我国多层资本市场非对称交易机制设计研究

发布时间：2018-01-09 03:07

本文关键词：我国多层资本市场非对称交易机制设计研究　出处：《天津财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：改革和发展我国资本市场需要建立多层次资本市场,推出创业板市场是完善我国多层资本市场的一个重要标志。多层资本市场体系在满足多元化的融资需求,缓解中小企业融资困难的同时,也迎合了多样化的投资需求。而股价涨跌幅限价措施作为修正市场失灵的手段,它对股票市场的运行及其风险配置都会产生不同程度的影响。本文以我国多层资本市场为研究对象,依据波动反馈说和杠杆说等相关理论论证了多层资本市场交易机制非对称性设计的合理性,并结合我国多层资本市场的实际运行状况,从实证的角度分析了我国多层资本市场体系的收益率特征、风险状况以及收益率与风险的关系,以及主板市场、中小企业板市场和创业板市场之间的联动性。针对我国多层市场体系实际运行的数量特征与统一的交易机制设计不匹配的问题,我们提出了非对称交易机制设计的观点,同时重点探讨了我国多层资本市场体系非对称交易机制设计中数量界面的确定,即实行有差别的涨跌停板制度,使主板、中小企业板和创业板在风险配置上真正体现出它的层次性,从而保证资源配置与风险配置的一致性,达到优化多层资本市场体系建设功能发挥的目的。本文在对我国股市限价交易制度不同阶段考察的基础上,通过对我国对称性涨跌幅限价机制下市场运行特征的经验分析,揭示了对称性涨跌幅限价机制的非对称效应,并对这种非对称效应从行为金融学的角度进行了解释。同时,运用基于价值函数理论的VF-EGARCH-M模型,对我国股市对称性限价机制的非对称效应进行了实证分析,以此为依据,结合极值理论的运用,提出了非对称性涨跌幅限价机制的最优设计方案,并利用蒙特卡洛模拟技术对最优设计方案的效果进行了检验。研究结果表明,涨跌幅限价机制的这种非对称性调整不仅有利于纠正收益率的偏态性和降低风险,而且也有益于提升投资者的预期收益,是一种典型的帕累托改进。
[Abstract]:To reform and develop our capital market, we need to establish a multi-level capital market. The introduction of the gem market is an important sign of perfecting the multi-tiered capital market in China, and the multi-tier capital market system is meeting the diversified financing needs. While easing the financing difficulties of small and medium-sized enterprises, it also caters to the diversified investment demand. And the price limit measures of the stock price rise and fall as a means to correct the market failure. It will affect the operation of stock market and its risk allocation to varying degrees. Based on the theory of volatility feedback theory and leverage theory, this paper demonstrates the rationality of asymmetric design of multi-layer capital market trading mechanism. Combined with the actual operation of the multi-tier capital market in China, this paper analyzes the characteristics of the return rate, the risk situation and the relationship between the yield and the risk, as well as the main board market from the perspective of empirical analysis. The linkage between the SME market and the gem market. Aiming at the problem that the quantitative characteristics of the actual operation of the multi-tier market system in China and the unified transaction mechanism design are not matched. We put forward the point of view of asymmetric trading mechanism design. At the same time, we focused on the determination of quantitative interface in the design of asymmetric trading mechanism of multi-tier capital market system in China. In order to ensure the consistency of resource allocation and risk allocation, the main board, small and medium-sized enterprises board and growth enterprise market really reflect its level of risk allocation. To achieve the purpose of optimizing the function of multi-tier capital market system. Based on the investigation of the different stages of the price limit trading system in China's stock market, this paper analyzes the characteristics of the market operation under the symmetrical price limit mechanism. This paper reveals the asymmetric effect of symmetric price limit mechanism and explains this asymmetric effect from the perspective of behavioral finance. At the same time. By using the VF-EGARCH-M model based on the value function theory, this paper makes an empirical analysis of the asymmetric effect of the symmetrical price limit mechanism in China's stock market, based on which, combined with the application of extreme value theory. The optimal design scheme of asymmetric price limit mechanism is proposed, and the effect of the optimal design scheme is tested by Monte Carlo simulation technique. The asymmetric adjustment of the price limit mechanism is not only helpful to correct the skewness of the yield and reduce the risk, but also beneficial to improve the expected return of investors. It is a typical Pareto improvement.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

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