摘要
在现有研究分析不同市场之间风险传染和投资转移的基础上,本文讨论了中国股票市场内,高市值与低市值股票之间的风险传染和投资转移现象。实证结论发现,市场定单流上升、流动性变好时,基于市场共同因素的影响,高市值股票和低市值股票收益率同时大涨的概率显著增加;控制了市场共同因素的影响后,市场定单流增加时,高市值股票大跌而低市值股票大涨的概率显著增加,而当市场流动性变差时,低市值股票大跌而高市值股票大涨的概率显著增加。共同因素是中国股票市场上高市值与低市值股票之间风险传染的主要原因,控制共同因素的影响后两类股票之间也存在投资转移行为。
This paper discusses risk contagion and investment transfer between stocks with high and low market values in the Chinese stock markets based on previous studies on risk contagion and investment transfer across different stock markets. Our empirical results show that when market order flow and liquidity rise, the probability of the simultancous increase in the returns of stocks with high and low market values is significantly increased due to the effect of common factors. However, after the effect of common factors is controlled, when market order flow rises, the probability significantly increases that stocks with high market value drop sharply while low-market-value stocks will increase dramatically, and when market liquidity falls, the opposite situation will occur. Market common factors should be responsible for risk contagion between stocks with high and low market values, and investment transfers occur between the two types of stocks after the effect of common factors is controlled.
出处
《系统工程》
CSCD
北大核心
2009年第7期14-21,共8页
Systems Engineering
基金
四川省软科学研究计划项目(四川省科技厅[2007])
关键词
风险传染
投资转移
市值
定单流
Risk Contagion
Investment Transfer
Market Value
Order Flow
