中国沪深股票市场流动性研究

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2 bid-ask bidask

3 L RISK Madhavan(1992) JN L JN L

4 1 2 GARCH

5 1 1.1 commonaliy

6 rade mechanism marke microsrucure Garmam(1976), KrausSoll (1972) NWSE (), Garbade Silber (1979) Bayers sequenial rade model Glosen Milgrom(1985) O Hara(1992) marke maker Madhavan(1992) Madhavan(1996) quoe-driven Hasbrouck Seppi(2001) Chan Lakonishok(1995)Daar(2001)Kiem Madhavan(1997)Nanda 2000 Chordia

7 2000 price discovery marke cleari 1.1.2

8 quoe-driven marke-maker order-driven aucion marke volailiy

9 ARCH BROWN Black Scholes BROWN GBM deph 12 P P P 1 ln( V ) V (ransparency)

10 (1) informed rader (uninformed rader) (2) ( 13) 13

11 NASDAQ bid ask 21

12 P E E A (FIFO) E B

14 A 500,000 5,000

17 %

18 efficiency deph 3 1 2

19 A r = ln( p ) ln( p 1 ) p p 1 1 r

20 V V v = V 1 1 V V 1 1 v n r = air i + e i= 1 1 r a e i Durbin-Wason Pormaneau Q Lagrange LM LM 1 GARCH(p=1,q=1) air i e 1-1 i= 1 r = a + e = h ε 1-2 h = + γ 1h + 1 ρ1e 1 ω 1-3

21 ε N(0,1) Xu(2000) Xu e m = bi i= 1 e i +α v + ζ 1-4 e 1-2 α N(0,1) v α Sock Variable Number Minimum Maximum Mean Sd.Dev. A PRICE VOLUME RATE DVOL PRICE VOLUME RATE DVOL PRICE ζ

22 VOLUME RATE DVOL PRICE VOLUME RATE DVOL PRICE A VOLUME RATE DVOL PRICE () VOLUME RATE DVOL PRICE VOLUME RATE DVOL %

23 DVOL DVOL DVOL 32 A 2 A R^2= RATE RATE RATE * GAMMA < *** PHO < *** R^2= RE < *** RE < *** RE < *** DVOL < *** R^2= RATE RATE RATE ** GAMMA < *** PHO < ***

24 R^2= RE < *** RE < *** RE ** DVOL < *** R^2=0.019 R^2= RATE RATE ** RATE GAMMA < *** PHO < *** RE < *** RE ** RE *** DVOL < *** 32 A R^2= R^2= RATE RATE RATE GAMMA < *** PHO < *** RE < *** RE *** RE ** DVOL < *** R^2= RATE RATE *** RATE ** GAMMA PHO < *** R^2=0.253 RE < *** RE *** RE ** DVOL < ***

25 R^2= R^2= RATE RATE RATE GAMMA < *** PHO < *** RE *** RE *** RE *** DVOL < *** α α 31 Lsh A Lsz

26 31 A Pearson -0.45P = A Pearson -0.39P = A Pearson Pearson P-value P-value

27 bid ask spread Bid 1 2 P A P B P A AskB deph ( Q + ) Q A Q B A AskB Bid Madhavan(1992) semi-srong form efficien (maringale)

28 Madhavan(1992)

29 liquidiy risk L RISK ) / ( m RISK P P P Var L = L RISK j bj P P m sj j sj bj m j P * 3 * j P P P + = ω ω ω L RISK

30 4.2.2 BlumeEasley O Hara1994 Madh avan(1992) 1 2 L JN σ P L JN ( P = ) 1 H L JN L JN L JN P H σ P L EL

31 L EL % V = % P % V GARCH (2001) GARCH(p=1,q=1) GARCH GARCH aggregaion sock variable flow variable GARCH GARCH GARCH(p,q)

32 median mean Min max Sdev L RISK L JN L EL L RISK L JN L EL L EL L EL L L L JN L RISK JN EL 8 17 L JN

33 4.3.2 L L EL Pearson P 0.01 JN Lrisk Ljn Lel Lrisk Ljn Lel Pearson L L JN EL

34 L LEL JN

35 GARCH 4 L L EL JN 1. Blume,F., Easley, D., & O Hara, M.(1994) Marke saisics and echnical analysis: The role of volume, Journal of Finance, 49,

36 2. Chan, L., & Lakonishok, J., (1995) The Behavior of Sock Prices Around Insiuional Trades, Journal of Finance, Vol 50., Chordia, T., Roll, R. & Subrahmanyam, A., (2000) Commonaliy in Liquidiy, Journal of Financial Economics, 56, Daar, V., (2001) Impac of Liquidiy on Premia/discouns in Closed-end Funds, The Quarerly Review of Economics and Finance, Easley, D., & O Hara, M. (1992) Time and he Process of Securiy Price Adjusmen, Journal of Finance, 47, Garbade, K., & Silber, W., (1979) Srucural Organizaion of Secondary Markes: Clearing Frequency, Dealer Aciviy and Liquidiy Risk, Journal of Finance, Vol 34, Garman, M., (1976) Marke Microsrucure, Journal of Financial Economics, 3, Glosen, L., & Milgrom, P., (1985) Bid, Ask and Transacion Prices in a Special Mar ke wih Heerogeneously Informed Traders, Journal of Financial Economics, 14, Hand, D., & Jacka, S.,(1998) Saisics in Finance, Arnold Press. 10. Hasbrouck, J., & Seppi, D., (2001) Common Facors in Prices, Order Flows, and Liquidiy, Journal of Financial Economics, 59, Keim, D., & Madhavan, A.,(1996) The Upsairs Marke for Large-Block Transacions: Analysis and Measuremen of Price Effecs, Review of Financial Sudies, Vol 9., Keim, D., & Madhavan, A.,(1997) Transacion Coss and Invesmen Syle: an Iner-e xchange Analysis of Insiuional Equiy Trades. Journal of Financial Economics, 46, Kraus, A., & Soll, H.,(1972) Price Impacs of Block Trading on he New York Sock Exchange, Journal of Finance, Vol 27., Maddala, G., & Rao, C.,(1996) Saisical Mehods in Finance; Elsevier Press. 15. Madhavan, A., (1992) Trading Mechanisms in Securiies Markes, Journal of Finance, Vol 47., Nanda, V., Narayanan, M., & Warher, V.A.,(2000) Liquidiy, Invesmen Abiliy, and

37 Muual Fund Srucure, 17. Xu, C., K.(2000) The microsrucure of China sock marke, China Economic Review, 11,

2015 年第 12 期 17 贷资产证券化进入常态化的稳健发展轨道, 是我国政府学者及业内人士应予关注的问题 ( 一 ) 流动性相关研究综述资产证券化产生于 20 世纪 60 年代末的

2015 年第 12 期 17 贷资产证券化进入常态化的稳健发展轨道, 是我国政府学者及业内人士应予关注的问题 ( 一 ) 流动性相关研究综述资产证券化产生于 20 世纪 60 年代末的 16 银行信贷资产证券化流动性风险及监管模式研究总第 48 期银行信贷资产证券化流动性风险及监管模式研究基于系统协同论视角的分析福建银监局南平分局课题组 1 摘要 : 美国次贷危机的爆发敲响我国信贷资产证券化流动性管理