中国证券市场熔断机制的有效性研究

发布时间：2018-05-18 01:14

本文选题：熔断机制 + 价格限制　；参考：《广西大学》2017年硕士论文

【摘要】：熔断机制是起源于美国的一种价格限制机制,其通过降低市场波动性,冷却市场情绪,防止市场过度反应,避免发生股市暴涨暴跌。我国证券市场的熔断机制在借鉴国外证券市场经验的基础上,从2016年1月1日起正式实施。然而熔断机制实施后4天便4次触及熔断,为防止股价的进一步下跌,上交所于1月7日连夜暂停熔断机制的实施,虽然只有短短的几天,但对我国股市的影响不可小觑。研究我国证券市场熔断机制的有效性,有助于我们认识和理解证券市场的价格限制机制,有助于我们分析我国证券市场所存在的问题。对于未来我国证券市场设立价格限制机制,维护证券市场有序健康发展有着重要意义。本文将从熔断机制的起源着手,介绍熔断机制产生和发展的过程,并比较各国证券市场的熔断规则。然后阐述我国A股市场的熔断规则,结合2016年1月4日至2016年1月5日我国A股市场行情,分析股票价格波动率、沪深300指数分时成交量和股票收益率变动速度,对我国A股市场的熔断机制的有效性进行验证。研究结果表明,熔断机制在我国证券市场并没有起到相应作用,价格限制反而造成了市场的剧烈波动。最后比较我国与国外发达国家熔断机制的区别,提出对熔断机制的改进建议。
[Abstract]:Fusing mechanism is a kind of price restriction mechanism originated in the United States. It can reduce market volatility, cool market sentiment, prevent market overreaction and prevent stock market from skyrocketing and plummeting. On the basis of drawing lessons from the experience of foreign securities markets, the fuse mechanism of China's securities market has been formally implemented since January 1, 2016. In order to prevent the share price from falling further, the Shanghai Stock Exchange suspended the implementation of the mechanism overnight on January 7, although only a few days, the impact on China's stock market cannot be underestimated. The study of the validity of the fuse mechanism in China's securities market is helpful for us to understand and understand the price restriction mechanism of the securities market and to analyze the problems existing in the securities market in our country. It is of great significance for the establishment of price restriction mechanism and the maintenance of orderly and healthy development of securities market in our country in the future. In this paper, the origin of the fusing mechanism is introduced, the process of the emergence and development of the fusing mechanism is introduced, and the rules of the fusing in the securities markets of various countries are compared. Secondly, the melting rules of China's A-share market are expounded, and the volatility of stock price, time-sharing turnover of CSI 300 index and the rate of change of stock yield are analyzed in combination with the A-share market from January 4, 2016 to January 5, 2016. This paper verifies the validity of the melting-off mechanism of A-share market in China. The results show that the fusing mechanism does not play a corresponding role in China's securities market, and price restriction causes the market to fluctuate violently. Finally, the differences between our country and developed countries are compared, and some suggestions for improving the mechanism are put forward.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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