本文選題：流動性 + 多元線性回歸模型�。� 參考：《云南師范大學(xué)》2013年碩士論文

【摘要】：流動性是評價一國證券市場運行質(zhì)量的重要指標(biāo)之一，它是指一種資產(chǎn)能夠以合理的價格和較低的交易成本迅速轉(zhuǎn)換成其它資產(chǎn)的能力。中國是一個明顯的“政策市”，信息披露制度不完善，股票市場受政府行為影響較大。針對此，本文從國家重大經(jīng)濟金融政治會議出發(fā)，引進虛擬變量，通過多元線性回歸模型、Box-Cox變換、半?yún)?shù)模型研究了近三年來中國黨代會、兩會、全國金融會議、中央經(jīng)濟會議對股市流動性的影響。結(jié)果表明，兩會與中國股票市場流動性具有負(fù)相關(guān)關(guān)系，黨代會、中央經(jīng)濟會議對股票市場流動性的影響不確定，如：十七屆五中全會與股市流動性具有負(fù)相關(guān)關(guān)系，但十七屆六中全會、十七屆七中全會對股市流動性影響不顯著，中央經(jīng)濟會議中，2011年的對股市流動性影響較大，其他的有一定影響，但沒有明顯的相關(guān)關(guān)系，如2010年的中央經(jīng)濟會議。根據(jù)這些結(jié)果，本文對投資決策進行了分析，，給出了對市場流動性需求者有參考價值的建議。
[Abstract]:Liquidity is one of the important indicators to evaluate the operation quality of a country's securities market. It refers to the ability of an asset to convert quickly to other assets at a reasonable price and lower transaction cost.China is an obvious "policy city", the information disclosure system is not perfect, and the stock market is greatly influenced by government behavior.In view of this, starting from the major national economic, financial and political conferences, this paper introduces virtual variables, studies the Party Congress, the two sessions and the national financial conference of China in the past three years by means of the multivariate linear regression model, the Box-Cox transformation and the semi-parametric model.The impact of the Central Economic Conference on the liquidity of the stock market.The results show that there is a negative correlation between the two sessions and the liquidity of the stock market in China. The influence of the Party Congress and the Central Economic Conference on the liquidity of the stock market is uncertain. For example, the Fifth Plenary session of the 17th CPC Central Committee has a negative correlation with the liquidity of the stock market.However, the sixth Plenary session of the 17th CPC Central Committee and the Seventh Plenary session of the 17th CPC Central Committee have no significant impact on the liquidity of the stock market. At the Central Economic Conference, the 2011 session had a greater impact on the liquidity of the stock market, while others had a certain impact, but there was no obvious correlation.Such as the 2010 Central Economic Conference.According to these results, this paper analyzes the investment decision, and gives some suggestions for the market liquidity demanders.
【學(xué)位授予單位】：云南師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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本文編號：1740445