股市规模与市场波动性关系研究

发布时间：2018-03-29 02:37

本文选题：股市规模　切入点：波动性　出处：《安徽财经大学》2013年硕士论文

【摘要】：随着我国股票市场的日益发展与日渐成熟,股市规模在不断的壮大,可是股票市场的稳定性却面临着越来越大的挑战,股价波动频繁且剧烈使得越来越多的投资者望而却步。因此,股票市场的风险控制即维持市场的稳定性显得越来越重要。经过理论界与实务界的多年观察与研究,股市规模与市场波动性这两者之间密切相关。在促成股市规模的众多因素中,一些因素对波动性的影响比较大。市场的一定波动对股市规模的扩容有促进作用,可是频繁的波动却起了相反的作用。本文首先基于经济发展、政策因素、风险因素以及供求均衡原理的四个角度进行了比较与分析,从理论的角度来阐述股市规模与市场波动性二者之间的联系；然后在宽泛的股市规模定义中,选取了总市值、总股本、上市公司总数、上市股票总数、开户人数五个比较全面又具有代表意义的度量指标,在基于这五个指标的基础上用统计描述的方法分析了我国股市规模近十年的变化和发展趋势,再采用EGARCH的非对称模型对上海股票市场收益率的波动性进行实证研究,并在此基础上分析市场波动性的特征；最后,选取VAR模型对股市规模与市场波动性二者之间的关系进行实证分析。通过实证的分析结果发现,股市规模的扩容会对市场波动性造成一定的影响,在所选取的五个指标中,特别是总市值、上市公司总数与开户人数的作用尤为明显。与此同时,市场波动性在一定程度上也给股市规模的变化带来一定的冲击。在实证分析结果的基础上,进一步从股票市场的宏观因素与微观因素两个大方面对二者相互影响的原因进行深层研究,最后在实证结果与成因分析的基础上,从我国股票市场的运营机制、法律监督、市场参与者行为等方面提出政策建议,进一步促进我国股市规模与股票市场之间稳定、协调地发展。
[Abstract]:With the development and maturity of the stock market in our country, the scale of the stock market is growing, but the stability of the stock market is facing more and more challenges. The frequent and violent fluctuation of stock price makes more and more investors stay away. Therefore, it is more and more important to control the risk of stock market, that is, to maintain the stability of the market. The size of the stock market is closely related to the volatility of the market. Among the many factors contributing to the scale of the stock market, some factors have a greater impact on volatility. But frequent fluctuations do the opposite. Firstly, this paper compares and analyzes the four angles of economic development, policy factors, risk factors and the principle of equilibrium between supply and demand, and expounds the relationship between stock market scale and market volatility from the perspective of theory. Then, in the broad definition of stock market scale, we select five relatively comprehensive and representative metrics such as total market value, total share capital, total listed companies, total listed stocks, and the number of accounts opened. On the basis of these five indexes, the paper analyzes the change and development trend of stock market scale in China in the past ten years by using statistical description method, and then makes an empirical study on the volatility of Shanghai stock market return by using the asymmetric model of EGARCH. On this basis, the characteristics of market volatility are analyzed. Finally, VAR model is selected to analyze the relationship between stock market size and market volatility. Through the empirical analysis, it is found that the expansion of the stock market size will have a certain impact on market volatility, especially among the five selected indicators, especially market value, the total number of listed companies and the number of accounts opened, the role of the total number of listed companies is particularly obvious. To a certain extent, market volatility also has a certain impact on the change of stock market size. This paper further studies the causes of the mutual influence of the two factors from the macro and micro aspects of the stock market. Finally, on the basis of the empirical results and the analysis of the causes, the author analyzes the operation mechanism and legal supervision of the stock market in China. In order to promote the stable and harmonious development between the stock market scale and the stock market, the paper puts forward some policy suggestions on the behavior of market participants.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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