基于主成分分析和似無(wú)關(guān)回歸方法的股票流動(dòng)性溢價(jià)研究.pdf

1、學(xué)校代號(hào)!Q532分類號(hào)⑨瀚確火事HUNANUNⅣERSITY碩士學(xué)位論文學(xué)號(hào)SQ2252Q3密級(jí)基于主成分分析和似無(wú)關(guān)回歸方法的股票流動(dòng)性溢價(jià)研究學(xué)位申請(qǐng)人姓名胡克嫂培養(yǎng)單位王亙笪壟堂墮導(dǎo)師姓名及職稱萱焦豎塾堡學(xué)科專業(yè)笪堡型芏皇王垂研究方向壘墼三猩皇壘壁笪壟論文提交日期!!!i生!Q旦!旦蘭：￡圭堡坌坌絲型絲垂莖塑塑壘鎏墼璧童堡墊篁堂竺竺圣AbstractRedistributinginvestmentisthefundamental

2、functionofstockmarkets，asaresult，liquidityisvitalityofstockmarketsIflackofliquiditycausestransactiondifficultymarketwiltloseitsfundamentLiquidityofstockisalsoallimportantpartofcapitalmarketmicrostructuretheoriesWhetherth

3、edegreeofassets’liquidityeffectsassets’priceisanimportantissueinthefieldofcapitalmarkettheoryandtheoreticalfoundationofinvestmentdecision—makingAlthoughliquidity’Simportancetostockmarketisnotable，itisdifficulttodefineand

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5、tockliquidityandstudyhowstockliquidityeffectsexpectedreturnInthispapersortsofstockliquiditymeasuresarecomparedfirstlyThen，basedonprincipalcomponentanalysis，wegetanewliquiditymeasurebyusinghigh—frequencydatatomeasurethest

6、ockliquidityinChinaSeeminglyunrelatedregressionmethodistakentoexamineiftheliquiditypremiumsexist，andthefinalempiricalstudyshowsthatthereareliquiditypremiumsinbothtwomarketAtthesametime，wefindthatscaleeffectandvalueeffect

7、existinShanghaistockmarketwhilethereisonlyvalueeffectinShenzhenstockmarketLastly，policyrecommendationsarealsoprovidedbasedonempiricalstudyKeyword：stockmarket；liquiditypremium；expectedreturn；principalcomponentanalysisseem