当前中国证券市场风险特征实证分析

发布时间：2018-03-15 03:36

本文选题：β值　切入点：个体风险　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国证券市场经过30多年的发展后,而今到了发展的关键时期。与证券市场最初成立时候相比,增加了中小板市场和创业板市场,在走向多层次资本市场的道路上踏下坚实的一步。不同板块市场的股票风险特征如何?它们的具体表现如何? 为解决上述疑问,对我国证券市场进行研究,将其分为上证A股、深证A股、中小板及创业板四大市场板块,从而对它们的风险特征及表现进行分析。首先,阐述历史上的收益风险模型,在通过比较之后,选择利用CAPM市场模型进行之后的实证；其次,在实证部分,依靠随机抽样的方法选出127只样本股票,对其分别进行回归分析,从而得到各市场板块的个股的β值、个股风险、系统风险占总体风险的比例,另外还针对不同的行业在不同市场板块的风险表现进行了研究判断；最后,在实证结果的支持下,对中国证券市场目前的风险特征进行解释,并对之后中国证券市场如何进行风险控制提出相应的政策意见。通过研究的结果可以发现,我国当前的个股系统性风险占总体风险比例分布合理；中国证券市场的系统性风险占总体风险比例在过去的一年中正处于历史的均值水平,未能有显著下降；部分行业在各市场板块的风险表现相同,部分行业则存在较大差异,而个股在行业间的风险差异可以部分满足投资者的风险规避要求。对研究结果进行阐述解释之后,提出中国证券市场未来发展的风险控制应从监管、教育及风险对冲手段的多样化着手的建议,为政策制定者和监管者提供合理的借鉴。
[Abstract]:After more than 30 years of development, China's securities market has now reached a critical period of development. Compared with the initial establishment of the securities market, it has increased the small and medium-sized market and the growth enterprise market. Take a solid step on the road to a multi-level capital market. What are the characteristics of stock risk in different plate markets? How do they behave? In order to solve the above questions, the securities market of our country is studied and divided into four major market sectors: Shanghai Stock Exchange A shares, Shenzhen Stock Exchange A shares, small and Medium-sized Board and growth Enterprise Market, so as to analyze their risk characteristics and performance. This paper expounds the historical income risk model, after comparison, chooses to use the CAPM market model to carry on the empirical research. Secondly, in the empirical part, it selects 127 sample stocks by the method of random sampling, and carries on the regression analysis to them respectively. Thus, the 尾 value of each market sector, the proportion of individual stock risk and system risk to the overall risk, and the risk performance of different industries in different market sectors are also studied and judged. Finally, supported by the empirical results, This paper explains the current risk characteristics of China's securities market, and puts forward corresponding policy suggestions on how to carry out risk control in China's securities market. Through the research results, we can find that the proportion of individual stock systemic risk to total risk is reasonable in China, and the proportion of systemic risk to total risk in China's securities market is at the historical average level in the past year. The risk performance of some industries in each market sector is the same, while that of some industries is quite different, while the risk difference of individual stocks in different industries can partly meet the risk aversion requirements of investors. After expounding and explaining the research results, the paper puts forward that the risk control of the future development of China's securities market should start from the diversification of supervision, education and risk hedging means, and provide reasonable reference for policy makers and regulators.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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