摘要
本文研究了市场流动性风险与投资者结构模式之间的关系。随着机构投资者的不断发展壮大,我国投资者结构模式发生了重要转变,然而新的投资者结构模式下,市场流动性的波动结构是否有所不同?本文以流动性水平变化率为研究对象,构建了包含虚拟变量的TGARCH模型对其波动方程进行拟合,研究发现:机构投资者壮大后市场流动性风险显著降低;机构占主导后市场流动性风险受新信息的影响权重较之前增大,而旧有信息对流动性风险的影响相比以前减小。
This paper mainly studied the relationship between market liquidity risk and investors structure. With the development of institutional investor, the structure of Chinese investor has a great change. However, what is the impact to liquidity risk？ We based on the return of liquidity and construct a TGARCH model to establish the effect. And we found that： In the institutional investor leading market have a notable low market liquidity risk; and newly information have much more impact than in the ＂retail market＂ to the market liquidity risk, And the older information effect decreased.
出处
《上海管理科学》
2009年第5期36-39,共4页
Shanghai Management Science
基金
国家自然科学基金(70773075)的资助
