货币流动性对股票市场流动性的影响研究
5861 
465
上海财经大学学报 2012 年 第 14 卷第 05 期, 页码：89 - 98
摘要
参考文献
摘要
本文首先分析了货币流动性影响股票市场流动性的机理,然后从时点的冲击效应和时段的动态相关性两方面实证研究了货币流动性对股票市场流动性的影响。研究发现,货币流动性正向冲击会提高股票市场流动性,但是影响力度有限。货币流动性与股票市场非流动性呈现较弱的动态负相关性,不过在2009年4月由于流动性螺旋的作用,两者相关性显著提高。在宏观经济波动较大的时期,货币流动性对股票市场流动性的影响更强。
[1]Baks,Kramer,Global Liquidity and Asset Prices:Measurement,Implications,and Spillovers[D].IMFWorking Paper,Research Department,1999,WP/99/168.
[2]中国人民银行,2006年第三季度货币政策执行报告[EB/OL].http://www.pbc.gov.cn/publish/zhengce-huobisi/598/1162/11623/11623.html.
[3]Chordia,T.,Sarkar,A.,Subrahmanyam,A.An Empirical Analysis of Stock and Bond Market Liquidity[J].The Review of Financia1Studies,2005,Vol.18,85-129.
[4]Fujimoto,A.,Macroeconomic Sources of Systematic Liquidity[D].Unpublished Working Paper,Univer-sity of Alberta School of Business,2004.
[5]Brunnermeier,M.,Pedersen,L.Market liquidity and funding liquidity[J].Review of Financial Studies,2009,Vol.22,2201-2238.
[6]Goyenko,R.Y.,Ukhov,A.D.Stock and Bond Market Liquidity:A Long-Run Empirical Analysis[J].Jour-nal Of financia1and quantitative analysis,2009,Vol.44,189-212.
[7]Amador,O.F.,Gachter,M.,Larch.M.,Peter,G.,Monetary policy and Its Impact on Stock MarketLiquidity:Evidence from the Euro Zone[D].Working Paper in Economics and Statistics,2011.
[8]储小俊,刘思峰,货币政策、市场状态对中国股市微观流动性影响的实证分析[J].数理统计与管理,2008(3):549-556.
[9]丁焕强,陶永诚,货币政策与市场流动性[J].现代管理科学,2011(1):65-67.
[10]方舟,倪玉娟,庄金良,货币政策冲击对股票市场流动性的影响——基于Markov区制转换VAR模型的实证研究[J].金融研究,2011(7):43-56.
[11]Tobin.Liquidity Preference as Behavior toward Risk[J].The Review of Economic Studies,1958,Vol.25,65-86.
[12]Harris,L.Liquidity,Trading Rules and Electronic Trading Systems[M].New York University SalomonCenter,Monograph Series in Finance and Economics,1990.
[13]Amihud.Y.Illiquidity and stock returns:cross-section and time-series effects[J].Journal of Financial Mar-kets,2002,Vol.5,31-56.
[14]许睿,冯芸,吴冲锋,影响中国A股市场流动性的政策和因素[J].上海交通大学学报,2004(3):362-367.
[15]Engle R,Kroner F K.Multivariate simultaneous generalized ARCH[J].Econometric Theory,1995,Vol.11,122-150.
[16]BaBa Y,Engle R F,Kraft D F,Kroner K F.Multivariate simultaneous generalized ARCH,Departmentof Economics,University of California,San Diego,1990.
[17]黄世平,肖洪钧.上市商业银行的市场结构与资本结构动态调整实证研究[J].湖南师范大学社会科学学报,2009,(1).
[18]江洲,郑竹青.上市公司资本结构与股票流动性影响因素研究[J].湖南师范大学社会科学学报,2008,(6).
[2]中国人民银行,2006年第三季度货币政策执行报告[EB/OL].http://www.pbc.gov.cn/publish/zhengce-huobisi/598/1162/11623/11623.html.
[3]Chordia,T.,Sarkar,A.,Subrahmanyam,A.An Empirical Analysis of Stock and Bond Market Liquidity[J].The Review of Financia1Studies,2005,Vol.18,85-129.
[4]Fujimoto,A.,Macroeconomic Sources of Systematic Liquidity[D].Unpublished Working Paper,Univer-sity of Alberta School of Business,2004.
[5]Brunnermeier,M.,Pedersen,L.Market liquidity and funding liquidity[J].Review of Financial Studies,2009,Vol.22,2201-2238.
[6]Goyenko,R.Y.,Ukhov,A.D.Stock and Bond Market Liquidity:A Long-Run Empirical Analysis[J].Jour-nal Of financia1and quantitative analysis,2009,Vol.44,189-212.
[7]Amador,O.F.,Gachter,M.,Larch.M.,Peter,G.,Monetary policy and Its Impact on Stock MarketLiquidity:Evidence from the Euro Zone[D].Working Paper in Economics and Statistics,2011.
[8]储小俊,刘思峰,货币政策、市场状态对中国股市微观流动性影响的实证分析[J].数理统计与管理,2008(3):549-556.
[9]丁焕强,陶永诚,货币政策与市场流动性[J].现代管理科学,2011(1):65-67.
[10]方舟,倪玉娟,庄金良,货币政策冲击对股票市场流动性的影响——基于Markov区制转换VAR模型的实证研究[J].金融研究,2011(7):43-56.
[11]Tobin.Liquidity Preference as Behavior toward Risk[J].The Review of Economic Studies,1958,Vol.25,65-86.
[12]Harris,L.Liquidity,Trading Rules and Electronic Trading Systems[M].New York University SalomonCenter,Monograph Series in Finance and Economics,1990.
[13]Amihud.Y.Illiquidity and stock returns:cross-section and time-series effects[J].Journal of Financial Mar-kets,2002,Vol.5,31-56.
[14]许睿,冯芸,吴冲锋,影响中国A股市场流动性的政策和因素[J].上海交通大学学报,2004(3):362-367.
[15]Engle R,Kroner F K.Multivariate simultaneous generalized ARCH[J].Econometric Theory,1995,Vol.11,122-150.
[16]BaBa Y,Engle R F,Kraft D F,Kroner K F.Multivariate simultaneous generalized ARCH,Departmentof Economics,University of California,San Diego,1990.
[17]黄世平,肖洪钧.上市商业银行的市场结构与资本结构动态调整实证研究[J].湖南师范大学社会科学学报,2009,(1).
[18]江洲,郑竹青.上市公司资本结构与股票流动性影响因素研究[J].湖南师范大学社会科学学报,2008,(6).
引用本文
彭小林, 龚仰树. 货币流动性对股票市场流动性的影响研究[J]. 上海财经大学学报, 2012, 14(5): 89–98.
导出参考文献，格式为：
