本项目将从市场微观结构的视角，以流动性风险为核心研究内容，以2015年股灾前后的中国股票市场为研究对象，深入研究杠杆交易和价格涨跌幅限制对流动性风险的影响以及在股市危机而非市场正常运行情况下对股票市场的影响与作用。研究内容包括：（1）提出测度流动性风险的新方法，构建流动性风险影响因素的基准模型；（2）通过案例分析厘清场外配资的资金路径和风险传导机制，采用仿真模拟揭示不同杠杆机制对流动性风险的影响，实证检验杠杆交易的“流动性螺旋效应”；（3）构建涨跌幅限制影响其它股票流动性风险的理性预期均衡模型，实证检验涨跌幅限制的“流动性风险溢出效应”，解读“中国版熔断机制”；（4）对比分析2015年股灾与2007-2008年熊市的差异。可以预期，本项目的研究成果不仅可以丰富和发展关于流动性风险的研究和市场微观结构理论，还可为监管层合理有效地监管杠杆交易，改进和完善价格涨跌幅机制提供直接和重要的参考依据。

From the perspective of market microstructure, this project will study the impact of both the leveraged trading and price limit on the liquidity risk of stock markets in the situation of ‘stock market crisis’ rather than ‘normal operation of the market’ using the data from China’s stock markets before and after the 2015 crash. The research content includes: (1) put forward a new method to measure the liquidity risk, build a benchmark model of liquidity risk factors; (2) clarify the path and risk transmission of leveraged trading outside the market through case analysis, use simulation to reveal the influence of different leveraged mechanism on liquidity risk, empirically test ‘liquidity spiral effect’ of leveraged trading; (3) build the rational expectation equilibrium model of price limit influencing the liquidity risk of other stocks, empirically test the ‘liquidity risk spillover effect’ of price limit, and explain ‘the Chinese version of the circuit breakers’ through case analysis; and (4) compare the analysis of stock market crash of 2015 and that of bear market during 2007-2008. The aim of this project is not only to enrich and develop the research regarding liquidity risk as well as the market microstructure theory, but also to provide important and direct references and advises for regulators how to regulate the leveraged trading effectively, how to improve the price limit mechanism.