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2015年6月12日,上证A股指数达到5166.35后开始下跌,股灾爆发,在此背景下,本文选取Amihud非流动性指标,对2010.5-2015.5的数据进行研究,发现只有货币变量和宏观变量对股市非流动性有显著影响,之后模拟出2015.6-2015.12股市非流动性,对其成因进行了分析,最后提出相关建议:1.高度重视股市自身非流动性;2.密切关注货币市场动态;3.宏观因素不可忽视。
On June 12, 2015, after the Shanghai A-share index reached 5166.35, it started to fall and the stock market disaster broke out. Against this background, this article selects Amihud’s non-liquidity index and conducts a research on the data from May 2010 to May 2015. It finds that only monetary variables and macro-variables The stock market non-liquidity has a significant impact, then simulate 2015.6-2015.12 stock market non-liquidity, the causes were analyzed, and finally made the relevant recommendations: 1. Attaches great importance to the stock market’s own non-liquidity; 2. Closely monitor the currency market dynamics; 3 Macroeconomic factors can not be ignored.