对冲基金对中国A股市场的影响研究

发布时间：2018-02-24 11:41

本文关键词： 对冲基金 A股市场影响性 VAR模型 GARCH模型　出处：《山西财经大学》2013年博士论文　论文类型：学位论文

【摘要】：从1637年的荷兰郁金香投机到2011年的欧债危机，全球经历了十次以上破坏力大、持续时间久、影响面广的金融危机。每次危机中，总有一种特殊的投资群体活跃于证券市场，金融危机非但没有严重影响他们，他们反而通过金融衍生品和复杂的交易策略创造了利润。在国际大型投行和商业银行大量卖出有价证券的时候，这种特殊的投资群体却在悄悄的接盘。他们就像证券市场的润滑剂，在市场价格较高时卖出有价证券，在市场价格较低时又买回有价证券，这种交易行为间接缓冲了证券市场的剧烈波动，这种特殊的群体就是国际对冲基金。经过多年的摸索与研究，2010年初，中国证监会正式开通了证券市场两项最重要的对冲工具-股指期货和融资融券交易，为中国发展对冲基金奠定了基础。近年来，国际对冲基金通过投资公司的组织形式逐步进入了中国金融市场，被称为中国本土对冲基金主力军的阳光私募也不断壮大起来。然而，在没有任何实践经验和风险可控的情况下，如何发展对冲基金是摆在中国监管层面前的一个重要课题。美国华尔街是主导当今全球金融市场的核心力量，其财富管理行业规模全球第一，其金融工程行业也是全球金融产品创新的领头羊。美国金融界信奉金融自由理念，没有货币管制为其金融市场提供了最大的资金基础，使其金融市场交投最为活跃，吸引了全球各大投资者机构参与投资。2010年，除去国家主权财富基金和ETF，全球财富管理行业总规模约83.6万亿美元，美国占比45%。全球对冲基金占总投资额2.1%，美国对冲基金占比68%①。所以，美国是全球财富管理规模最大的国家，全球多数对冲基金汇聚于美国。本文将借鉴美国的经验，分析美国对冲基金的收益、风险与监管，结合中国对冲基金当前的发展，，研究对冲基金对证券市场中A股市场的影响性。由于中国只有融资融券和股指期货两种对冲工具，而分别使用这两种对冲策略的对冲基金通常为多空权益型和指数期货型，所以本文将拟合这两种对冲工具的实证数据模型，检验中国多空权益型对冲基金和指数期货型对冲基金对A股的影响性。目的是为市场参与主体理解发展对冲基金的价值和意义。也可以在一定程度上解决监管层对发展对冲基金的顾虑，使监管机构客观理解对冲基金对中国财富管理行业与证券市场的积极作用。同时，也为监管机构应对发展对冲基金和金融衍生品所需要进行的一系列改革提出建议。本文通过拟合VAR模型和VEC模型检验融资融券对A股市场的影响性，并利用Granger因果检验、脉冲响应函数和方差分解检验了融资融券与市场的关系。同时，本文通过建立ARCH模型、GARCH模型及其扩展模型检验了股指期货对A股市场的影响性和信息非对称性冲击。本文认为以两种对冲工具为代表的对冲基金策略并不是导致市场异常波动的因素，反而起到了缓和市场波动的作用。所以，应当进一步放开管制，发展这两项业务，尤其是融资融券业务。应当在现有允许卖空的蓝筹股的基础上，逐步放开中小板和创业板标的卖空资格，使A股所有的企业都可以参与融资融券业务，这样，可以通过市场的力量剔除滥竽充数的垃圾企业，保护投资者利益。同时，在时机成熟时，监管层应当进一步开通期权和掉期等业务，从而进一步完善市场多样化的交易体系。最后，逐步引入国际优秀的对冲基金进入中国市场参与竞争，不但可以进一步提升中国基金行业的国际竞争力，而且可以引导中国影子银行的资金流进入证券市场，从而使证券市场更对称的发挥其投融资平台功能，实现中国财富管理行业的大发展。
[Abstract]:From 1637 to 2011 the Holland tulip speculation of the debt crisis, the world has experienced ten times more destructive, long duration, wide influence of the financial crisis. Each crisis, there is a kind of special investment groups active in the securities market, the financial crisis has not only seriously affect them, but they use financial derivatives and complex trading strategies creates profit. In large investment banks and commercial banks have sold a lot of international securities investment, this special group has quietly in the next disc. They like the stock market in the lubricant, the market price is high to sell securities in the market when the price is low and buy price securities, such transactions indirectly buffer stock market volatility, this special group is the international hedge fund.
After years of exploration and research, at the beginning of 2010, China Commission officially opened the two most important tools of securities market to hedge the stock index futures and margin trading, which laid the foundation for the development of Chinese hedge funds. In recent years, the international hedge fund investment through the form of organization of the company gradually entered the Chinese financial market, known as Chinese local hedge funds is the main force of private sun is also growing up. However, in the absence of any practical experience and controllable risk, how to develop a hedge fund is in the front of Chinese regulators to issue.
The Wall Street is the core leading force in today's global financial market, the wealth management industry first in the world, the financial engineering industry is one of the world's financial product innovation leader. The American financial circles believe in the concept of financial freedom, no currency controls for the financial market to provide the basis for the largest funds, the financial market is the most active, attracting major institutional investors to participate in the global investment.2010, removal of sovereign wealth funds and ETF, the total size of the global wealth management industry about $83 trillion and 600 billion, the United States accounted for 45%. global hedge fund accounted for 2.1% of total investment, the U.S. hedge funds accounted for 68%. Therefore, the United States is the world's largest wealth management the country, most hedge funds around the world gathered in the United States. This paper will draw on the experience of the United States, the United States Analysis of hedge fund returns, risk and supervision, combined with the Chinese hedge fund when Before the development of research on hedge funds impact on the stock market in A stock market. Because of China only two kinds of margin trading and stock index futures hedging instruments, respectively, using the two hedging strategies of hedge funds is usually long and short index futures and equity type, so the quasi empirical data model of these two kinds of hedge the inspection tools, Chinese straddle the hedge funds and equity index futures hedge funds impact on the A shares. The purpose is the value and significance for market participants to understand the development of hedge funds. Can also solve the regulators on the development of hedge fund concerns to a certain extent, regulators have positive effects on objective understanding of hedge funds China wealth management industry and securities market. At the same time, but also for the development of regulatory agencies to deal with hedge funds and financial derivatives to propose a series of reforms.
In this paper, by fitting the VAR model and VEC model test of margin effect on A stock market, and using the Granger causality test, impulse response function and variance decomposition to examine the relationship of margin financing and market. At the same time, through the establishment of ARCH model, GARCH model and its extended model to test the impact of stock index futures on the A stock market and the impact of information asymmetry. This paper argues that in two as the representative of the hedge hedge fund strategy does not lead to abnormal fluctuation of the market, but to ease market volatility. So, should further open control, development of the two business, especially the margin trading business. Should be based on the existing allowed short blue chips, the gradual liberalization of the small board and gem short subject qualification, the A shares of all enterprises can participate in margin trading business, so, by market force Abscind every one of the garbage business, protect the interests of investors. At the same time, when the time is ripe, regulators should further open options and swaps business, to further improve the diversification of the market trading system. Finally, the gradual introduction of outstanding international hedge fund China into the market to participate in the competition, not only can further enhance the international competitiveness of China fund industry. And can guide the shadow banking Chinese cash flow into the stock market, so that the securities market play a more symmetrical and its investment and financing platform, to achieve great development of Chinese wealth management industry.

【学位授予单位】：山西财经大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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