摘要
股票流动性共性可用来衡量股市系统流动性风险。双向固定效应的面板数据分析显示:由宏观经济变量的增长比率构建而成的经济不确定性减弱股票流动性共性,经济风险增强流动性共性;不确定性对股票流动性共性的影响并非对称于风险;不确定性(风险)对股票流动性共性的预测比对当期股票流动性共性的影响更为显著。向量自回归的脉冲响应函数分析显示:股票市场流动性共性对经济不确定性的冲击做出负响应,对经济风险的冲击做出正响应;响应的程度在未来一两个月增强,随后减弱。
Stock liquidity commonality can be used to measure systemic liquidity risk in the stock market.Two-way fixed effect model of panel data analysis shows that economic uncertainty constructed with macroeconomic growth rate weakens stock liquidity commonality,but economic risk enhances stock liquidity commonality.The impact of economic uncertainty on the stock liquidity commonality is asymmetrical with the impact of economic risk on stock liquidity commonality.The predictive power of economic uncertainty(risk)to the stock liquidity commonality is more significant than contemporaneous power of that to stock liquidity commonality.Impulse response function analysis of vector auto-regression shows that stock market liquidity commonality has the negative response to the shock of economic uncertainty,but stock market liquidity commonality has the positive response to the shock of economic risk.The magnitude of responses become stronger in the coming two months,and then decrease.
作者
谢林吟
王楠
XIE Lin-yin;WANG Nan(College of Science and Technology,Ningbo University,Ningbo 315300,China;Nottingham University Business School China,University of Nottingham Ningbo China,Ningbo 315100,China)
出处
《宁波大学学报（人文科学版）》
2022年第6期89-98,共10页
Journal of Ningbo University：Liberal Arts Edition
基金
浙江省软科学研究计划项目“长三角科技协同创新机制与路径调控”(2021C25G2070901)
宁波市哲学社会科学规划课题成果“宁波区域金融市场流动性风险影响因素及防范研究”(G21-3-ZX03)
浙江省教育厅一般科研项目“个股流动性对市场不确定性的敏感度研究”(Y202248475)。
关键词
股票流动性共性
风险
不确定性
双向固定效应
脉冲响应函数
stock liquidity commonality
risk
uncertainty
two-way fixed effect
impulse response function
