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近年来,随着对流动性研究的深入,人们发现证券流动性之间存在协动现象(co-movement)。所谓流动性的协动是指单个证券与证券组合之间、证券组合与整个证券市场之间以及证券组合与行业之间的流动性变化存在趋同现象。证券市场中若存在流动性的协动现象,则在市场出现流动性危机时,投资者无法通过分散投资来完全化解该类风险,即市场上存在着系统的流动性风险。
In recent years, with the deepening of liquidity research, people find that there is co-movement between securities liquidity. The so-called liquidity of the synergy refers to a single securities and securities portfolio, between the securities portfolio and the securities market as a whole and between the portfolio and the liquidity of the industry there is convergence. If liquidity co-movement exists in the securities market, investors will not be able to fully resolve such risks through liquidation in the event of a liquidity crisis in the market. That is, there is systemic liquidity risk in the market.