我国股票市

发布时间：2018-04-20 02:08

本文选题：波动性 + 泡沫化　；参考：《江西财经大学》2012年博士论文

【摘要】：我国股市自问世以来,经过20余年的发展,已取得了巨大的成就,截至2010年底,我国沪深两市总市值达26523亿元,位居全球第二,占GDP比高达66.16%,发展速度不可谓不快。但正是由于在发展过程中过于注重发展速度,而忽视了发展质量,致使股市积累了许多矛盾,这些矛盾已开始制约着我国股市长期健康的发展。理论上而言,股市与宏观经济之间有一定的正相关联系,近年来,我国一直保持着较高的经济增长速度,但股市却持续低迷,双方呈现出极为不协调的发展态势,股市因此饱受非议。对此,社会各界在评价、描述我国股市时,通常将其称之为波动剧烈的股市、严重泡沫化的股市以及投机泛滥的股市,那么,我国股市果真如此吗? 直观的绝对数据似乎表明,我国股市是一个波动异常剧烈的股市,然而立足国际视野,相对地看,我国股市是否仍属于剧烈波动呢?本文分别通过简单标准差和GARCH-M模型,对中国大陆、美国、德国、新加坡、中国台湾及印度这六个国家和地区股指收益率的波动性进行比较,比较中以QFⅡ制度的实行和股权分置改革的完成分别为时间节点将有关时间序列细分为三个阶段。通过计算不同阶段股指标准差可知我国股市波动性别非特别剧烈。同时,通过GARCH-M模型分析可知：相比于其他几个国家与地区,我国股市过去(第一阶段)的波动性的确很高,新信息给股市带来的冲击很强,波动系数α值达到了0.284,几乎是样本中其他国家与地区α值的2到3倍；然而自实行QFⅡ制度后(第二阶段),我国股市的波动性已经大幅下降,上证综指的α指降低到0.064,波动程度已与美国、德国、新加坡及中国台湾等国家与地区不相上下,远低于印度；股权分置改革基本完成后(第三阶段),我国股市波动性进一步降低,上证综指的α指降低到0.054,波动程度已低于样本中其他国家与地区。由此可见,与其他国家与地区相比,我国股市过去确实波动剧烈,但随着相关制度的实施和推进,股市也在不断趋于完善,其波动性不断有所收敛,当前我国并非波动剧烈的股市。本文还对我国股市的泡沫化程度进行了分析。通过分析市盈率,这个学界公认的在分析股市泡沫时最有说服力的指标,可以发现：从股市整体趋势上看,我国股市市盈率明显呈下降趋势；从国际股市比较上看,我国股市市盈率也并非高的离谱；从股市市盈率本质上看,我国股市市盈率合理水平理应高于发达国家股市。这初步表明我国股市并不是严重泡沫化的股市。本文还运用剩余收益模型对我国股市泡沫程度进行了具体的测度,发现我国股市仅仅在若干年份泡沫过大,无论从股市的绝对泡沫程度还是相对泡沫程度上看,都不得出我国股市泡沫化严重的结论。然而,虽然我国股市并不是波动剧烈的股市,也不是严重泡沫化的股市,但仍不能称之为正常、规范的股市。因为在我国股市中的主流行为是投机行为,而不是投资行为,即我国股市是“投机主导”的股市。本文通过理论分析和实证分析,从多角度对此予以了证明。首先,笔者对A股市场的投机性进行了分析,从派息率、股息率及融资分红比等指标来看,我国股市现金分红水平很低,股市缺乏投资价值；股市换手率超高,表明投资者更热衷于短期投机,而不是长期投资；同时我国股市财富效应与托宾Q效应都极其微弱,长期来看,我国城镇居民消费对流通股市值的弹性为负的0.014,严格的说存在轻微的“挤出效应”,粗略的说可以认为我国股市并不存在真正意义上的财富效应,我国固定资产投资对流通股市值的弹性为0.07,对金融机构贷款余额的弹性为1.01,相比于信贷对投资的拉动作用,股市对投资的拉动作用几乎可以忽略不计。这充分证明,当前我国A股是“投机主导”股市。其次,笔者还分析了我国创业板市场的投机性,发现我国创业板中同样严重存在重融资而轻回报的现象,与此同时,还存在资金使用效率低下以及公司高管争相减持等现象,这表明当前我国创业板同样是一个“投机主导”性股市。进一步研究表明,我国股市之所以是“投机主导”的股市,是疯狂投机的股市,并不是由投资者造成,主要原因在于上市公司的不规范行为,也就是上市公司普遍热衷于“圈钱”,根本原因乃在于股市在一系列重要环节的制度安排上存在明显缺陷。“投机主导”的股市是非常危险的股市,会给投资者、上市公司和国民经济带来严重的危害。对此,本文以制度变迁理论为基础,提出了治理我国股市投机性,变我国“投机主导”股市为规范化股市的短期与中长期对策。笔者认为,在短期,应控制股市融资规模、强化上市公司分红制度、推出创业板退市制度以及加大违法违规成本；而在中长期,应实行股票发行注册制、健全主板退市制度、完善股东代表诉讼制度以及转变全社会发展融资模式,统筹发展资本市场。
[Abstract]:After 20 years of development , China ' s stock market has achieved great achievements . As of the end of 2010 , the total market value of the two cities in Shanghai and Shenzhen amounts to 2652.3 billion yuan , which accounts for 66 . 16 % of GDP .

