湖南大学学报（社会科学版）
湖南大學學報（社會科學版）
호남대학학보（사회과학판）
JOURNAL OF HUNAN UNIVERSITY(SOCIAL SCIENCE EDITION)
2014年
1期
66-70
,共5页
系统流动性风险%风险溢价%股票市场
繫統流動性風險%風險溢價%股票市場
계통류동성풍험%풍험일개%고표시장
systemic liquidity risk%risk premium%stock market
从行业和市场行情变化出发研究了股票市场系统流动性风险溢价的差异。以沪深300指数和沪深300行业指数为对象,选取的样本期间横跨牛市行情和熊市行情,采用二元均值 GARCH(1,1)---Diagonal BEKK模型进行实证检验。结果表明,在混合市场行情下,总体样本和行业样本的系统流动性风险溢价都不显著,在牛市行情下,不存在系统流动性风险,而在熊市行情下,系统流动性风险显著存在,并且不同行业的系统流动性风险溢价存在一定的差异。
從行業和市場行情變化齣髮研究瞭股票市場繫統流動性風險溢價的差異。以滬深300指數和滬深300行業指數為對象,選取的樣本期間橫跨牛市行情和熊市行情,採用二元均值 GARCH(1,1)---Diagonal BEKK模型進行實證檢驗。結果錶明,在混閤市場行情下,總體樣本和行業樣本的繫統流動性風險溢價都不顯著,在牛市行情下,不存在繫統流動性風險,而在熊市行情下,繫統流動性風險顯著存在,併且不同行業的繫統流動性風險溢價存在一定的差異。
종행업화시장행정변화출발연구료고표시장계통류동성풍험일개적차이。이호심300지수화호심300행업지수위대상,선취적양본기간횡과우시행정화웅시행정,채용이원균치 GARCH(1,1)---Diagonal BEKK모형진행실증검험。결과표명,재혼합시장행정하,총체양본화행업양본적계통류동성풍험일개도불현저,재우시행정하,불존재계통류동성풍험,이재웅시행정하,계통류동성풍험현저존재,병차불동행업적계통류동성풍험일개존재일정적차이。
Considering the industry factors and market condition,this paper studied the differences of stock market liquidity risk premium.Take the CSI 300 Index and CSI 300 Sector Index as objects,the sample period contains both the bull market and bear market,and the Binary mean model GARCH (1 , 1)---Diagonal BEKK was used in empirical research.The results show that the overall samples and in-dustry samples liquidity risk premium is not significant in the mixed market conditions,the systemic liq-uidity risk is not exist in the bull market but the bear market,furthermore,the system liquidity risk pre-mium in different industries are different.
