| 中国股市流动性的体制转变及政策效应分析 |
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| 引用本文： | 张志鹏,杨朝军,仲伟周.中国股市流动性的体制转变及政策效应分析[J].系统管理学报,2008,17(5). |
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| 作者姓名： | 张志鹏 杨朝军 仲伟周 |
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| 作者单位： | 1. 上海交通大学安泰经济与管理学院,上海,200052
2. 西安交通大学经济与金融学院,西安,710061 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 经济系统的运行状态和模式不是一层不变的,受政策或突发事件的影响,经济系统会发生一个状态突然向另一个状态发生跳跃的过程.通过建立SWARCH(Switching-Regime ARCH)模型,对中国股市流动性运行模式的实证研究发现:①中国股市的流动性状态存在体制转变,即流动性低波动状态会向流动性高波动状态突然转变,反之亦然.②造成中国股市流动性体制发生转变的一个重要因素是政策的改变或重大事件的发生.③随着我国股市流动性的逐渐变好,政策或重大事件对我国股市流动性的影响力度在逐步减弱.
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| 关 键 词： | 股市流动性 SWARCH模型 体制转变 政策效应 |
Regime-Switching of Market Liquidity and Policy Effects |
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| ZHANG Zhi-peng,YANG Chao-jun,ZHONG Wei-zhou.Regime-Switching of Market Liquidity and Policy Effects[J].Systems Engineering Theory·Methodology·Applications,2008,17(5). |
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| Authors: | ZHANG Zhi-peng YANG Chao-jun ZHONG Wei-zhou |
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| Institution: | 1.Antan Colloge Economics & Management;Shanghai Jiaotong University;Shanghai 200052;China;2.School of Economics and Finance;Xi'an Jiaotong University;Xi'an 710061;China |
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| Abstract: | Economic system would jump from a state to another state,if polices are publicized or great(events) happen suddenly.Authors study Chinese stock market liquidity by establishing SWARCH model,and get some results as follows: First,there exist regime-switching in stock market liquidity,i.e.high volatility of market liquidity would turn into low volatility suddenly,and vice versa;Secondly,polices or great events is major factor that lead to liquidity regime-switching;Thirdly,as Chinese market liquidity get bett... |
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| Keywords: | market liquidity SWARCH model regime switching policy effects |
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