股票市场系统流动性风险溢价牛熊市差异研究

Research on the Difference of Systemic Liquidity Risk Premium between Bull and Bear Markets

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。

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.