流动性可以降低股市崩盘风险吗

Can Liquidity Reduce the Risk of Stock Market Crash

历次股市崩盘,都伴随着流动性枯竭,研究流动性对股市崩盘风险的影响,对国家金融市场稳定运行与健康发展具有重要意义。本文采用负偏度系数和收益上下波动率来度量股市崩盘风险,通过对上证综指日度、周度数据进行实证研究后发现,流动性可以降低股票市场的崩盘风险。为此,本文建议建立股市流动性监测预警机制、合理控制市场杠杆率以及加强对游资的监管。

The stock market crash has been accompanied by a depletion of liquidity.Studying the influence of liquidity on the risk of stock market crash is of great significance to the stable operation and healthy development of national financial market.This paper uses negative bias coefficient and volatility of earnings up and down to measure the risk of stock market crash,and through the empirical study of the daily and weekly data of Shanghai Composite Index,it is found that sufficient liquidity can reduce the risk of collapse of stock market.Therefore,this paper proposes to establish the early warning mechanism of stock market liquidity monitoring,reasonable control of market leverage rate and strengthen supervision of capital.