金融上市公司投资价值与股票市场表现的相关性研究

发布时间：2018-01-06 17:07

本文关键词：金融上市公司投资价值与股票市场表现的相关性研究　出处：《长江大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国证券市场从1990年成立以来,迄今已走过了20个年头。作为连接上市公司和投资者的枢纽,证券市场在推动我国市场经济的发展和成熟方面做出了重要贡献。但是,作为一个新兴的快速发展市场,证券市场目前还存在很多不足,股票市场表现脱离了上市公司运行的基本层面,投资者在资本市场上大多依靠价格波动所形成的价差来获取资本利得,这就给了市场操纵者利用大量资金操纵股票价格以获取利益的机会,股市沦为庄家敛财的工具,严重损害了中小投资者的利益。而造成这些现象的根本原因在于我国证券市场的管理不够规范,还未形成一套有效的资本市场管理机制,这是目前我国资本市场最严重也是亟待解决的问题。金融行业是巨额资金的集散中心,牵涉面广,联动性强,在国民经济中处于牵一发而动全身的地位,因此各国政府都十分重视金融行业的发展。改革开放以来,我国开始对金融行业进行体制改革,如今,已经形成了一个以专业银行为主体,中央银行为核心,各种银行和非银行金融机构并存的现代金融体系。由于金融业的在国民经济中的重要地位,以及国家政策的大力支持,它已成为股民心中最具投资价值的行业之一。而金融上市公司作为金融行业的领头羊,在经营管理上应该充分发挥示范与辐射效应,因此为了更好地分析我国证券市场的有效性问题,本文选择金融上市公司作为研究对象,通过对金融上市公司投资价值与股票市场表现关系的研究,寻求金融上市公司股票价格偏离投资价值的原因,从而规范金融上市公司的经营管理,促进金融市场积极健康发展。从投资者角度来说,中国的证券市场经历了二十多年的发展,虽然取得了一定的进步,但是市场投机行为仍然明显。一个成熟的投资者购买股票时的决策依据应该是上市公司的投资价值,而不是抱着赌博的心态进行“低买高卖”,通过研究上市公司的投资价值和股票市场表现的相关性可以帮助投资者发现我国证券市场存在的问题,从而减少其投机行为,进行理性投资。本文以市场经济的价值规律为理论基础,采用实证分析的研究方法,以我国A股42家金融上市公司为研究对象,通过分析2008-2012年五年的相关数据来研究上市公司的投资价值以及上市公司投资价值与其股票市场表现之间的相关性,进而说明我国证券市场的有效性问题,以期为投资者进行股票投资提供依据。全文分为五个部分：第一部分是绪论,从我国证券市场的发展历程、现状、存在的问题,以及金融上市公司的特点等方面,分析了本文选题的背景及意义,总结了国内外学者在企业价值评估及企业投资价值与股票市场表现之间的关系等方面做出的贡献,确定了论文的研究内容、研究方法及整体框架。第二部分是对上市公司投资价值和股票价格基础理论的梳理,分析了影响上市公司投资价值的因素,重点总结了投资价值评估的方法以及对上市公司投资价值进行评估的重要意义,通过对相关理论的梳理为论文的展开奠定坚实的理论基础。第三部分是论文的研究重点之一,选取沪深证券交易所上市的42家金融上市公司作为研究对象,搜集了其2008-2012年五年的能够反映上市公司投资价值的数据,建立了综合考虑上市公司盈利能力、营运能力、成长能力、偿债能力的投资价值评价指标体系,并运用因子分析法计算出各上市公司投资价值的综合得分及排名,据此可以直观的看出投资价值较大的上市公司。第四部分是在第三部分基础上的深入,为了说明金融上市公司投资价值与股票市场表现之间的相关性,将计算出的上市公司投资价值的综合得分值作为投资价值指标；将能够反映上市公司股票市场表现的指标分为市场行情指标(包括年均价、年成交额、年收益率、年振幅、年涨跌幅、年换手率等)和市场风险指标(包括年化波动率、beta值等),通过建立这两类指标的相关分析模型,运用pearson相关系数探讨二者之间的相关性,得出投资价值与股票市场表现之间的相关关系。第五部分是对全文的总结,给出了论文研究的三条结论,第一,我国金融上市公司股票市场表现严重偏离其投资价值；第二,我国证券市场有效性缺失的现象并未出现持续改善的趋势；第三,对上市公司投资价值的分析可以采用因子分析法等综合评价方法。针对我国证券市场有效性缺失的原因提出了改进措施：第一,政府应该充分发挥领导作用,积极引导证券市场健康发展；第二,完善市场机制,健全上市公司信息披露制度,第三,提高上市公司的经营管理水平。
[Abstract]:Since its establishment in 1990 , China ' s securities market has passed 20 years . As a hub for connecting listed companies and investors , the securities market has made important contributions in promoting the development and maturity of the market economy . However , as a new and rapid development market , the stock market has been separated from the basic level of the operation of the listed company . The fundamental reason for these phenomena lies in that the management of the stock market is not standardized and the effective capital market management mechanism is not formed , which is the most serious problem in China ' s capital market . Since the reform and opening - up , our country has already formed a modern financial system with its main body and central bank as its core , various banks and non - bank financial institutions . Since the financial industry has become an important position in the national economy and the strong support of the national policy , it has become one of the most valuable industries in the people . As the leader of the financial industry , financial listed companies should give full play to the demonstration and radiation effect in the management and management , so as to analyze the relationship between the investment value of the financial listed companies and the performance of the stock market , the paper selects the financial listed company as the research