中国股市流动性风险研究
摘要
流动性是证券市场的生命力所在,也是决定市场质量的有效衡量指标之一。市场流动性的提高,不仅有助于活跃市场,吸引投资者,更重要的是有利于稳定市场价格、保证金融市场的正常运转并促进资源有效配置。不仅如此,流动性也被证明是资产价格的重要决定因素。本文基于金融市场微观结构理论,对中国股市流动性风险问题展开了系统而深入的研究。
本文首先构建了经市场风险调整的非流动性度量指标,该指标与Amihud(2002)的非流动性指标具有非常高的相关性,相关系数达到0.8444。利用该指标分析表明,沪深股市每月非流动性线性相关系数为0.9438,表明沪深股市的流动性呈较强的正相关关系;股票组合流动性随着总市值增加而变大。通过对不同市场的价格冲击指数进行比较后发现,中国股市的流动性在国际上处于较低的水平。借助事件研究法研究表明,当利好政策出台后,中国股市累积异常非流动性明显下降,而当利空政策出台后,股市累积异常非流动性大幅度上升;而政府政策主要通过在中长期影响股市的资金供给量和在短期影响投资者的心理预期与投资者的情绪,最后影响股市的流动性。
利用市场模型研究表明,中国股市存在流动性共性现象,流动性风险具有系统性特征,并且随着股票组合流动性的不断上升和规模增大,系统流动性风险系数都呈下降趋势;基于行为金融理论研究后得出,投资者之间的行为模仿和情绪传染是系统流动性风险形成的根本原因。运用Copula函数进行研究后发现,Gumbel Copula函数与Frank Copula函数可以更好地描述中国沪深股市流动性风险与市场风险的相关结构,意味着在风险分布的下尾部,两种风险的相关性并没有显著增强。基于流动性风险度量指标——LVaR的研究表明,相比较低流动性的股票组合而言,高流动性股票组合具有比较小的瞬时冲击系数、较短的清算期和较小的变现损失LVaR。以最小化变现损失为目标,在最佳清算期下,高流动性股票组合的平均变现损失占期初总市值的比例约5%左右,而低流动性股票组合则高达7%。运用KLR信号分析法构建了中国股市流动性风险预警系统,实证分析发现,在2008-2009年间中国股市将面临较大的流动性风险;投资者可以根据市场流动性调整股票组合、利用最优交易执行策略与风险对冲工具等手段管理流动性风险;与此同时,机构投资者要避免投资的同质化行为等。
最后,本文给出了具体的建议。就中国股市监管者而言,要加快设立风险对冲机制、建立流动性风险应急机制以及保持政策稳定性,以防止投资者情绪的大幅波动等。
The stock market is full of vitality because of liquidity which is also one of the measures to determine the quality of the market. The improvement in liquidity not only contributes to make the market active and absorb the investors, but also is beneficial to stabilize the market price, guarantee the financial market to operate well and distribute the resources effectively. Moreover, it is proved that liquidity is one of the important deterministic factors of asset price. Based on financial market microstructure, this paper systematically makes the research on liquidity and liquidity risk of China’s Shanghai and Shenzhen stock exchange.
This paper first constructs a market risk adjusted illiquidity measure which has a high correlation coefficient with the Amihud(2002) illiquidity measure and the correlation coefficient is 0.8444. Taking advantage of this measure to study the liquidity of China’s stock market, this paper finds that there is a strong dependence on liquidity between SHSE and SZSE and the correlation coefficient is up to 0.9438; through the comparison on the price impact index, the liquidity of China’s stock market is lower than that of other markets; the liquidity of portfolios is increasing on the total market capitalization of them. The market cumulative abnormal illiquidity will drop significantly when the policies which are beneficial to the market are announced and vice versa by means of event study methodology. The government policy can mainly affect the market liquidity through the impact on the supply of funds of the stock market in the medium and long-term and psychological expectations of investors and investor sentiment in the short-term.
There exists commonality in liquidity and liquidity risk is of systematic characteristics in China’s stock market after the study using the market model and the systematic liquidity risk coefficients decrease in the group liquidity and size; Moreover, based on behavioral financial theory, this paper explains that the cause for systematic liquidity risk formation is the mutual mimetic contagion among investors in sentiment and behavior. The depth and structure of correlation between the systematic liquidity risk and market risk of China’s stock exchange can be described by Gumbel Copula and Frank Copula for SHSE and SZSE, respectively after the Copula function studied, which means the correlation between the two risks doesn’t enhance in the lower tail of the risk distribution. Based on the study of liquidity risk measurement——LVaR, in comparison with the lower liquidity portfolios there is a smaller temporary impact coefficient, shorter liquidation period and lower liquidation costs LVaR. On the purpose of minimum the liquidation costs, the proportion of average liquidation costs to the initial market capitalization is about 5% for the higher liquidity group, but 7% for the lower liquidity group under the optimal liquidation period. Liquidity risk early warning system is constructed using KLR method and the results tell us there is a greater liquidity risk during 2008-2009 in China’s stock market; investors can adjust the portfolios according to the market liquidity, take advantage of the optimal transaction execution strategy and risk hedging instruments to manage the liquidity risk; moreover, institutional investors should avoid the homogenous investment.
