摘要
本文构建TVAR模型并将知情交易概率作为门限变量,研究得出知情交易概率存在双门限值,据此将信息不对称划分为三个区制,发现在低区制流动性溢出效应不显著,在中间区制流动性溢出效应开始变得显著,在高区制流动性溢出效应明显增强。此外,在不同信息不对称区制下,随着区制转换,知情交易概率对现货市场流动性的影响由正向变为负向,对期货市场流动性的影响由负向变为正向。区制分析表明,知情交易概率门限值可以作为市场流动性匮乏、流动性关联异化和市场不稳定的预警指标,通过建立知情交易概率分级预警制度,监管者可以尽早监测到市场的异常变化,尽早防范和化解风险。
The study of the CSI 300 index futures and spots cross-market liquidity spillovers plays an important role in exerting the markets role and stabilizing the financial markets.By constructing TVAR model and taking VPIN as the threshold variable,the results indicate that the informed transaction has dual thresholds.Therefore,the information asymmetry can be divided into three regimes.The liquidity spillover effect is not significant in the low information asymmetry regime,and it will be remarkable in the medium regime,and significantly enhance in high regime.In addition,under the different information asymmetry regimes,the impacts of PIN on CSI 300 index liquidity will turn positive into negative with the transformation of regimes,while the impacts of VPIN on index futures liquidity will change to positive.The regime analysis indicates the thresholds of VPIN can be an early warning indicator of market illiquidity,liquidity correlation alienation and market instability.By establishing a hierarchical warning system of PIN,regulators can monitor market variation,prevent and resolve risks early as early as possible.
作者
李延军
贺佳宁
Li Yanjun;He Jianing(School of Economics and Management,Hebei University of Technology,Tianjin 300401,China)
出处
《金融发展研究》
北大核心
2020年第10期65-74,共10页
Journal Of Financial Development Research
基金
国家社会科学基金项目“我国证券流动性风险的影响因素与预警机制研究”(19BGL054)。