This paper compares the volatility of stock market volatility in China , USA , Germany , Singapore , Taiwan and India by means of simple standard deviation and ARCH - M model . It is clear that the volatility of stock market in China is very high compared with other countries and regions .
However , the volatility of the stock market in our country has fallen sharply since the introduction of the system of the system ( the second stage ) , the index of Shanghai stock index decreased to 0.064 , the degree of volatility has been different from that of the United States , Germany , Singapore and Taiwan , and the region is far lower than India ;
In the third stage , the volatility of stock market in our country is further reduced . The index of Shanghai stock market is reduced to 0.054 , and the volatility is lower than that of other countries and regions in the sample . Therefore , the stock market has fluctuated violently in the past as compared with other countries and regions . However , with the implementation and advancement of the relevant system , the stock market is constantly improving , its volatility is constantly converging , and China is not a volatile stock market .

This paper also analyzes the bubble degree of stock market in China . By analyzing the price - earnings ratio , the most convincing index in analyzing stock market bubbles is recognized by the academic circle , and it can be found that the earnings ratio of stock market in China is obviously decreasing from the overall trend of stock market .
From the comparison of international stock market , the earnings ratio of stock market in our country is not high .
From the essence of stock market price - earnings ratio , the reasonable level of earnings ratio of stock market in China should be higher than that in developed countries . This shows that China ' s stock market is not a seriously foamed stock market .

However , although China ' s stock market is not a volatile stock market , it is not a serious bubble stock market , but still cannot be called the normal , standardized stock market . Because the main flow behavior in our stock market is speculation , not investment behavior , that is , the stock market of our country is " speculation - dominated " stock market . First , the author analyzes the speculative nature of the A - share market , from the index of dividend rate , dividend rate and financing dividend ratio , the stock market cash dividend level is very low , the stock market lacks the investment value ;
The high turnover of the stock market indicates that investors are more keen on short - term speculation than long - term investments ;
At the same time , China ' s stock market wealth effect and Tobin Q effect are extremely weak . In the long run , the elasticity of China ' s urban residents ' consumption to the market value of the stock market is 0.014 , and there is a slight " squeeze effect " .

Further research shows that China ' s stock market is a " speculation - dominated " stock market , it is the stock market that is crazy speculation , and is not caused by investors . The main reason lies in that the stock market has obvious flaws in the system arrangement of a series of important links . The stock market is a very dangerous stock market , which can bring serious harm to investors , listed companies and the national economy .
However , in the medium and long term , the stock issuance registration system should be implemented , the system of mainboard retirement should be improved , the shareholder ' s representative lawsuit system should be perfected , and the financing mode of all - social development financing should be changed , and the capital market should be developed in an integrated manner .

【学位授予单位】：江西财经大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

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