基于变参数模型的流动性与上证综指收益率关系研究

The Study of the Relationship Between Liquidity and The SSE Composite Index Rate of Return Based on Time Varying Parameter Model

研究了流动性与上证综合指数收益率之间的时间序列动态关系,并利用状态空间模型对流动性与上证综指收益率的动态关系进行了变参数分析。结论是:上证综指收益率对宏观流动性变动的时变弹性系数在近几年流动性过剩的背景下,呈现上升趋势。其中,能源、钢铁和金融行业时变弹性系数波动比较剧烈,而医药行业的时变弹性系数波动较小。证券市场(微观)流动性变动的时变弹性系数随着我国股票市场发展的逐步健全、完善而趋于平稳。

This paper explores the dynamic relations between the liquidity and the rate of return for time series characteristic by using the data of Chinese stock market,and constructs a time varying parameter model based on the state-space model.The major findings are as follows： with the background of excess liquidity in recent years,macro-liquidity coefficient of elasticity show an upward trend.Besides,the coefficients elasticity in energy,steel,and financial sectors experienced more dramatic fluctuations,while the pharmaceutical industry is less sensitive to time-varying elasticity coefficient.As the development of Chinese stock market,security market（micro-liquidity） coefficient of elasticity gradually stabilizesg.