Finally, this paper puts forward several proposals. For the China’s stock market regulators, first, the establishment of risk hedging mechanism should be expedited; second, they should establish the emergency response mechanisms of liquidity risk; and last they should keep the policies stable to prevent large fluctuations in investor sentiment.
本文首先构建了经市场风险调整的非流动性度量指标,该指标与Amihud(2002)的非流动性指标具有非常高的相关性,相关系数达到0.8444。利用该指标分析表明,沪深股市每月非流动性线性相关系数为0.9438,表明沪深股市的流动性呈较强的正相关关系;股票组合流动性随着总市值增加而变大。通过对不同市场的价格冲击指数进行比较后发现,中国股市的流动性在国际上处于较低的水平。借助事件研究法研究表明,当利好政策出台后,中国股市累积异常非流动性明显下降,而当利空政策出台后,股市累积异常非流动性大幅度上升;而政府政策主要通过在中长期影响股市的资金供给量和在短期影响投资者的心理预期与投资者的情绪,最后影响股市的流动性。
利用市场模型研究表明,中国股市存在流动性共性现象,流动性风险具有系统性特征,并且随着股票组合流动性的不断上升和规模增大,系统流动性风险系数都呈下降趋势;基于行为金融理论研究后得出,投资者之间的行为模仿和情绪传染是系统流动性风险形成的根本原因。运用Copula函数进行研究后发现,Gumbel Copula函数与Frank Copula函数可以更好地描述中国沪深股市流动性风险与市场风险的相关结构,意味着在风险分布的下尾部,两种风险的相关性并没有显著增强。基于流动性风险度量指标——LVaR的研究表明,相比较低流动性的股票组合而言,高流动性股票组合具有比较小的瞬时冲击系数、较短的清算期和较小的变现损失LVaR。以最小化变现损失为目标,在最佳清算期下,高流动性股票组合的平均变现损失占期初总市值的比例约5%左右,而低流动性股票组合则高达7%。运用KLR信号分析法构建了中国股市流动性风险预警系统,实证分析发现,在2008-2009年间中国股市将面临较大的流动性风险;投资者可以根据市场流动性调整股票组合、利用最优交易执行策略与风险对冲工具等手段管理流动性风险;与此同时,机构投资者要避免投资的同质化行为等。
最后,本文给出了具体的建议。就中国股市监管者而言,要加快设立风险对冲机制、建立流动性风险应急机制以及保持政策稳定性,以防止投资者情绪的大幅波动等。
The stock market is full of vitality because of liquidity which is also one of the measures to determine the quality of the market. The improvement in liquidity not only contributes to make the market active and absorb the investors, but also is beneficial to stabilize the market price, guarantee the financial market to operate well and distribute the resources effectively. Moreover, it is proved that liquidity is one of the important deterministic factors of asset price. Based on financial market microstructure, this paper systematically makes the research on liquidity and liquidity risk of China’s Shanghai and Shenzhen stock exchange.
This paper first constructs a market risk adjusted illiquidity measure which has a high correlation coefficient with the Amihud(2002) illiquidity measure and the correlation coefficient is 0.8444. Taking advantage of this measure to study the liquidity of China’s stock market, this paper finds that there is a strong dependence on liquidity between SHSE and SZSE and the correlation coefficient is up to 0.9438; through the comparison on the price impact index, the liquidity of China’s stock market is lower than that of other markets; the liquidity of portfolios is increasing on the total market capitalization of them. The market cumulative abnormal illiquidity will drop significantly when the policies which are beneficial to the market are announced and vice versa by means of event study methodology. The government policy can mainly affect the market liquidity through the impact on the supply of funds of the stock market in the medium and long-term and psychological expectations of investors and investor sentiment in the short-term.
There exists commonality in liquidity and liquidity risk is of systematic characteristics in China’s stock market after the study using the market model and the systematic liquidity risk coefficients decrease in the group liquidity and size; Moreover, based on behavioral financial theory, this paper explains that the cause for systematic liquidity risk formation is the mutual mimetic contagion among investors in sentiment and behavior. The depth and structure of correlation between the systematic liquidity risk and market risk of China’s stock exchange can be described by Gumbel Copula and Frank Copula for SHSE and SZSE, respectively after the Copula function studied, which means the correlation between the two risks doesn’t enhance in the lower tail of the risk distribution. Based on the study of liquidity risk measurement——LVaR, in comparison with the lower liquidity portfolios there is a smaller temporary impact coefficient, shorter liquidation period and lower liquidation costs LVaR. On the purpose of minimum the liquidation costs, the proportion of average liquidation costs to the initial market capitalization is about 5% for the higher liquidity group, but 7% for the lower liquidity group under the optimal liquidation period. Liquidity risk early warning system is constructed using KLR method and the results tell us there is a greater liquidity risk during 2008-2009 in China’s stock market; investors can adjust the portfolios according to the market liquidity, take advantage of the optimal transaction execution strategy and risk hedging instruments to manage the liquidity risk; moreover, institutional investors should avoid the homogenous investment.
Finally, this paper puts forward several proposals. For the China’s stock market regulators, first, the establishment of risk hedging mechanism should be expedited; second, they should establish the emergency response mechanisms of liquidity risk; and last they should keep the policies stable to prevent large fluctuations in investor sentiment.
引文
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