中国证券市场风险防范研究

发布时间：2017-12-28 19:31

  本文关键词：中国证券市场风险防范研究　出处：《辽宁大学》2016年博士论文　论文类型：学位论文

  更多相关文章： 证券市场 风险防范 对策 异常波动 监管 制度

【摘要】：本文以中国证券市场风险防范为研究对象,从宏观经济和监管制度层面探讨证券市场风险的成因、度量和对风险控制的对策。中国证券市场经过二十多年的发展历程表明,以转轨经济为背景的中国股票市场是一个特殊的新兴市场,导致2015年我国证券市场发生了剧烈的异常波动。本文对此次行情的波动从宏观经济侧面、监管制度层面进行了较为深刻的实证分析。通过研究认为,发达国家证券市场风险防范理论主要是防止机构投资的风险,而我国的风险防范则要高度重视散户的投资风险。本文共分为7章：第1章引出研究问题,并阐明论文研究的背景及研究的现实意义和理论意义提出全文的主要研究对象：中国证券市场风险防范及对策。介绍中国证券市场的现状,说明本文研究理论意义和实际作用。第2章对前人已有的证券市场风险的识别、度量、风险防范、市场风险对宏观经济的影响及金融危机理论进行了较为系统、全面的的文献回顾和评述。第3章从风险定义、风险分类、风险成因三个方面探讨了证券市场风险的一般理论。从引起证券市场风险的内部和外部因素对风险内涵进行了分析。运用凯恩斯、斯密斯、萨缪尔森的理论探讨了政府是否应该干预证券市场。最后运用道德风险理论、货币面纱理论及最后贷款人理论来分析政府救市的必要性。第4章探讨了证券市场风险指标体系,通过建立VAR模型实证检验宏观因素和经济环境的外部冲击对我国故事压力风险造成的影响。第二部分对政策因素做了四种分类,在原有CSSI压力指数模型的基础上,建立多元线性回归模型,从而探讨政策因素对我国股市的影响。第5章对中国资本市场的发展的历史轨迹和其自身特点进行详细论述。并对中国证券市场在2007年和2015年经历的两次异常波动进行分析。其发生波动的根本原因主要来自以下几个方面：金融创新及过度杠杆化、政策层面的过度推动、监管部门政策的失误、宏观经济形势不乐观及投资者风险意识不强等。最后对股灾暴露出来的我国证券市场存在的问题及带给我们的启示以及股灾给宏观经济层面带来的影响做了进一步探讨。第6章对世界各国的证券市场的风险防范机制和体系进行了比较,对我国可以借鉴的地方进行了提炼。同时将国际上曾经发生的过得股灾按照杠杆驱动型、经济泡沫型、热钱、汇率引致型进行分类探讨。第7章我国证券市场风险防范的对策。本章阐述了当前环境下我国证券市场面临的总总问题。综合前面章节的研究结果,提出对防范系统性风险需采取的监管方式和对策做出的思考。首先在制度层面上需要优化我国的信息披露制度、涨跌停板制度、发行及退市制度。同时需要解决“一行三会”监管模式存在的监管真空,强化投资者保护机制、大力培育机构投资者及降低创业板高估值。最后在金融环境层面需要防止违规杠杠资金进入股市及保持人民币汇率的稳定。
[Abstract]:Taking risk prevention in China's securities market as the research object, this paper discusses the causes, measurement and risk control countermeasures of securities market risk from the perspective of macroeconomic and regulatory system. After more than 20 years of development, China's stock market shows that China's stock market under the background of transition economy is a special emerging market, resulting in a severe abnormal fluctuation in China's stock market in 2015. This paper makes a more profound empirical analysis on the fluctuation of the market from the macro economic side and the regulatory system level. Through research, we believe that the risk prevention theory of stock market in developed countries is mainly to prevent the risk of institutional investment, while China's risk prevention should attach great importance to the investment risk of retail investors. This paper is divided into 7 chapters: the first chapter leads to the research questions, and illustrates the background and the practical significance and theoretical significance of the research. The present situation of China's securities market is introduced, and the theoretical and practical role of this paper is illustrated. The second chapter makes a systematic and comprehensive review and comment on the previous identification, measurement, risk prevention, market risk and macroeconomic impact of the stock market risk. The third chapter discusses the general theory of risk in the securities market from three aspects of risk definition, risk classification, and risk causes. The risk connotation is analyzed from the internal and external factors that cause the risk of the securities market. The theory of Keynes, Smith and Samuelson is used to discuss whether the government should intervene in the securities market. Finally, we use the theory of moral hazard, the theory of currency veil and the lender of last resort to analyze the necessity of the government saving the market. The fourth chapter discusses the index system of stock market risk, and establishes the VAR model to empirically test the impact of external shocks of macro factors and economic environment on China's story pressure risk. The second part makes four classifications for policy factors. Based on the original CSSI pressure index model, a multiple linear regression model is established to explore the influence of policy factors on China's stock market. The fifth chapter discusses the historical track and its own characteristics of the development of China's capital market in detail. The two abnormal fluctuations in China's securities market in 2007 and 2015 were analyzed. The fundamental reasons for the fluctuation are mainly from the following aspects: financial innovation and over leveraging, excessive policy push, regulatory policy failure, macroeconomic situation and investor risk awareness. To do further study in our stock market crash at the end of the exposed problems and gives us the enlightenment and the stock market crash brought to macroeconomic level. The sixth chapter makes a comparison of the risk prevention mechanism and system in the securities market of all countries in the world, and refines the places that can be used for reference in China. At the same time happened on the international stock market crash was in accordance with the lever, the economic bubble, hot money, causing the classification of the exchange rate. The seventh chapter is the Countermeasures of risk prevention in China's securities market. This chapter expounds the general problems faced by China's securities market under the current environment. Based on the research results of the previous chapters, this paper puts forward the consideration of the ways and Countermeasures to prevent the systemic risk. Firstly, in the aspect of system to optimize China's information disclosure system, price limit system, issuance and delisting system. At the same time, we need to solve the regulatory vacuum of "one line, three meetings" regulation mode, strengthen investor protection mechanism, vigorously cultivate institutional investors and reduce gem's overvalued value. Finally, in terms of financial environment to prevent illegal leverage funds into the stock market and maintain the stability of the RMB exchange rate.
【学位授予单位】：辽宁大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.51
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本文编号：1347171