剔除上证综指的必要性研究

发布时间：2018-01-22 14:59

本文关键词： 上证综指沪深300指数杠杆因素可操控性　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着综合国力的日益强盛,中国的GDP已经超越日本成为世界第二大经济体。截至2012年三季度末,中国A股上市公司股票总市值达21.5万亿人民币,仅次于美国上市公司普通股股票总市值约105.2万亿人民币,位居世界第二位。从指标总量来看,中国都位居于世界前列,但与此同时,中国股票市场的各种单项指标与发达国家资本市场相比还有较大的差距。中国股票市场是为了适应经济转轨的需要产生和发展起来的,具有典型的行政调控和政府推动的特点,时至今日还不能有效的发挥经济资源配置的作用,也不能体现经济发展“晴雨表”中的作用。特别是代表着A股市场的旗舰型龙头指数—上证综指,其长期固有的编制缺陷和可操控性已经严重阻碍了中国股票市场的健康发展。本文通过上证综指和沪深300指数等国内外主要股票市场指数的对比,研究上证综指的编制和其特点以及该股指对我国股票市场和期货市场上已经带来的危害和潜在的风险,目的是找到一个更不易被人为操控且更加符合广大投资者利益的指标,用来引领中国股票市场积极健康发展的未来。若想了解任一国家经济状况的发展趋势,首先必须掌握代表该国经济“晴雨表”股票价格指数的涨跌情况。而一个指数能否真正反映股票市场总体的运行状态,则需要该指数具有科学客观性。被大家熟知的道琼斯指数、英国《金融时报》指数很好地反映了美国和英国股票市场的整体走势,对于了解上述国家的经济发展提供了直观印象,同时,股票市场的健康发展同样也离不开一个具有代表性的指标。与发达市场相比较,反映我国股票市场的旗舰型指标就是上证综指,不论是在政府的决策、媒体的报道以及股民参考的指数来看,该股指已经广泛被我国投资者所接受。然而通过研究发现,上证综指具有可操控的缺陷性,已经被论为大资金机构的暴利工具,严重损害了广大投资者的利益,并且在股指期货开闸的今天,也已经阻碍了我国期货市场的健康蓬勃发展。本文分5章。第1章为绪论,主要介绍本文的研究背景、研究意义及研究框架,从我国股票市场指数与世界发达股票市场指数的对比,从编制的市值加权法、成份代表性和我国股票市场独有的特殊性几个方面引出上证综指作为反映经济晴雨表的危害性以及剔除该指数的意义。第2章是“世界主要证券市场股票价格指数比较研究”,研究上证指数与沪深300指数及发达资本市场的股指差异,对比分析在我国由于限售股的存在和绝大部分国有股虽然解禁但实际上并未真正全流通的特殊情况下,上证综指由于采用总市值加权法而具有的杠杆效应,使其具有被机构操控的风险。而采用自由流通市值加权法的成份股指沪深300指数,则不具有杠杆效应,其更为科学的编制方法能广泛客观的反映我国股市全局的发展情况。第3章是“上证综指的危害性”,在这一章,首先肯定了该指数的历史贡献,对A股市场的前期发展起到了不可磨灭的作用,但由于我国资本市场的迅猛发展,上证指数已经起不到指示作用,其内在的缺陷反而被暴利机构利用,鱼肉普通投资者,造成近些年来我国股市的暴涨暴跌。虽然政策制定者不断发布更为科学的指数来反映特定的股票市场,但在上证综指强势的历史地位和巨大的同化作用下,包括沪深300指数等均己成为该指数的“影子指数”。同时,以沪深300指数为标的的股指期货也起不到规避风险套期保值的作用。第4章是“剔除上证综指的研究分析”,承接上一章的种种危害性,上证综指必须在中国的股票市场中退出历史舞台,并且启用更为科学的全局指数如沪深300指数成为新一代的龙头指数,并且分析了采用上述决策无论从股票市场还是从期货市场都具有积极的历史意义。第5章是结论和政策建议。结论有2点：(1)具有杠杆效应的上证综指是可以被操控的。(2)由于上证综指的存在,沪深300现货指数和期货指数也被其左右控制。政策建议有2点：(1)管理层应以广大投资者的利益角度出发进行战略决策。(2)剔除上证综指,采用沪深300指数为我国股市新的主导指数。本文的创新之处在于：(1)本文从我国股票价格指数和世界主要先进资本市场股价指数进行比较,为研究我国股市健康的发展方式提供了一个新的分析视角。(2)本文通过指数编制方法的角度,研究上证综指与沪深300指数的涨跌运行情况,并对二者之间的区别与联系提出了新的观点。(3)通过研究,本文提出了我国应该借鉴先进市场的做法,应采用成份股取代综合指数,采用自由流通量法取代全市值加权法的措施,从而使我国股票市场得以健康持续发展,保护广大投资者的利益,使我国投资者能够分享中国经济成长带来的成果,并对该视点进行了论证。
[Abstract]:With the comprehensive national strength has become increasingly strong, Chinese GDP has surpassed Japan to become the second largest economy in the world. At the end of the three quarter of 2012, China A shares of listed companies total stock market capitalization of 21 trillion and 500 billion yuan, the total market value of only ordinary shares of listed companies in the United States about 105 trillion and 200 billion yuan, ranking second in the world. From the point of view of the total index, Chinese are among the highest in the world, but at the same time, the capital market of individual Chinese stock market indicators compared with the developed countries there is a large gap. China stock market is to meet the needs of the economic transition and development, with the typical administrative regulation and the government to promote the characteristics of today still can not play an effective allocation of economic resources the role, it does not reflect the economic development "barometer". Especially represents the A stock market index - leading flagship The Shanghai Composite Index, the preparation defects inherent long-term and maneuverability has seriously hindered the healthy development of the stock market Chinese. Through the comparison of Shanghai and Shenzhen 300 index and other major domestic and foreign stock market index, the Shanghai Composite Index and the establishment of its characteristics and the stock index on China's stock market and Futures market has the hazards and potential risks, the purpose is to find a more easily manipulated and more in line with the interests of investors in the stock market index, to lead China positive and healthy development in the future.