object , so as to regulate the operation and management of the financial listed company and promote the healthy development of the financial market . Based on the value law of market economy , this paper studies the investment value of listed companies and the correlation between the investment value of listed companies and their stock market performance by analyzing the relevant data from 2008 to 2012 . The first part is the introduction , from the development course of our security market , the present situation , the existing problems , and the characteristics of the financial listed company , this paper analyzes the background and significance of this paper , summarizes the research content , the research method and the whole frame of the thesis . The second part is to sort out the investment value of listed companies and the basic theory of stock price , analyze the factors that affect the investment value of listed companies , focus on the methods of investment value evaluation and the important significance of the evaluation of the investment value of listed companies . The third part is one of the research focuses of the thesis , and the 42 financial listed companies listed on the Shanghai - Shenzhen Stock Exchange are selected as the research objects , and the data that can reflect the investment value of listed companies in 2008 - 2012 is collected , and the comprehensive score and ranking of the investment value of the listed companies are calculated by using the factor analysis method , so that the listed companies with larger investment value can be seen intuitively . The fourth part is on the basis of the third part , in order to illustrate the correlation between the investment value of the financial listed company and the performance of the stock market , the comprehensive score of the investment value of the listed company is regarded as the investment value index , and the index which can reflect the performance of the stock market of the listed company is divided into the market price index ( including annual average price , annual turnover , annual yield , annual amplitude , annual fluctuation rate , annual turnover rate , etc . ) and market risk index ( including annual fluctuation rate , beta value , etc . ) , and the correlation between the two types of indexes is discussed by using the correlation analysis model of the two types of indexes , and the correlation between the investment value and the performance of the stock market is obtained . The fifth part is the summary of the whole text , and gives three conclusions of the paper . First , the stock market performance of China ' s financial listed company deviates from its investment value seriously ; secondly , the analysis of the investment value of the listed company can adopt the comprehensive evaluation method such as factor analysis method . First , the government should give full play to the leadership role , actively guide the healthy development of the securities market ; secondly , perfect the market mechanism , perfect the information disclosure system of the listed company , and thirdly , improve the management level of the listed company .

【学位授予单位】：长江大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42;F832.51;F276.6

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