民间A股私募交易行为的市场效应研究

发布时间：2018-01-20 02:59

本文关键词： 民间A股私募交易行为市场效应事件研究法　出处：《浙江财经学院》2013年硕士论文　论文类型：学位论文

【摘要】：早在上个世纪九十年代初，证券私募基金就已经崭露头角了，只是一直处于灰色地带,而不为公众所认知。进入二十一世纪，私募基金的发展进入了一个小高潮。根据夏斌（2001）的估算，2001年我国私募基金的规模就已经达到7000-8000亿人民币的市值。2002年以后，由于证券市场行情不景气，私募基金的规模有所收缩，但总规模仍在6000-7000亿元人民币之间。经过近十年的发展，私募基金不但拥有了丰富的种类，而且还拥有了空前的市值。但是学术界对私募基金的研究目前还不完善，而对民间私募的研究更是少之又少。同时，中国至今未出台有关私募基金的完整律法。这使得民间私募快速发展的同时，监管问题也接踵而至。为了能制定贴合实际的法律体系，监管者需要对民间私募进行细致地调查与研究。本文正是出于这个目的，从民间A股私募的行为特征入手，深入研究其市场效应的影响程度，从而为监管者制定相应措施提供依据。由于目前学术界对私募基金的研究视角较为狭窄，大部分成果都是从法律的角度去论证其立法的可行性等，这些研究已经不能充分满足私募基金快速发展的需要，而是需要更为市场化的研究来反应私募基金的特征与现状，所以本文有关市场效应的研究可以增加私募基金研究领域的多样性。另外，本文将研究对象缩小为民间A股私募，学术界至今还未有过相关的研究成果。正是如此，本文选取有“涨停板敢死队”之称的民间A股私募作为研究对象，并且以典型的私募证券营业部席位作为具体的样本数据。首先，本文将上证交易所和深证交易所每日公布的公开信息与典型的私募证券营业部席位相结合，构建起本文的数据样本；其次，本文依托“龙虎榜”，挖掘出民间A股私募交易行为背后的市场效应；同时，本文采用事件研究法这一简洁又有效的方法，解释并分析了民间A股私募的市场效应；最后，根据本文对民间A股私募市场效应的研究，提出相应的金融监管政策建议。总体上，本文可以分为五章，主题框架如下：第一章是导论部分。本章重点阐述了本文的研究背景和研究目的，，对民间A股私募行为特征的现有成果进行总结与归纳，根据前人的研究成果提出本文的研究思路和研究方法，并提出可能的创新之处。第二章是民间A股私募行为特征的理论研究部分。本章通过对民间A股私募的概念、特点、投资策略等特征与公募基金进行对比，提出民间A股私募的独特性，并引入市场效应模型。第三章是民间A股私募市场效应的模型设计部分。本章对民间A股私募市场效应的事件研究法进行具体设计，并且对假设前提、研究对象、研究区间、预期收益的计算、民间A股私募营业部的选择以及样本的筛选进行了分析。本章是本文的核心章节。第四章是民间A股私募市场效应的实证结果部分。本章利用“龙虎榜”样本数据进行实证检验，从“买方”、“卖方”和“整体”三个方面分析了民间A股私募交易行为的市场效应，发现民间A股私募的交易行为对资本市场的正常运行产生很大的负面影响。第五章是本文结论和监管政策部分。本章总结了本文的理论基础和实证研究，基于这些结论，本文提出了一些政策建议。本文发现，民间A股私募的交易行为对金融市场有显著负面影响，民间A股私募的交易介入使得股票市场出现了显著的短期异常波动；同时民间A股私募有扰乱市场秩序的嫌疑，因为民间A股私募的交易介入导致的股票价格剧烈波动，常常属于短期性，伴随着操纵股票价格的嫌疑；并且民间A股私募的操作手法十分灵活、隐蔽。
[Abstract]:As early as the early 1990s , the private equity fund has emerged , but it has been in the gray zone , not for the public . In the twenty - first century , the private equity fund has reached a market value of 7000 - 800 billion yuan . In the past decade , the private equity fund has not only got rich variety , but also has an unprecedented market value . Because of the narrow research angle of the private - equity fund , most of the research results are from the angle of law to demonstrate the feasibility of its legislation , but the research on market effect can increase the diversity of private - equity fund . On the other hand , based on the research on private - equity market effect , this paper puts forward the corresponding suggestions on financial supervision policy . Chapter One is the introduction part . This chapter focuses on the research background and research purpose of this paper , summarizes and sums up the existing achievements of private - equity behavior of folk A - shares , puts forward the research thinking and research methods of this paper according to the previous research results , and puts forward some possible innovations . The second chapter is the theoretical research part of private - equity behavior of folk A - shares . This chapter compares the characteristics of private - equity private placement with public - equity funds , and puts forward the unique characteristics of private - equity private placement , and introduces market - effect model . The third chapter is the part of the model design of private - equity market effect of folk A - share . This chapter designs the event research method of private - equity market effect of folk A - share , and analyzes the hypothesis premise , research object , research interval , the calculation of expected return , the selection of private - equity private - equity - private - equity business department and the screening of sample . This chapter is the core chapter of this paper . The fourth chapter is the empirical result of private - equity market effect of folk A - share . This chapter analyzes the market effect of private - equity - private - equity transaction behavior from " buyer " , " seller " and " whole " by using the sample data of " dragon tiger board " , and finds that the private - private - equity trading behavior of civil A - shares has a great negative impact on the normal operation of capital market . The fifth chapter is the conclusion and supervision policy part of this paper . This chapter summarizes the theoretical foundation and empirical research of this paper . Based on these conclusions , some policy suggestions are put forward . In this paper , the private placement of private equity private placement has a significant negative impact on financial markets , and the private placement of private equity in private equity makes the stock market have marked short - term abnormal volatility ; meanwhile , the private placement of civil A - shares is suspected of disrupting the market order , which is often short - term , accompanied by suspicion of manipulating stock price ; and the private placement of private A - shares is flexible and concealed .

【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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