证券市场危机预警研究

发布时间：2018-09-16 21:27

【摘要】： 随着经济金融自由化、全球化步伐的不断加快,证券市场在国民经济中的地位显著上升,正日益成为投融资和实现社会资源优化配置的最重要场所,维护证券市场平稳健康发展对促进国民经济又好又快发展具有重要意义。然而,中国证券市场目前还处于发展阶段,存在诸多引发不稳定乃至危机的风险因素,如何建立科学系统的证券市场危机预警体系,从而防范和化解证券市场危机正日益引起学界和业界的广泛关注。本文阐述了证券市场危机预警的概念内涵,探讨了证券市场危机的内外来源及传导机制,在此基础上描述和分析了中国证券市场的发展概况和风险现状。接着从危机界定、指标选取和方法选择三个方面对证券市场危机预警模型进行了指标和方法设计,一方面将证券市场平均市盈率与标准平均市盈率之比作为判断危机状态的标准,并从宏观、市场本身和微观三个层面选取了预警指标,另一方面构建了基于Logistic回归的证券市场危机预警模型,并提出了防范和化解证券市场危机的若干对策建议。实证分析结果表明,所构建的危机预警模型判别准确率达到了94.7%,模型通过了有效性检验,通货膨胀率变动、市场利率、汇率变化幅度、香港证券市场指数收益率变化、市场平均市盈率、市场平均换手率、IPO平均抑价水平和特别处理企业数占上市公司总数之比与危机发生的可能性显著相关,证券市场危机是宏观因素、市场因素和微观因素等多方面因素共同作用的结果。
[Abstract]:With the economic and financial liberalization and the accelerated pace of globalization, the position of the securities market in the national economy has risen significantly, and is increasingly becoming the most important place for investment and financing and for realizing the optimal allocation of social resources. It is of great significance to maintain the stable and healthy development of the securities market to promote the sound and rapid development of the national economy. However, China's securities market is still in the stage of development, there are many risk factors that lead to instability and even crisis, how to establish a scientific and systematic security market crisis warning system, So as to prevent and resolve the securities market crisis is increasingly attracting academic and industry attention. This paper expounds the concept and connotation of stock market crisis warning, probes into the internal and external sources and transmission mechanism of securities market crisis, and on this basis describes and analyzes the general situation of the development and risk situation of China's securities market. Then, it designs the index and method of stock market crisis warning model from three aspects: crisis definition, index selection and method selection. On the one hand, the ratio of average price-earnings ratio to standard price-earnings ratio of securities market is taken as the criterion to judge the crisis state, and early warning index is selected from macro, market itself and micro level. On the other hand, the early warning model of securities market crisis based on Logistic regression is constructed, and some countermeasures and suggestions are put forward to prevent and resolve the securities market crisis. The results of empirical analysis show that the accuracy of the model has reached 94.70.The model has passed the validity test, inflation rate change, market interest rate, exchange rate change range, Hong Kong stock market index rate of return. Market average price-earnings ratio, market average turnover rate, IPO average underpricing level and the proportion of specially treated enterprises to the total number of listed companies are significantly related to the possibility of the crisis, and the securities market crisis is a macro factor. Market factor and micro factor and so on many factors work together the result.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：F832.51;F224

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