印花税、股指期货对投资者交易与个股波动的影响

发布时间：2018-05-07 01:33

本文选题：印花税 + 股指期货　；参考：《复旦大学》2013年硕士论文

【摘要】：波动性的研究在金融领域具有重要理论意义,然而,关于特质波动率影响因素的讨论却一直无定论。基本面因素无力解释股票波动开启了从交易角度出发的研究。我国股票市场异常波动相对严重,散户投资者众多,市场投机氛围浓厚,政策创新和制度改革的效果受到影响,因此对我国投资者交易和个股波动的研究有重要的现实意义。本文选取近年来我国股票市场上“5.30”印花税事件和“4.16”股指期货上市作为研究对象,分析外生事件对投资者微观交易行为与波动性影响,以观察政策是否达到预期效果,并描述样本期内个人投资者和机构投资者的交易行为对股市波动的作用。研究发现： (1)2007年“5.30”印花税政策对机构投资者的交易达到预期效果,短期内,散户交易程度上升,机构交易程度下降；但波动率显著增加,政策未能平抑股价波动反而出现相反的效果。这是因为当时我国散户投资者表现为噪声交易,散户交易程度的增大提高了市场波动,降低了政策效果。 (2)2010年股指期货上市之后,短期内所有类型和方向的投资交易程度都显著下降,对卖出交易的影响大于买入交易,可见股指期货的引入对我国股票市场单边交易的历史状况有一定改善；但短期个股波动率上升。分析发现,2010年样本期内,散户交易与机构交易行为表现为趋同,理性交易成分(反向交易)相对上升,表现为与波动性负相关,因此交易程度下降,反而导致波动的增大。政策消息一直对我国股票市场有明显冲击,研究发现政策对投资者交易行为是符合有效预期的,但对波动性的效果却常常南辕北辙。在了解交易与波动的作用关系的基础上,在我国投资者交易理性稳定的展望下,监管机构能加强对政策实施效果的控制,积极引导市场动向,市场各方更容易达成一致预期,提高我国股票市场的信息程度,进而提高市场的有效性,使资本市场更好地发挥资源配置的作用,助力经济发展和“中国梦”的实现。
[Abstract]:The study of volatility is of great theoretical significance in the field of finance. However, there is no conclusion about the influence factors of idiosyncratic volatility. Fundamental factors can not explain the stock volatility from the perspective of trading. The abnormal volatility of Chinese stock market is relatively serious, the retail investors are numerous, the market speculative atmosphere is strong, the effect of policy innovation and system reform is affected, so it is of great practical significance to study the investor trading and individual stock fluctuation in our country. This paper selects the "5.30" stamp duty event and the "4.16" stock index futures listing in the stock market of our country in recent years as the research object, analyzes the influence of exogenous events on investors' microcosmic trading behavior and volatility, in order to observe whether the policy achieves the expected effect. It also describes the effect of individual and institutional investors' trading behavior on stock market volatility in the sample period. The study found that: In 2007, the stamp duty policy of "5.30" achieved the expected effect on the trading of institutional investors. In the short term, the degree of retail trading increased, but the degree of institutional trading decreased, but the volatility increased significantly, and the policy did not calm the volatility of stock prices but had the opposite effect. This is because at that time our country retail investor performance is the noise transaction, the retail trading degree increases the market fluctuation, reduces the policy effect. (2) after the stock index futures were listed in 2010, the degree of investment transactions of all types and directions declined significantly in the short term, and the impact on selling trades was greater than that on buying trades. It can be seen that the introduction of stock index futures has improved the historical situation of unilateral trading in China's stock market, but the volatility of short-term individual stocks has increased. It is found that in the sample period of 2010, the behavior of retail and institutional transactions is convergent, and the component of rational trading (reverse trading) is relatively rising, which is negatively correlated with volatility. Therefore, the degree of transaction decreases, which leads to the increase of volatility. The policy news has always had an obvious impact on the stock market of our country. The study found that the policy is in line with the effective expectation of investors' trading behavior, but the effect on volatility is often diametrically different. On the basis of understanding the relationship between trading and volatility, and under the prospect of rational and stable trading among investors in China, the regulatory bodies can strengthen the control of the effect of policy implementation, actively guide market trends, and make it easier for all parties in the market to reach consensus expectations. To improve the information level of Chinese stock market, and then to improve the effectiveness of the market, to make the capital market play a better role in the allocation of resources, to help the economic development and the realization of "Chinese Dream".
【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】：F224;F832.51;F812.42

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