机构投资者入市资金规模与股市流动性均衡关系研究被引量：9

Equilibrium Analysis on the Capital Invested by Institutions and Liquidity of China's Stock Market

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摘要流动性是度量股票市场安全的重要指标.本文应用协整方法对中国股市的流动性与宏观经济变量、机构投资者入市资金量之间的均衡关系进行了实证研究,结果表明,流动性与宏观经济及机构投资者发展之间存在着正向的长期均衡关系,而货币供应量的增加反而会降低股市流动性;机构入市资金量增加了股票市场的流动性,机构投资者已经发挥了稳定市场的功能. Liquidity is an important index to measure the security of stock market. This paper applied the co-integration method to analyze the relationship between the capital invested by institutions and the liquidity of stock market considering macro-variables effects. The results show that there is a positive long-term equilibrium relationship between them, while the increase of money supply will reduce the liquidity of stock market. In addition, institutional investors can strengthen the liquidity and stability of China＇s stock market.

作者徐颖文陈收李双飞

机构地区湖南大学工商管理学院

出处《湖南大学学报（自然科学版）》 EI CAS CSCD 北大核心 2007年第8期89-92,共4页 Journal of Hunan University:Natural Sciences

基金国家社会科学基金资助项目(05BJY010)

关键词流动性宏观经济变量机构投资者协整 liquiditv macro-economic variables institutional investors co-integration

分类号 F830.9 [经济管理—金融学]

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参考文献7

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