信息冲击引起市场流动性价值变化了吗？——来自中国股票市场的证据

Has Information Shock Led to the Change of Market Liquidity Value? ——Evidence from Chinese Stock Market

中文关键词:  信息冲击  流动性价值  交易行为  市场波动性  投资决策  GARCH-t模型

英文关键词:information shock  market liquidity value  trading behavior  market volatility  investment decision  GARCH-t model

中文摘要:

      从微观视角解释金融市场行为是认识金融市场规律的重要途径。文章通过构建信息冲击影响流动性价值的理论分析框架,揭示信息冲击如何通过投资决策和交易行为影响市场价格及流动性价值,以及市场流动性价值、市场流动性及波动性的内在联系,并利用包含外生变量的GARCH-t模型进行了实证检验。研究结果表明,私人信息、公开宏观信息、机构投资者的交易行为均增强了市场流动性价值,但这种信息冲击的效应具有不对称性；市场趋势及投资者预期收益率均减弱了市场的流动性价值,且市场趋势与市场收益率呈现明显的正相关关系。

英文摘要:

      Interpreting the financial market behavior from the micro perspective is an important approach to understand the law of financial market. This paper studied how information affected market price and liquidity value through investment decision and trading behavior through constructing a theoretical framework to analyze the effect of information shock on the liquidity value. Moreover, this paper studied the internal connection between market liquidity value, liquidity and volatility, and conducted an empirical test using a GARCH-t model which includes exogenous variables. The results show that private information, open macro information, trading behavior of institutional investors enhance market liquidity value, however, the impact of information shock is asymmetrical. In addition, market trends and investor's expected rate of return diminish liquidity value of the market, and there is a significant positive correlation between market trends and market yields. 