If you want to understand the development trend of any country's economic situation, must first master on behalf of the ups and downs of the economy "barometer" of the stock price index. An index can really reflect the running status of the stock market in general, requires that the index has been a scientific objectivity. Known as the Dow, the British Financial Times index is < > better reflects the overall trend of the United States and the UK stock market, provides a visual impression, for the understanding of the development of national economy and the healthy development of the stock market also cannot do without a representative index. Compared with the developed markets, reflecting China's stock market flagship index is Shanghai, whether in the decision-making of the government, media and investors reference index, the index has been widely accepted by the investors in our country. However, through the study found. The composite index is manipulable and defective. It has been regarded as a huge profit tool of large capital institutions, which has seriously damaged the interests of investors. And today, when the stock index futures open, it has also hindered the healthy and vigorous development of China's futures market.
This paper is divided into 5 chapters. The first chapter is the introduction, mainly introduces the research background, research significance and research framework, from the comparison of China's stock market index and the world developed stock market index, the market capitalization weighted method for the preparation of the ingredients, and the representative of China's stock market leads to the particularity of several aspects of Shanghai as reflected the economic barometer of the harm and elimination of the index.
The second chapter is the comparative study of the world's major stock market stock price index, stock index of Shanghai stock index and Shenzhen 300 index and developed capital market, comparative analysis in our country due to limit the sale of shares of the existence and the vast majority of state-owned shares while the lifting of the ban but special circumstances haven't actually full circulation, the SSE Composite index weighted method the total market value of leverage effect, which has been the risk control. The mechanism of the free flow of market capitalization weighted stock index component of the CSI 300 index, does not have the leverage effect, the development of its more scientific preparation method can objectively reflect the global stock market widely in our country.
The third chapter is "hazard" in Shanghai, in this chapter, first affirmed the historical contribution of the index, the early development of the A stock market has played an indelible role, but because of the rapid development of China's capital market, the Shanghai index has no indication, the defects in it by using fish profits mechanism, ordinary investors in China in recent years, due to soaring stock market crash. Although policymakers continue to publish more scientific index to reflect the specific stock market, but in the historical status of Shanghai strong and great with the role, including the Shanghai and Shenzhen 300 index, the index has become the "shadow" index. At the same time, the stock index futures will not evade the risk hedging effect to the CSI 300 index.
The fourth chapter is the analysis of the research of eliminating the Shanghai Composite Index, the previouschapters all sorts of dangers, Shanghai must withdraw from the stage of history in the Chinese stock market, and enable more scientific global indices such as Shanghai and Shenzhen 300 index as a new generation of leading index, and analyzed whether the stock market or from the futures market has a positive historical significance of the decision.
The fifth chapter is the conclusion and policy suggestions. There are 2 conclusions: (1) with leverage effect is the Shanghai composite index can be manipulated. (2) because of the existence of Shanghai, Shanghai and Shenzhen 300 stock index and index futures is the policy suggestion about control. There are 2 points: (1) management should be the majority the interests of investors in perspective of strategic decision. (2) from Shanghai, the Shanghai and Shenzhen 300 index as the leading index of China's stock market new.
The innovation of this paper lies in: (1) this paper compares from the stock price index in China and the world's major advanced capital market stock index, provides a new analysis perspective for the study on the healthy development way of China's stock market. (2) the index method of mixed operation of Shanghai and Shenzhen 300 index, and a new viewpoint on the difference and relationship between the two. (3) through the research, this article proposed our country should learn from the advanced market approach should be adopted to replace the stock index, the value weighted method is used to replace the free circulation method measures, so that China's stock market to the healthy and sustainable development, to protect the interests of investors, the Chinese investors to share the fruits of growth Chinese economy, and the viewpoint are discussed.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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