預(yù)期收益較高、流動(dòng)性較低的資產(chǎn)組合，在經(jīng)歷2008年股市的大起大落后，，我國(guó)投資者對(duì)規(guī)避風(fēng)險(xiǎn)的需求日趨加強(qiáng)，意識(shí)到在追求資產(chǎn)收益最大化的同時(shí)還必須保證資產(chǎn)的安全性。大部分研究文獻(xiàn)認(rèn)為我國(guó)股票市場(chǎng)是存在流動(dòng)性溢價(jià)現(xiàn)象的，且熊市時(shí)流動(dòng)性溢價(jià)程度顯著高于牛市時(shí)流動(dòng)性溢價(jià)程度，同時(shí)在牛市時(shí)市場(chǎng)通常表現(xiàn)出風(fēng)險(xiǎn)傳染現(xiàn)象，而熊市通常表現(xiàn)出流動(dòng)性投資轉(zhuǎn)移現(xiàn)象。 本文首先對(duì)國(guó)內(nèi)外相關(guān)研究成果進(jìn)行總結(jié)，然后在借鑒國(guó)內(nèi)外研究成果的基礎(chǔ)上將牛市、熊市進(jìn)一步細(xì)分為恢復(fù)期、上升期、衰退前期、衰退后期四個(gè)子階段，并以2006-2010的數(shù)據(jù)研究了上海A股市場(chǎng)在四個(gè)子階段是否均存在流動(dòng)性溢價(jià)現(xiàn)象以及流動(dòng)性溢價(jià)程度，再次，在對(duì)風(fēng)險(xiǎn)傳染和流動(dòng)性投資轉(zhuǎn)移做出具體界定的基礎(chǔ)上，將股票組合分為流動(dòng)性好的股票和流動(dòng)性差的股票，控制市場(chǎng)共同因素對(duì)流動(dòng)性好與流動(dòng)性差的股票組合的影響，分析流動(dòng)性好與流動(dòng)性差的股票組合之間在四個(gè)子區(qū)間是否存在風(fēng)險(xiǎn)傳染和流動(dòng)性投資轉(zhuǎn)移現(xiàn)象，并借由投資者心理機(jī)制理論對(duì)模型結(jié)論進(jìn)行解釋。 實(shí)證得到了兩個(gè)與現(xiàn)有研究不同的結(jié)論：（1）雖然熊市流動(dòng)性溢價(jià)程度總體上高于牛市，但牛市中恢復(fù)期的流動(dòng)性溢價(jià)程度反而高于熊市中的衰退后期；（2）熊市中衰退前期表現(xiàn)為流動(dòng)性投資轉(zhuǎn)移現(xiàn)象，但衰退后期卻表現(xiàn)為風(fēng)險(xiǎn)傳染。
[Abstract]:Most of the stock markets in our country are individual investors, most of them are not aware of risk prevention, and the understanding of liquidity risk is not enough. in order to pursue high yield, invest assets in the portfolio with higher expected return and lower liquidity. After the ups and downs of the stock market in 2008, the demand for risk aversion of Chinese investors has been strengthened day by day, realizing that it is necessary to ensure the safety of assets while pursuing the maximization of asset returns. Most of the research literature holds that there is a liquidity premium in the stock market of our country, and the degree of liquidity premium in bear market is significantly higher than that in bull market. At the same time, in bull market, the market usually shows the phenomenon of risk contagion. Bear markets usually show the phenomenon of liquidity investment transfer. This paper first summarizes the relevant research results at home and abroad, and then on the basis of drawing lessons from the domestic and foreign research results, further subdivides the bull market and bear market into four sub-stages: recovery period, rising period, early recession stage and late recession stage. Based on the data of 2006 / 2010, this paper studies whether there is a liquidity premium phenomenon and the degree of liquidity premium in the four sub-stages of Shanghai A-share market. Thirdly, on the basis of the specific definition of risk contagion and liquidity investment transfer, The stock portfolio is divided into liquid stocks and illiquid stocks, and the influence of common factors in the market on the stock portfolio with good liquidity and poor liquidity is controlled. This paper analyzes whether there is risk contagion and liquidity investment transfer between the four sub-regions of the stock portfolio with good liquidity and poor liquidity, and explains the conclusion of the model by the theory of investor psychological mechanism. The empirical results are different from the existing studies: (1) although the liquidity premium of bear market is generally higher than that of bull market, the degree of liquidity premium in recovery period of bull market is higher than that in the late recession of bear market; (2) the phenomenon of liquidity investment transfer in the early stage of bear market is the phenomenon of liquidity investment transfer, but in the late stage of recession, it is risk contagion.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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