分级基金与股市稳定性研究

发布时间：2018-03-20 19:05

本文选题：分级基金　切入点：股市稳定性　出处：《长春工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国股票市场诞生在上个世纪90年代,当时是为国企融资服务的。可到了2005年之后,随着股改的基本完成,其发展迅猛,股市支持经济发展的投、融资作用得到了进一步的发挥。但由于我国股票市场中小投资者众多、政策市痕迹明显等因素的存在,暴涨暴跌的情况时有发生。就近两年的情况看,2015年7—8月,发生了5178?3373点、4184?2850点两次股灾,2015年11月—2016年2月,又发生了3684?2638点股灾。短短的半年多时间竟然发生了三次股灾,极大地影响了市场的正常发展。由此可见,要使我们的证券市场健康发展,急需大量的机构投资者,而我国证券投资基金正是这样一只主力军。如何发挥我国证券投资基金的重要作用,关系到证券市场能否健康发展,进而会影响我国经济的转型能否成功,所以,投资基金对股市的影响作用越来越重要。而随着证券投资基金加速发行,其品种也越来越丰富,分级基金就是近年来发展最快的投资产品之一,它不同风险的结构性设计吸引了众多投资者,分级基金从2007年诞生,到2015年就已经发行了220只,其总体规模也在迅速增加。但随着2015年股灾的出现,分级基金的B类份额出现下折潮,这既暴露了分级基金自身存在的问题,也加剧了股市的动荡,因此,对分级基金未来发展及其对股市稳定性影响方面的研究,具有重要的现实意义。本文分别从理论和实证两个角度研究了分级基金对股市稳定性的影响作用,首先从理论层面来分析,基于分级基金和股价波动的发展现状,从投资组合、交易策略和规模效应等角度分析了分级基金的推出对股市稳定性的积极作用和消极作用;其次从实证方面来分析,主要运用GARCH(1,1)和EGARCH(1,1)模型对深圳证券市场股指日收益率数据进行实证检验,并以分级基金的入市交易时间作为数据区间划分依据,对比分析分级基金入市前后股价的波动情况。实证检验结果显示,分级基金的推出并没有起到稳定股市的作用,反而还加剧了股价的异常波动,而且杠杆效应更加显著。分级基金未能发挥维稳股市作用的主要原因有证券市场的不完善、分级基金自身的问题和投资者的非理性投资行为等。对此,本文从证券市场、分级基金和投资者三个角度出发提出了针对性的改进对策,可以为证券市场的完善和分级基金的发展提供科学的指导建议。
[Abstract]:The stock market of our country was born in -10s, when it served the financing of state-owned enterprises. After 2005, with the basic completion of the stock reform, the stock market developed rapidly, and the stock market supported the investment of economic development. The role of financing has been further developed. However, due to the large number of small and medium-sized investors in the stock market in China, the existence of obvious policy market traces and other factors, the situation of soaring and plummeting has occurred from time to time. Looking at the situation in the last two years, from July to August of 2015, 5178? 3373 points, 41844? 2, 850: 00, November 2015-February 2016, 3684? The 2638 point stock disaster. In a short period of more than half a year, there were three stock disasters, which greatly affected the normal development of the market. Thus, it can be seen that in order to make our securities market develop healthily, a large number of institutional investors are in urgent need. The securities investment fund of our country is such a main force. How to give full play to the important role of the securities investment fund in our country is related to the healthy development of the securities market and will affect the success of the economic transformation of our country, so, The influence of investment funds on the stock market is becoming more and more important. As the issuance of securities investment funds accelerates, the variety of investment funds is becoming more and more abundant, and graded funds are one of the fastest growing investment products in recent years. Its structural design of different risks has attracted many investors. Since its inception in 2007, it has issued 220 funds since 2015, and its overall size has been increasing rapidly. But with the 2015 stock market crash, Class B shares of graded funds have a downward trend, which not only exposes the problems existing in the graded funds themselves, but also exacerbates the volatility of the stock market. Therefore, the study on the future development of graded funds and their impact on the stability of the stock market, This paper studies the influence of graded funds on the stability of stock market from both theoretical and empirical perspectives. First of all, it analyzes the impact of graded funds and stock price volatility from the perspective of theory, based on the current development of graded funds and stock price volatility, from the perspective of investment portfolio. From the perspective of trading strategy and scale effect, this paper analyzes the positive and negative effects of the introduction of graded funds on the stability of the stock market. This paper mainly uses the models of GARCH1) and EGARCH1) to test the daily return data of stock index in Shenzhen stock market, and takes the trading time of classified funds as the basis of dividing the data interval. The empirical results show that the introduction of graded funds does not play a role in stabilizing the stock market, on the contrary, it exacerbates the abnormal volatility of stock prices. Moreover, the leverage effect is more obvious. The main reasons for the failure of graded funds to maintain stable stock market are the imperfections of the securities market, the problems of the graded funds themselves and the irrational investment behavior of investors. The paper puts forward the corresponding improvement countermeasures from three angles: classified funds and investors, which can provide scientific guidance suggestions for the improvement of securities market and the development of graded funds.
【学位授予单位】：长春工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】