流动性枯竭与股价崩盘风险—基于中国证券市场的分析

Liquidity is the lifeblood of financial markets, and is critical to effective market functioning. When the liquidity of financial market dries up, asset prices will eventually collapse. Unlike the bad news hoarding hypothesis, this project aims to explore the association between the liquidity crisis and stock price crash risk in the Chinese stock market. Our research objective consists of three parts: (1) to uncover what the determinants of a liquidity crisis are and how liquidity crises influence the stock price crash risk from a theoretical point of view; (2) to develop a “liquidity crisis—stock price crash risk” model to explore the role that liquidity crises play in crash risk and investigate to what extent different market structure and regulations affect the role. This model uses illiquidity of individual stock and stock market as well as illiquidity of cash as proxies for two dimensions of liquidity crises; (3) to discuss the impact of stock price crash on investors, financial markets and the real economy. Our theoretical and empirical analyses will provide a more realistic view of why half of the listed stocks hit “limit down” shortly after open, and why stock market plunges, hence identifying new implications for capital market participants and policymakers. Furthermore, we will suggest how to protect investors’ profits and maintain market stability.

流动性之于金融市场，如同货币之于经济、血液之于身体。如果金融市场的流动性趋于枯竭，势必导致市场中所有资产价格崩盘。有别于公司管理层的坏消息隐藏假说，本项目以中国证券市场为背景，从金融市场流动性枯竭的视角探讨其对股价崩盘风险的影响。主要的研究内容有：(1)剖析金融市场流动性枯竭的成因，从理论上辨识流动性枯竭对股价崩盘风险的作用机理；(2)从个股和证券市场的不流动性、资金的不流动性两个维度测度流动性枯竭，构建“流动性枯竭—股价崩盘风险”模型，实证检验流动性枯竭对股价崩盘风险的作用机理及其程度大小，对比分析市场结构与环境、交易机制与制度安排等差异对作用程度的影响；(3)探讨股价崩盘风险对投资者、金融市场和实体经济的危害。本项目的研究内容和研究成果，能加深对我国证券市场千股跌停、股价集体崩盘的认识与理解，优化并完善金融监管的理论基础和决策行为；为保护投资者利益、维护市场稳定提供决策支持。

流动性之于金融市场，如同货币之于经济、血液之于身体。如果金融市场的流动性趋于枯竭，势必导致市场中所有资产价格崩盘。有别于公司管理层的坏消息隐藏假说，本项目以中国证券市场为背景，从金融市场流动性枯竭的视角探讨其对股价崩盘风险的影响。主要的研究内容有：(1)剖析金融市场流动性枯竭的成因，从理论上辨识流动性枯竭对股价崩盘风险的作用机理；(2)从个股和证券市场的不流动性、资金的不流动性两个维度测度流动性枯竭，构建“流动性枯竭—股价崩盘风险”模型，实证检验流动性枯竭对股价崩盘风险的作用机理及其程度大小，对比分析市场结构与环境、交易机制与制度安排等差异对作用程度的影响；(3)探讨股价崩盘风险对投资者、金融市场和实体经济的危害。本项目的研究内容和研究成果，能加深对我国证券市场千股跌停、股价集体崩盘的认识与理解，优化并完善金融监管的理论基础和决策