市场流动性的状态转换及其突变点检测研究

The State-switching Mechanism and Change-points Detection Research of Market Liquidity

通过构建AR-MS-GARCH模型,分析了市场流动性的状态转换机制,并设计了一种新的突变点检测指标。实证结果表明,市场流动性存在明显的"低—高"波动状态交替转换特征,两种状态都有较强的波动持续性,但不同状态转换和持续期存在一定的非对称性;计算突变点检测指标发现,市场流动性在样本期内存在五个突变点,而它们所对应的时刻往往是市场流动性"强—弱"转换的临界点。这些结论有助于监管部门及时采取政策措施,减少市场流动性突然逆转的可能性,以维护金融系统稳定。

The paper analyzes the state-switching mechanism of market liquidity by using AR-MSGARCH model,and designs a new change-points detection index.The study empirically finds that there exists a significant alternate-switching characteristic between market liquidity ＂low-high＂ volatility states,and both states have strong volatility persistence,but we find the existence of asymmetry in the stateswitching and duration.By computing change-points detection index,we also find market liquidity has five change-points in the sample time,and their corresponding time is often the critical points of switching between liquidity ＂strong-weak＂ states.The conclusions will help supervisory departments to decrease the possibility of triggering a sudden reversal and better maintain financial system stability by taking a timely policy measures.