基于沪股通标的股的F-F扩展模型适用性研究

发布时间：2018-05-02 09:41

本文选题：沪股通 + 风险溢价　；参考：《东华大学》2017年硕士论文

【摘要】：目前,上交所、深交所成立至今约26年,我国证券市场已经发展成一个多层次、多结构、逐渐完善的资本市场,股市成为我国经济发展和融资重要的媒介。在政府的大力推动下,连接内地和香港资本市场的沪港通(沪股通和港股通)正式开通,沪股通将为深港通、沪伦通的开通奠定基础。由于其在中国资本市场开放的研究方面具有重要意义,引起学者的广泛关注。另外,流动性风险溢价和资产定价也是近几年主要研究方向之一。本文以沪股通为研究标的,分析股票市场流动性风险溢价效应、规模效应和价值效应,进行资产定价模型适用性研究,进一步对比分析沪股通开通这一事件的影响作用。本文首先进行沪股通标的股定价模型适用性研究,具体分组包括沪股通标的股开通前(2012/1-2014/11/17)、沪股通开通后(2014/11/17-2016/9/30)和上证A股(剔除沪股通标的股)三组对象。实证结果显示:在沪股通开通前、沪股通开通后以及上证A股市场(剔除沪股通标的股)三组中均存在规模效应、价值效应、流动性风险效应,而经典的CAPM模型不能解释市场的规模效应、价值效应、流动性风险效应;加入SMB和HML的F-F三因子模型可以解释研究标的的规模效应和价值效应,但是不能解释沪股通市场流动性风险溢价效应。为解决流动性溢价问题,本文通过改进Amhuid的流动性指标建立衡量流动性的指标的流动性因子。而引入流动性因子的F-F扩展模型对规模效应、价值效应和流动性风险效应都能很好的解释,所以本文中建立的基于流动性因子的F-F扩展模型在沪股通开通前和沪股通开通后的市场均是有效的,同样F-F扩展模型在上证A股(剔除沪股通)也是有效的,即本文构造的基于流动性因子的F-F扩展模型适合我国股票沪股通标的股市场和上证A股市场定价研究。基于加入流动性因子的F-F扩展模型在我国沪股通市场和上证A股市场(剔除沪股通)是有效的,本文进一步利用该模型检验沪股通开通前后和上证A股市场(剔除沪股通)市场是否存在差别。结果显示:市场风险溢价仍然是影响股票超额收益最主要的影响因素;但可能因市场的不同导致基于流动性因子的F-F扩展模型在不同市场的解释力度存在一定的差异,其中F-F扩展模型对沪股通开通后股票超额收益的解释能力明显高于在沪股通开通前和上证A股市场(剔除沪股通),回归系数显示沪股通开通后账面市值效应对股票价格的影响力更大,而系统性风险、规模效应和流动性溢价效应的影响力有所降低,即沪股通开通后投资者更注重价值因子的影响作用,即有利于投资者回归价值投资。
[Abstract]:At present, the Shanghai Stock Exchange and Shenzhen Stock Exchange have been established for about 26 years, the securities market of our country has developed into a multi-level, multi-structure and gradually perfect capital market, and the stock market has become an important medium for the economic development and financing of our country. The Shanghai-Hong Kong Stock Connect (Shanghai Stock Connect and Hong Kong Stock Connect), which links the mainland and Hong Kong capital markets, will lay the foundation for the opening of the Shenzhen-Hong Kong Stock Connect and the Shanghai-Hong Kong Stock Connect. Because of its important significance in the research of Chinese capital market opening, scholars pay more attention to it. In addition, liquidity risk premium and asset pricing are also one of the main research directions in recent years. This paper analyzes the liquidity risk premium effect, scale effect and value effect of stock market, studies the applicability of asset pricing model, and further compares the impact of the opening of Shanghai Stock Connect. This paper firstly studies the applicability of the pricing model of the Shanghai Stock Connect bid, including three groups of objects: Shanghai Stock Exchange A (excluding the Shanghai Stock Connect) and Shanghai Stock Exchange A (excluding the Shanghai Stock Connect) after the launch of the Shanghai Stock Connect, which includes the following three groups: 2012 / 1-2014 / 11 / 17 / 17 / 17, 2014 / 11 / 17 / 9 / 30 and Shanghai Stock Exchange A (excluding the Shanghai Stock Connect). The empirical results show that there are scale effect, value effect and liquidity risk effect in Shanghai Stock Exchange and Shanghai Stock Exchange A stock market before and after the opening of Shanghai Stock Connect. However, the classical CAPM model can not explain the scale effect, value effect and liquidity risk effect of the market, and the F-F three-factor model with SMB and HML can explain the scale effect and value effect of the research object. But can not explain Shanghai stock market liquidity risk premium effect. In order to solve the liquidity premium problem, this paper establishes a liquidity factor to measure liquidity by improving the liquidity index of Amhuid. The F-F extended model with liquidity factor can explain the scale effect, value effect and liquidity risk effect. Therefore, the F-F expansion model based on liquidity factor established in this paper is effective before and after the opening of the Shanghai Stock Connect, and the F-F extension model is also effective in Shanghai Stock Exchange A (excluding the Shanghai Stock Connect). That is, the F-F extended model based on liquidity factor is suitable for the pricing research of Shanghai Stock Exchange and Shanghai Stock Exchange. The F-F expansion model based on the liquidity factor is effective in the Shanghai Stock Connect Market and Shanghai Stock Exchange A Stock Market (excluding the Shanghai Stock Connect). This paper further uses this model to test whether there are differences between Shanghai Stock Exchange and Shanghai Stock Exchange A stock market before and after the opening of the Shanghai Stock Connect (excluding Shanghai Stock Connect) market. The results show that the market risk premium is still the most important factor affecting the excess return of stock, but the F-F expansion model based on liquidity factor may have some differences in the interpretation in different markets. The ability of F-F extended model to explain the excess return of stock after the opening of Shanghai Stock Connect is obviously higher than that of Shanghai Stock Exchange and Shanghai Stock Exchange (excluding the Shanghai Stock Connect, the regression coefficient shows that the book market value effect on stocks after the opening of Shanghai Stock Connect is higher than that of Shanghai Stock Exchange.) The price of the ticket is more influential, However, the influence of systemic risk, scale effect and liquidity premium effect is reduced, that is, investors pay more attention to the influence of value factor after the opening of Shanghai Stock Connect, that is, it is favorable for investors to return to value investment.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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