| The 19 th CPC National Congress and the fifth national financial work conference pointed out that financial development and improvement should adhere to the principle of quality first.As far as the capital market is concerned,implementing the development concept of quality first and efficiency first is the fundamental requirement to help the capital market better serve the real economy and prevent financial risks.Liquidity reflects the trading capacity and circulation speed of risky assets.It is not only the vitality of the market,but also an important measure of the development quality of the financial market.Although the liquidity of China’s financial market has gradually improved in recent years,abnormal liquidity fluctuations occur from time to time,and frequent fluctuations are likely to indicate the occurrence of risk.It is undeniable that the position of liquidity risk in the financial crisis is obvious.Almost all previous crises are accompanied by the decline of liquidity,which leads to the rapid depreciation of risky assets in the whole society.Based on the current complex and changeable international situation and China in an important economic transition period,these realities make the uncertainty,liquidity and asset return volatility in the financial market once again become the focus of financial research.Therefore,it is necessary to deeply study the internal relationship between the three and understand the trading behavior of investors,in order to provide policy suggestions for the healthy development of the financial market.Firstly,by constructing a composite liquidity index,this paper analyzes the asset price fluctuation in the financial market under the uncertain environment,and puts forward a more intuitive explanation for this economic phenomenon combined with the trading behavior of investors when uncertain events occur;Secondly,the volatility model of return on assets is introduced to explain the volatility characteristics of return on assets in the shock process of uncertain events,analyze and compare the impact of "good news" and "bad news" on the financial market,and clarify the problem of information asymmetry in the financial market;On this basis,based on the portfolio optimization behavior of two types of investors under complete information and incomplete information,the expected utility model of the final wealth of the investor portfolio is constructed.When the expected utility of the final wealth of the two types of investors’ portfolio is equal,the market information value is measured by the difference of the initial wealth input of the asset portfolio,and the market information value and market fluctuation are analyzed The relationship between the investment period and the degree of risk aversion of investors;Finally,the above contents are empirically combined with the historical data of domestic financial market.The results show that in the uncertain environment,the composite liquidity index and asset price index are the Granger reasons for each other;There is no risk premium in the return on assets;The impact of "good news" and "bad news" on the return on assets is asymmetric,which is mainly reflected in the weakening of the impact of "good news" on the return on assets and the strengthening of the impact of "bad news" on the return on assets after the occurrence of uncertain events;Based on this,by quantifying the value of market information,it is further concluded that in the environment of information asymmetry,information has welfare effect,which is closely related to the investment efficiency of financial assets.The research not only enriches the theory and practice of financial asset investment under uncertain environment,but also provides empirical evidence for the stable and healthy development of domestic securities market.On the one hand,this paper discusses the relationship between asset liquidity composite index and asset price fluctuation under uncertain environment.On the other hand,it further defines the internal characteristics of asset return fluctuation in the process of uncertain event shock,and explains the huge fluctuation of asset price from the perspective of uncertain event shock.More importantly,based on the information asymmetry of uncertain event shock,We quantify the value of market information through the difference of initial wealth investment between the two types of investors,and believe that the welfare effect of information has a significant impact on the investment efficiency of financial assets.Based on the above analysis,we put forward relevant suggestions for the stable and healthy development of financial market. |
