我国股市主板与创业板的市场质量比较研究

发布时间：2018-01-19 11:29

本文关键词： 市场质量流动性波动性有效性　出处：《山东财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：股票市场作为证券市场的重要组成部分，，其内部的资金流动之大，涉及行业之多，覆盖人群之广，决定了它在整个证券市场举足轻重的地位。自上海证券交易所和深圳证券交易所1990年成立以来，主板市场已经走过二十多年时间，整个市场从无到有，从小到大，对我国国民经济平稳较快增长起到了积极的促进作用，有力地推动了中国经济体制改革的深化。经过十余年的艰辛筹备，我国创业板市场于2009年10月30日正式开启，它的推出适应了我国应对国际金融危机、促进经济平稳较快发展的内在要求，也适应了我们加快转变经济发展方式、培育和发展战略性新兴产业的内在需求。市场质量是市场效率以及市场是否成熟的重要标志，股票交易过程中的市场质量在全球竞争环境中的重要性日益凸现，注重分析并逐步提高市场质量，是我们未来参与全球竞争的基本前提。从市场整体发展趋势看，我国股票市场也正在步入以提升市场质量为重点的创新与发展阶段，如何提高我国主板和创业板的市场质量就变得至关重要。主板市场与创业板市场在交易规则、投资者特征以及上市公司特点等方面存在差异，但两个市场都是符合中国国情推出的市场，具有可比性和可彼此借鉴加以完善的条件。因此，要提升我国股市整体的市场质量，首先应通过对比，找出主板与创业板两个市场的市场质量存在哪些差距，分析存在差距的原因，并通过彼此之间的借鉴来加以完善。这将对保持我国股市整体的持续健康快速发展，进而提升国际竞争力具有重大的理论意义和实践价值。金融市场微观结构理论表明，股票市场质量的评价体系涵盖了市场的流动性、波动性、透明度、有效性、交易成本等多个方面，将这些指标进行定量化的分析可以更加科学、系统地刻画市场的运行状况，评价市场的运行效率。为此，本文选取较具代表性且可量化的流动性、波动性和有效性建立评价指标体系，对我国主板和创业板的市场质量进行分析与比较，以期发现两个市场的市场质量存在的差距和原因，为促进我国股市整体向更高的流动性、更快的交易执行速度和更低的交易成本方向前进提供相应的对策建议。本文内容主要包括以下几个部分：（1）文章首先提出了本文研究的问题和研究意义，并对国内外研究情况进行了文献综述。文献分析表明，对金融市场微观结构理论的研究在我国起步较晚，关于市场质量的评价多集中在单一指标或两个指标的分析，缺乏系统性的整体测度。而且由于创业板开市时间有限，过往的研究多为规范分析，研究内容集中在对中外创业板的比较及创业板的制度建设建议，对我国主板和创业板市场质量做定量对比分析的研究还较少。而后，阐述了本文的研究内容、技术路线和创新点。（2）阐述了本文研究的相关理论基础。在明确市场质量的含义和对股市发展的重要性的基础上，分别对本文需要用到的市场质量度量指标，即流动性、波动性、有效性以及透明度，从概念、模型等方面进行论述。最后，从七个方面概括分析市场质量的影响因素。（3）本文从流动性、波动性、有效性三个方面对我国主板和创业板市场质量进行了比较分析和实证研究。在流动性的比较中，以沪深300指数和创业板综合指数分别作为主板市场和创业板市场的代表，计算和比较两指数的Amihud流动性比率和Martin流动性比率，结果显示主板市场的流动性要好于创业板市场。其原因在于创业板市场定位于促进自主创新型企业及其他成长型创业企业的发展，在市场规模、上市公司质量、收益的波动等方面都不同于主板市场，存在流动性风险。在波动性的比较中，选取沪深300指数和创业板综合指数对数收益率为研究样本，基于曼—惠特尼U检验和Wilcoxon秩和检验等一系列方法比较验证两指数对数收益率序列时变波动率的差别，证实了创业板市场的波动性要比主板市场大，对于投资者来说，创业板市场的投资风险更大。这与创业板运行的两年多时间里，外界的目光往往聚焦于相关公司的高成长性、高盈利能力，忽视了隐含的经营风险性和业绩波动性密切相关。在有效性的比较中，主要运用事件研究法对主板市场和创业板市场是否达到半强式有效性进行检验。实证结果显示，加息这一类事件公布后，市场仍在消化所公布的信息，超额收益仍然存在，主板市场和创业板市场半强式有效性不成立。相比于创业板综合指数，沪深300指数的CAR曲线距离横轴更近，说明主板市场的信息效率还是要好于创业板市场。上市公司信息披露问题、个人投资非理性、监管不力是导致这一现象出现的原因。（4）为了化解创业板市场的流动性风险，保持市场整体稳定运行，并提高市场价格反映信息的能力，本文基于前述实证研究结论，提出以下几点建议：一是进一步完善创业板市场运行机制，具体包括发行机制、交易机制、退市机制三个方面；二是注重投资者关系管理；三是继续强化创业板投资者适当性管理；四是加大监管力度，提高信息披露水平。
[Abstract]:The stock market is an important part of the securities market, the flow of funds within the large, involving fields, wide coverage, determines that it plays an important role in the whole stock market position. Since the Shanghai stock exchange and Shenzhen stock exchange was established in 1990, the main market has gone through twenty years of time, the whole market from scratch, from small to large and to the positive role in promoting the steady and rapid growth of our national economy, a strong impetus to the deepening reform of economic system Chinese. After more than ten years of hard preparation, the Chinese gem market officially opened in October 30, 2009, it launched to adapt to China's response to the international financial crisis, the inherent requirements of promoting steady and rapid economic we also adapt to development, accelerate the transformation of economic development mode, the internal demand of the cultivation and development of strategic emerging industries.
The quality of the market is the market efficiency and the market is an important symbol of maturity, the importance of stock trading market in the process of quality in the global competitive environment is increasingly highlighted, and focus on the analysis of the market and gradually improve the quality, is the basic premise of our future participation in global competition. From the overall market development trend, China's stock market is entering innovation with the development of the stage to enhance market quality focus, how to improve China's main board and gem market quality is very important. The main board market and the GEM market in the trading rules, different investor characteristics and listed companies, but the two markets are in line with the national conditions Chinese market launch, comparable and can learn from each other to improve the conditions. Therefore, to improve the overall quality of China's stock market market, first by comparison, find out the main board and gem two What are the gaps in the market quality of each market? We should analyze the reasons for the gap and draw lessons from each other to improve them. This will be of great theoretical and practical value for maintaining the sustained, healthy and rapid development of China's stock market and enhancing international competitiveness.
