我国创业板股票市场的泡沫测度研究

发布时间：2018-06-15 07:24

本文选题：创业板 + 市场泡沫　；参考：《中国海洋大学》2012年硕士论文

【摘要】：我国创业板股票市场自2009年10月30日正式开市交易以来，一定程度上缓解了部分高科技和高成长性中小企业的融资瓶颈，促进了新兴产业结构的调整，提高了社会整体的创新效率，开辟了资本市场投资的新方向，因此创业板股票市场对深化资本市场，转变经济增长方式，完善多层次资本体系，丰富资本市场结构具有重要的意义。但是，在我国创业板股票市场发展过程中出现了许多不成熟的地方，高股价、高市盈率、高募资等“三高”现象虽得到一定程度的缓解，但仍然多次出现明显的泡沫化趋势，影响了正常的经济运行、金融系统的安全性和财富分配与投融资决策的正确性，并涉及到投资者的切身利益，因此，对我国创业板股票市场泡沫进行测度，不仅能防范和化解股市风险，而且可以促进我国中小企业良好健康的发展以及国民经济持续稳定的增长。本文的主要研究内容如下：首先论文梳理了股市泡沫的理论研究渊源，分析了泡沫与股票泡沫的内涵，股票市场泡沫的特征，并对理性泡沫和非理性泡沫的内涵和数学模型进行理论剖析。在此基础上，，分析了我国创业板股票市场的特征，股票泡沫的形成原因，并分析了创业板市场泡沫所产生的积极与消极影响。其次，从市盈率、市净率、泡沫度和泡沫系数四个指标对我国创业板股票市场的泡沫程度进行分析。对创业板市场各月份市盈率与成熟二板市场的市盈率进行比较分析；从市净率角度分析我国创业板股票市场的泡沫程度；并通过计算我国创业板股票市场的泡沫度和泡沫系数进一步分析我国创业板股市泡沫的变化趋势，并对各指标测度结果进行了分析与总结。再次，利用CAPM模型测算投资者预期收益率，运用戈登（Gordon）模型估算投资回收期，并在此基础上运用剩余收益模型对创业板股票市场合理市盈率和泡沫程度进行测度。为更明确创业板股票市场合理市盈率的波动范围，在理论研究的基础上，确定了合理市盈率的理论上限和理论下限，并对实证结果进行分析。最后，从上市公司角度、投资者角度、监管与市场角度，提出降低我国创业板股票市场泡沫程度的政策与建议。论文主要在以下两个方面进行了创新性探讨：（1）本文在测度中国创业板股票市场泡沫问题上，对中国创业板股票市场市盈率与美国NASDAQ、台湾OTC、韩国KOSDAQ、香港创业板的市盈率进行比较。为更具体和清晰的分析创业板股票市场的泡沫程度与趋势，以季度为时间分割点对其泡沫度和泡沫系数进行测算。（2）论文考虑了风险溢价因素的影响，并结合上证指数和深证综合指数计算贝塔系数，在此基础上，结合资本资产定价模型（CAPM）测算投资者预期收益率，运用戈登（Gordon）模型的数学表达式测算投资者预期的投资回收期，并运用剩余收益模型对创业板股票市场泡沫进行模型测度，使得测度结果更具有可置信和有效性。
[Abstract]:Since the opening of the market in October 30, 2009, the gem stock market in China has alleviated the financing bottleneck of some high-tech and high growth SMEs to a certain extent, promoted the adjustment of the new industrial structure, improved the innovation efficiency of the whole society and opened a new direction for the capital market investment. Therefore, the gem stock market is the same. It is of great significance to deepen the capital market, transform the mode of economic growth, improve the multi-level capital system and enrich the capital market structure.
However, there are many immature places in the development of the gem stock market in China. The "three high" phenomena such as high stock price, Gao Shiying rate and high fund raising have been alleviated to a certain extent, but there are still many obvious bubble trends, which affect the normal economic transportation, the security of the financial system and the distribution of wealth and investment and financing. The correctness of the decision is related to the vital interests of the investors. Therefore, the measurement of the bubble in the Chinese gem stock market can not only prevent and dissolve the stock market risk, but also promote the healthy and healthy development of the small and medium enterprises in China and the sustained and stable growth of the national economy.
The main contents of this paper are as follows:
First, the thesis combs the theoretical origin of the stock market bubble, analyzes the connotation of bubble and stock bubble, the characteristics of the stock market bubble, and analyses the connotation and mathematical model of rational bubble and irrational bubble. On this basis, it analyzes the characteristics of the stock market in China's gem, the causes of the formation of the stock bubble and the distribution of the stock bubble. This paper analyzes the positive and negative effects of the bubble in the growth enterprise market.
Secondly, this paper analyzes the bubble degree of China's gem stock market from four indexes of P / E ratio, city net rate, bubble degree and bubble coefficient. The price earnings ratio of each month's earnings ratio in the gem and the mature second board market is compared and analyzed. The bubble degree of the stock market in China is analyzed from the point of view of the market net rate; and the calculation is calculated. The bubble degree and bubble coefficient of China's gem stock market further analyze the change trend of China's gem stock market bubble, and analyze and summarize the results of each index measure.
Thirdly, the CAPM model is used to estimate the expected return rate of investors, and the Gordon (Gordon) model is used to estimate the investment recovery period. On this basis, the residual income model is used to measure the reasonable price earnings ratio and the degree of the bubble in the gem stock market. The basis of the theoretical research is to make a clearer analysis of the range of the reasonable price earnings ratio of the gem stock market. The theoretical upper limit and the lower theoretical limit of the reasonable price earnings ratio are determined, and the empirical results are analyzed.
Finally, from the perspective of listed companies, from the perspective of investors, from the perspective of regulation and market, we put forward policies and suggestions to reduce the bubble level of China's gem stock market.
The paper mainly discusses the following two aspects:
(1) this paper compares the P / E ratio of the Chinese gem stock market to the NASDAQ, Taiwan OTC, South Korea KOSDAQ, and the Hongkong gem, and analyzes the bubble range and trend of the gem stock market in a more specific and clear way, and takes the quarter as the time dividing point to its bubble degree. And the foam coefficient is measured.
(2) the paper considers the impact of risk premium factors and calculates the beta coefficient combined with the Shanghai stock index and the Shenzhen composite index. On this basis, it calculates the expected return of investors with the capital asset pricing model (CAPM), and uses the mathematical expression of Gordon (Gordon) model to calculate the expected investment recovery period and use the residual income model. The model is used to measure the bubbles in the gem stock market, which makes the measurement results more believable and effective.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】