再论做空与中国权证市场泡沫研究

发布时间：2018-05-15 07:42

本文选题：泡沫 + 做空机制　；参考：《复旦大学》2012年硕士论文

【摘要】：泡沫的形成和发展一直是困扰着经济学界的难题,从历史上的荷兰郁金香泡沫一直到上世纪末期的日本房地产泡沫,以及本世纪初的网络泡沫和最近的美国房地产泡沫,都吸引了大量学者对此进行研究。虽然,杰出的经济学家们相继提出了理性泡沫理论,博彩行为理论以及博傻理论来解释泡沫现象。但是,近几十年来先后出现的泡沫表明人们对泡沫形成的内在因素和抑制泡沫的措施依旧缺乏清醒的认识。 2005年8月22日随着宝钢权证的上市,中国权证市场在阔别9年之后重新登上历史舞台,然而,权证在发展之初便饱受争议,有关权证市场泡沫严重,投资者缺乏理性的声音不绝于耳。本文以我国权证市场为研究对象,研究发现我国权证市场普遍存在着泡沫,通过比较上海证券交易所上市权证和深圳证券交易所上市权证的泡沫发生的频率和程度,本文发现存在类似做空机制的上海证交所上市权证的泡沫发生的频率和程度,都显著低于不存在类似机制的深圳证券交易所。本文的研究结论为实验室研究发现的做空可以消除泡沫的结论提供了强有力的现实证据。最后,依据对我国权证市场的研究结论,本文为我国进一步发展资本市场提供了相关建议。
[Abstract]:The formation and development of the bubble has been a difficult problem for the economic circles. From the Dutch tulip bubble in history to the Japanese real estate bubble in the late last century, and the dotcom bubble at the beginning of this century and the recent American real estate bubble, Have attracted a large number of scholars to study this. Although, outstanding economists have put forward rational bubble theory, gambling behavior theory and Boxer theory to explain bubble phenomenon. However, the emergence of bubbles in recent decades shows that people still lack a clear understanding of the internal factors of bubble formation and the measures to restrain bubbles. With the listing of warrants in Baosteel on August 22, 2005, the Chinese warrants market re-entered the historical stage after nine years' absence. However, warrants were controversial at the beginning of their development, and the relevant warrants market frothy seriously. Investors' irrational voices are heard all the time. This paper takes the warrants market of our country as the research object, and finds that there is a general bubble in the warrants market of our country. By comparing the frequency and degree of the bubbles in the Shanghai Stock Exchange and the Shenzhen Stock Exchange, In this paper, we find that the frequency and degree of bubble occurrence in Shanghai Stock Exchange with similar shorting mechanism are significantly lower than those in Shenzhen Stock Exchange without similar mechanism. The conclusions of this paper provide strong practical evidence for the conclusion that short selling can eliminate foam. Finally, according to the conclusion of the research on China's warrant market, this paper provides relevant suggestions for further development of the capital market in China.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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