Show that the micro structure theory of financial market, stock market quality evaluation system covers the liquidity, market volatility, transparency, effectiveness, transaction costs and other aspects, these indicators are quantitative analysis can be more scientifically and systematically characterize the market running status, operational efficiency evaluation of the market. Therefore, this paper selects liquidity more representative and quantifiable, establish the evaluation index system of volatility and effectiveness of China's main board and gem market quality were analyzed and compared, in order to find the gap between the market and the reasons for the existence of matter two market volume, in order to promote China's overall stock market liquidity to more higher, faster transaction speed and lower transaction cost direction to provide corresponding countermeasures and suggestions. This paper includes the following sections:
(1) this paper puts forward the problem and research significance, and the research situation at home and abroad were reviewed. The analysis shows that the research on financial market microstructure theory started late in China, analysis and evaluation on the quality of the market more concentrated in the single index and the two index, the lack of overall measure the system of the gem opening. And because of the limited time, past research is normative analysis, suggestions on the system focused on the comparison of the Chinese and foreign gem and gem, do research on quantitative analysis on China's main board and gem market quality is limited. Then, expounds the research contents, the technical route and innovations.
(2) describes the theoretical basis of this study. Based on the importance of clear market quality and the meaning of the stock market development, this paper respectively on the need to use the market quality metrics, such as liquidity, volatility, effectiveness and transparency from the concept, model and other aspects are discussed. Finally, summarized factors analysis of the influence of the quality of the market from seven aspects.
(3) the liquidity, volatility, three aspects of the effectiveness of comparative analysis and empirical research on China's main board and gem market quality. In the comparison of liquidity in the Shanghai and Shenzhen 300 index and the comprehensive index of the gem as the main market and gem market liquidity generation table, Amihud Martin ratio and liquidity ratio calculation and comparison of two index, results show that the fluidity of the main market in the GEM market. The reason is that the GEM market positioning to promote the development of innovative enterprises and other growth enterprises, in the market scale, the quality of listed companies, earnings volatility and so on the main market, the liquidity risk.
In the comparison of volatility in Shanghai and Shenzhen 300 index and the gem index log returns for the study sample, Man Whitney U test and Wilcoxon rank sum test and a series of methods based on comparison and verification of two index logarithmic return series of time-varying volatility difference, confirmed the volatility of the GEM market than the motherboard market large, for investors, the GEM market investment risk greater. This gem operation for more than two years, attention is often focused on high growth companies, high profitability, ignore the underlying business risk and earnings volatility are closely related.
In a comparison of the effectiveness, mainly using the event study method to test whether the main market and gem market reached semi strong efficiency. The empirical results show that the interest rate hike this event after the announcement, the market is still in the published digest the information, the excess return still exists, the main board market and the GEM market semi strong efficiency is not established. Compared to the comprehensive index of the gem, CAR Shanghai and Shenzhen 300 index horizontal curve distance closer, indicating the motherboard market information efficiency is better than the GEM market. Information disclosure of listed companies, individual irrational investment, lack of supervision is the cause of this phenomenon.
(4) in order to resolve the liquidity risk of the GEM market, maintain the overall stability of the operation of the market, and improve the ability to reflect the market price information, this paper based on the empirical research conclusion, put forward the following suggestions: one is to further improve the operating mechanism of the GEM market, specifically including issuing mechanism, trading mechanism, three aspects of delisting mechanism; two is to focus on the investor relations management; the three is to continue to strengthen the GEM investors management; four is to strengthen supervision, improve the level of information disclosure.

【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】