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预期作为一种经济行为和心理现象,在投资过程中自始至终存在着并发挥它的作用,尤其在金融危机时期对市场流动性产生深远的影响。本文以次级债危机中美国证券市场为研究对象,运用时变Tsallis熵(Entropy)方法度量股票市场期望,利用Markov状态转移方法区分流动性状态转移的内生区制,实证考察正常时期与危机时期市场期望对流动性的影响。研究结果表明,在正常和危机时期市场期望对流动性的影响并不相同,这种差异可能是由于存在危机时期能使预期加速同质的风险控制机制造成的,本文提出了相应政策建议。
As an economic behavior and psychological phenomenon, it is expected to exist and play its role in the investment process from start to finish, especially in the financial crisis have a far-reaching impact on market liquidity. In this paper, we study the U.S. securities market in the sub-prime crisis, use the time-varying Entropy method to measure the stock market expectation, use Markov’s state-transfer method to distinguish the endogenous regime of liquidity transfer, and examine the normal period and the crisis The Effect of Market Expectations on Liquidity in Times. The results show that the market expectancy does not have the same effect on liquidity during normal and crisis periods. Such discrepancy may be caused by the risk control mechanism that exacerbates the expectation during the crisis period. The paper puts forward the corresponding policy recommendations.