我国的股票换手率与股市周期的关系研究

发布时间：2018-04-24 05:03

本文选题：换手率 + 金融危机　；参考：《安徽财经大学》2012年硕士论文

【摘要】：我国的股票市场还不是一个成熟的、有效的市场,换手率和市盈率都比较高,市场与个股均呈现出过度投机、频繁剧烈波动等特点。我国的股票市场只有二十年的历史,就已经经历多次暴跌暴涨的现象,股灾频发,异常的金融现象比比皆是。在这种情况下分析中国股票市场,已经不能局限于运用以有效市场假说和理性人假设为基石而建立起来的现代投资理论。因此,从换手率这一微观角度去分析我国股票市场的运行规律,显然不仅对于规范我国资本市场自身具有重要的实践意义,而且尤其是对于在国际金融市场一体化的情况下保障国家金融安全、防止股市危机的爆发更具有特殊重要的现实意义。本文共分成五个部分。第一部分是绪论,主要阐述了对我国的换手率和股市周期关系进行研究分析的目的和意义,并介绍了本文所使用的研究方法和创新之处。第二部分主要叙述了我国股市换手率的特征,并运用行为金融学的理论出对换手率现状的成因进行了解释说明；还从换手率的累积效应这一角度出发,推导出了换手率与金融危机边界的关系。第三部分以货币政策作为联系换手率与股市周期的媒介,运用计量经济学的方法和图示法对货币供应量与换手率和股市周期的关系进行了论证。第四部分是本文的重点,运用了大量真实详尽的股票市场运行数据对我国股市的换手率与股市周期的变动关系进行以VAR为基础的计量模型检验,并采用了个股分析的方法来进一步论证股票价格波动的周期性特征。最后,围绕着如何在高换手率现状的中国股票市场下进行金融风险的防范问题,从不同的角度提出了具体的解决措施。由于股票市场中最基本的关系是价量关系,所以纵观当前国内外的研究,对股票市场的研究几乎都是以股价为核心,关于股票价格的波动和成交量的相互关系的问题已经有了大量的研究成果。相比较而言,对股票市场上换手率的研究就要少一些。而对于股市周期的研究,则大多着眼于宏观经济政策与股市周期之间的关系。本文将换手率与股市周期相关联,仍然是一个比较新的课题,将对股市周期和金融危机的研究提供一个新视角。
[Abstract]:The stock market of our country is not a mature and effective market, the turnover ratio and the price-earnings ratio are both relatively high, the market and the individual stock market show excessive speculation, frequent and violent fluctuations and so on. China's stock market has only 20 years of history, has experienced a number of plummeting and soaring phenomenon, frequent stock disasters, abnormal financial phenomena abound. In this case, the analysis of Chinese stock market cannot be limited to the application of modern investment theory based on efficient market hypothesis and rational man hypothesis. Therefore, it is of great practical significance not only to standardize the capital market itself, but also to analyze the operating rules of the stock market in China from the microcosmic angle of turnover rate. Especially for the international financial market integration to protect the national financial security and prevent the outbreak of stock market crisis has more important practical significance. This paper is divided into five parts. The first part is the introduction, which mainly expounds the purpose and significance of the research and analysis of the turnover rate and the stock market cycle relationship in China, and introduces the research methods and innovations used in this paper. The second part mainly describes the characteristics of the turnover rate in the stock market of our country, and explains the causes of the current situation of the turnover rate by using the theory of behavioral finance, and from the angle of cumulative effect of the turnover rate, The relationship between turnover rate and financial crisis boundary is deduced. In the third part, monetary policy is used as the medium between turnover rate and stock market cycle, and the relationship between money supply and turnover rate and stock market cycle is demonstrated by econometric method and graphic method. The fourth part is the focus of this paper, using a large number of real and detailed stock market operation data to test the relationship between turnover rate and stock market cycle change based on VAR. The method of individual stock analysis is used to further demonstrate the cyclical characteristics of stock price fluctuations. Finally, the paper puts forward specific solutions from different angles around how to prevent financial risks in the current Chinese stock market with high turnover rate. Because the most basic relationship in the stock market is the relationship between price and quantity, so throughout the current domestic and foreign research, almost all the research on stock market is based on stock price. There have been a lot of research results on the relationship between stock price fluctuation and trading volume. By comparison, there is less research on turnover rates in the stock market. On the other hand, the study of stock market cycle mostly focuses on the relationship between macroeconomic policy and stock market cycle. In this paper, it is still a relatively new topic to associate turnover rate with stock market cycle, which will provide a new perspective for the study of stock market cycle and financial crisis.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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