| With the deepening of research on liquidity by scholars from all walks of life,liquidity is divided into funding liquidity and market liquidity.Funding liquidity refers to the ability of financial institutions such as banks to quickly obtain the required funds in an acceptable time in the event of a shortage of funds.It reflects the investor’s ability to finance.Market liquidity refers to the ability of mutual conversion between money and financial products in financial markets.It portrays the trading power of the market.Funding liquidity and market liquidity and their correlation are import,ant indicators for measuring the healthy development of financial markets.In the US subprime mortgage crisis that broke out in 2007,researchers began to pay more attention to the relationship between funding liquidity and market liquidity.Many studies have found that the correlation between the two liquidity is more significant during the crisis,and the decline in funding liquidity will further accelerate the decline of market liquidity and the phenomenon of "liquidity spiral".The interbank market is an important place for monetary policy transmission and market interest rate adjustment,and the stock market is a barometer of the economy.Based on this,it is necessary to accurately quantify and analyze the correlation between China’s interbank funding liquidity and stock market liquidity.Therefore,this paper uses empirical methods to analyze the dynamic relationship between the two liquidity,to propose policy recommendations for controlling and preventing the risks of financial markets during the crisis.The empirical analysis of this paper is mainly divided into three steps.Firstly,the corresponding measurement indicators are selected to quantify China’s funding liquidity and stock market liquidity.The measurement index of funding liquidity is selected by Shanghai Interbank Offered Rate.The stock market liquidity measurement index is divided into bid-ask spread(SP)and three-dimensional index.(Lt).Secondly,the data from the period from October 9,2006 to December 28,2018 was selected as the sample interval.After a series of data processing and testing,the DCC-GARCH model was constructed to estimate the inter-bank funding liquidity and stocks.The dynamic correlation between market liquidity and the statistical results of the model were tested.Then,according to the statistical results of the DCC-GARCH model,the trend graph of the dynamic correlation coefficient is further obtained,and the correlation between the two fluidity is analyzed.Finally,in order to further verify the conclusions,this paper selects three smaller sample intervals from the original sample interval,corresponding to the three major economic fluctuation events,and analyzes the DCC-GARCH model again for the three sample intervals.Combined with the above empirical results,this paper finds that there is a correlation between the inter-bank funding liquidity and the stock market liquidity,and the linkage relationship between the two has differentities in different economic periods.During the economic stabilization period,the correlation between inter-bank funding liquidity and stock market liquidity is weak and relatively stable.When the crisis broke out,the correlation between the two liquidity was significantly enhanced,and the degree of volatility became larger.The phenomenon of "liquidity spiral".Based on the comprehensive empirical results and research conclusions,this paper proposes that the regulatory layer should actively adopt various means and tools to alleviate its impact on the market when the funding liquidity is short,and actively prevent the panic caused by the sudden drop in liquidity and prevent the flow during the crisis.The situation of further expansion of sexual risks will continue to strengthen and improve liquidity supervision to enhance market liquidity and promote the sustainable development of inter-bank and stock markets. |
