我国证券市场稳定性研究

发布时间：2018-06-16 00:36

本文选题：稳定性 + 证券市场　；参考：《西南财经大学》2013年硕士论文

【摘要】：我国股票市场经历了22年快速发展,无论是在整体规模上,还是在上市公司的数量上,都已今非昔比。随着2004年以“促进科技创新、产业升级”为主要特征中小板和2009年末年创业板相继推出,我国股票市场对国民经济发挥的作用和影响也越发明显和重要。但从1991年初我国股票市场开市以来,我国股票市场一直伴随着波动性大、投机氛围较浓等特点,这对我国证券市场基本功能(提供投融资渠道、流动性等功能)产生了诸多不利影响,也不利于证券市场经稳定健康的运行和发展。现今,证券市场的市值往往占到国民经济总量的相当比重,2010年我国股市的市值与GDP比率为66.79%,在2007年甚至高达到123.07%。由此可见,保持证券市场的稳定性对于国民经济尤为重要。也正是基于这个原因,近几年来,国内学者针对我国证券市场稳定性这个问题展开了诸多讨论,并取得了很多研究成果。由于到目前为止,证券市场稳定性并没有一个统一的定义。本文首先对证券市场稳定性这个问题产生历史背景和相关文献进行了必要梳理,并在结合实际经验的基础上详细讨论了证券市场稳定性的含义。而不是简单的将证券市场的稳定性与波动率的大小联系起来。这在已有的文献中是没有的。然后,在第三部本文讨论了,从理论上来看对证券市场稳定性影响最大的因素——国家宏观经济运行与我国证券市场的相关关系。通过对不同时间段(1991年至2012年；1997年至2012年)我国证券市场与宏观经的相关关系进行对比分析,本文发现两个现象：第一个是我国证券市场与国民经济的相关性较差,在1997年以前尤为明显,这反映出证券市场作为国民经济“晴雨表”功能的部分缺失。第二个现象是我国证券市场与国民经济的相关性呈逐步提升的趋势,但并没有出现根本性的改善。基于上述原因,本文转向讨论投资者的行为对证券市场稳定性的影响。在论文第四部分和第五部分,本文先后就个人投资者和机构投资者的行为对证券市场稳定性的影响展开讨论。通过对在约束条件下个人投资者的行为进行分析,本文发现个人投资者的行为确实能够对证券市场的稳定性产生不利的影响,个人投资者的“羊群行为”会加剧市场的波动性。因此,管理层“超常规培育机构投资者”,改善投资者结构有其合理性。于是本文就顺理成章的过渡到讨论机构投资者对证券市场稳定性的影响上面。在该部分,分析了在三种不同的情景中,机构够者的行为对证券市场稳定性的影响。在结合实证研究的结论的基础上,本文发现机构投资者的行为也同样会加剧证券市场的波动,产生不利于市场稳定的影响。但是,我国证券市场稳定性较差的根本原因并不在于投资者的行为,而在于做空机制的缺失(2010年以前)和上市公司整体分红水平低,分红状况良好的公司数量少。在本文实证部分,本文考察了不同时间段,我国证券市场的波动性情况,并与美国SP500指数在同期的波动性做了详细的对比。通过实证研究进一步验证了前文所得结论。第七部分是结论和政策建议,在该部分主要是对全文进行总结,并在总结的基础上,试着提出可行的政策建议。
[Abstract]:The stock market of our country has experienced the rapid development in 22 years , whether on the whole scale or in the number of listed companies , the stock market plays an important role in the national economy .

So far , the stability of the security market is not a uniform definition . This paper firstly sorts out the historical background and relevant literature on the stability of the security market , and discusses the meaning of the stability of the security market in detail based on the practical experience . It is not simply linking the stability of the security market with the fluctuation rate .

Then , in the third part , we discuss the factors that influence the stability of the security market , the macro - economic operation of the country and the relationship between the macro - economic operation and the security market in our country .
Compared with the macro - economic relations between 1997 and 2012 , two phenomena are found : the first is the poor correlation between China ' s securities market and national economy , which reflects the deficiency of the stock market as part of the " barometer " function of the national economy . The second phenomenon is the gradual promotion of the correlation between the stock market and the national economy , but there is no fundamental improvement . Based on the above reasons , this paper turns to the discussion of the influence of investors ' behavior on the stability of the security market .

In the fourth part and the fifth part , this paper discusses the influence of individual investors and institutional investors on the stability of the security market . By analyzing the behavior of individual investors under the constraint conditions , it is found that the behavior of individual investors can adversely affect the stability of the security market .

In this part , the influence of the behavior of the institutional investors on the stability of the security market is analyzed in three different scenarios .

In the positive part of this paper , the volatility of the stock market in China is investigated in this paper , and the volatility of the U.S . SP500 index in the same period is compared in detail . The conclusion is further verified through the empirical study .

The seventh part is the conclusion and policy suggestion , in this part mainly to summarize the full text , and on the basis of the summary , try to put forward feasible policy suggestion .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】