中国股票市场的福利效应研究

发布时间：2018-05-11 22:39

本文选题：股票市场 + 效用函数　；参考：《南京财经大学》2012年硕士论文

【摘要】：本文主要研究了中国股票市场对投资者、上市公司以及政府这三个股市主要参与方的福利状况进行了分析。对投资者的福利分析，我们主要通过两个方面来进行研究。首先是基于财富效用空间的福利分析，主要通过双曲绝对风险厌恶（Hyperbolic Absolute RiskAversion,简称HARA）效用函数推导出与递增风险厌恶者、固定绝对风险厌恶者及递减风险厌恶者相对应的代表性效用函数，来分析股价涨跌对其福利状况的影响。对此研究发现，对于递增绝对风险厌恶型投资者来说，如果由于股价上涨而使得浮动财富增加，同时股价下跌概率加大时，若投资者不减少风险资产投资额，即获利了结，那么将会使该型投资者的效用水平下降，福利状况变差，反之,其福利状况则会得到改善。递减风险厌恶者的情况与递增风险厌恶者的情况相反，固定风险厌恶者的福利状况则受股价波动影响较小。其次是从基于期望收益-方差空间的分析中发现牛市中投资者整体的福利状况变好，而熊市中投资者整体的福利状况则会恶化。对上市公司的福利分析是通过融资体系和融资结构的变化来进行的。发现银行垄断资金供给将使得企业的融资成本加大，企业的经济福利减少，而股市的发展使得融资渠道多元化，能够改善企业的经济福利。但问题是企业要想在股票市场进行最大化的融资，从而使其从股市获得最大化的福利效应也是不可能的，而是要受到客观经济形势和投资者投资意愿制约的。对政府的福利效应分析结果表明，股市的融资功能是GDP增长的Granger原因，说明股市在融资转化为投资从而助推经济发展方面确实起到了积极作用，，这一结论也从我们以C-D模型为基础的具体数量分析中得到了验证。另外，我们的研究表明股票市场并没有对消费产生显著的影响，股市的财富效应不显著，政府并没有从股市拉动消费方面获得福利。政府从股市中得到的最直接的经济福利是股市印花税，1993年至2010年我国股民累积上缴印花税达到6411.79亿元。
[Abstract]:This paper mainly studies the welfare situation of the three main participants in Chinese stock market: investors, listed companies and the government. To the investor's welfare analysis, we mainly through two aspects to carry on the research. Firstly, based on the welfare analysis of wealth utility space, the hyperbolic Absolute risk aversion (HARAA) utility function is used to derive and increase the risk aversion. The representative utility function of absolute risk aversion and decreasing risk aversion is fixed to analyze the effect of stock price fluctuation on its welfare. In this study, it is found that for incremental absolute risk-averse investors, if the floating wealth increases due to the rise of the stock price and the probability of stock price decline increases, if the investors do not reduce the investment in risky assets, they will take profits. Then the utility level of this type of investors will be reduced, welfare conditions will become worse, conversely, their welfare conditions will be improved. Diminishing risk aversion is the opposite of increasing risk aversion, and the welfare of fixed risk averse is less affected by stock price volatility. Secondly, from the analysis based on expected income-variance space, it is found that the overall welfare status of investors in bull market is better, while that of investors in bear market will deteriorate. The welfare analysis of listed companies is carried out through the change of financing system and financing structure. It is found that the supply of bank monopoly funds will increase the financing cost of enterprises and reduce the economic welfare of enterprises, while the development of stock market will make financing channels diversified and improve the economic welfare of enterprises. However, the problem is that it is impossible for enterprises to maximize their financing in stock market so as to maximize their welfare effect from the stock market, but are restricted by the objective economic situation and investors' investment intention. The analysis of the welfare effect of the government shows that the financing function of the stock market is the Granger reason for the growth of GDP, which indicates that the stock market has played a positive role in transforming financing into investment and thus promoting economic development. This conclusion is also verified by our quantitative analysis based on C-D model. In addition, our research shows that the stock market does not have a significant impact on consumption, the stock market wealth effect is not significant, and the government does not benefit from the stock market driving consumption. The most direct economic benefit that the government receives from the stock market is the stamp duty on the stock market. From 1993 to 2010, the accumulated stamp duty paid by Chinese shareholders reached 641.179 billion yuan.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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