基于噪音交易的流動(dòng)性風(fēng)險(xiǎn)研究.pdf

1、天津大學(xué)碩士學(xué)位論文基于噪音交易的流動(dòng)性風(fēng)險(xiǎn)研究姓名：高晶晶申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：管理科學(xué)與工程指導(dǎo)教師：張維20070601ABSTRACTAsarguedbyAmihudandMendelson(1988)，LiquidityisallofthemarketNotonlyisthekerneloftheresearchonfinancialmarketmicrostructure，thesubjectaboutliquiditya

2、lsoplaysacrucialroleinthedomainoftheresearchonassetpricingFurthermore，theissuingoftheliquiditypremiumtheorycoveredtheshortageofthetraditionalCapitalAssetPricingModel，andtnakesscholarspaymoreattentionontheresearchonliquid

3、ityriskandliquiditypremiumphenomenonAsstockmarketinChinadevelops，liquidity。riskisemerginggraduallyandmakesitimperativetoengageintheresearchonmarketliquidityThisessaysimplytriestodosomeresearchonliquidityriskbymeansofclas

4、sicaltheoreticalmodelinbehavioralfinanceThisessaycombiningtheresearchonliquidityriskwithsomedementsinbehavioralfinancesuchasheterogeneousbeliefsandcognitivebiasofnoisetraders，deducesapriceimpactofnoisetradingmodelbasedon

5、heterogeneousbeliefs，whichisusedtoexplaintheeffectofinvestors’behaviorontheformationofliquidityriskandtheliquiditypremium：11lemodelprovidinginchapterthreeshowsthatinfluencedbycognitivebias(sentiment)ofnoisetraders，liquid

6、ityriskisindirectproportiontotheriskaversiondegreeoftraders，thevarianceofnoisetraders’misperceptiousoftheexpectedreturnoftheriskyassetandtheproportionofnoisetradersinmarketparticipants，andininverseproportiontothetotalnum

7、berofmarketparticipantsThusitc缸cometotheimportantconclusioninthisessaythatnoisetradingistheoriginofliquidityriskandliquiditypremiumDuetotheparticularityofthemodelbuiltinthisessayitisnotpracticaltodoempiricalworksusingact

8、ualdataTherefore，computersimulationisadoptedinsteadreferringtoArtificialStockMarketAsaresult，theconclusionmentionedaboveisconfirmedbyexaminingtheeffectofthetotalnumberofmarketparticipantsandtheproportionofnoisetradersonl

9、iquidityriskandtherelationshipbetweentheliquidityrisk，whichisrepresentedbythepriceimpactcoefficientofnoisetrading，andtheexpectedreturnoftheriskyassetTheconclusionindicatesthatoursecuritiessupervisiondepartmentshouldactiv

10、elydevelopandenlargethesizeofinstitutioninvestorsAtthesametime，itshouldmakegreateffortstoreinforcethesystemiceducationofindividualinvestorsaboutinvestmentandfinancingSOastoenhancetheinvestmentlevelandtheriskmanagementcon