本文選題：印花稅 + 股指期貨��； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：波動(dòng)性的研究在金融領(lǐng)域具有重要理論意義,然而,關(guān)于特質(zhì)波動(dòng)率影響因素的討論卻一直無定論�；久嬉蛩�?zé)o力解釋股票波動(dòng)開啟了從交易角度出發(fā)的研究。我國股票市場異常波動(dòng)相對嚴(yán)重,散戶投資者眾多,市場投機(jī)氛圍濃厚,政策創(chuàng)新和制度改革的效果受到影響,因此對我國投資者交易和個(gè)股波動(dòng)的研究有重要的現(xiàn)實(shí)意義。 本文選取近年來我國股票市場上“5.30”印花稅事件和“4.16”股指期貨上市作為研究對象,分析外生事件對投資者微觀交易行為與波動(dòng)性影響,以觀察政策是否達(dá)到預(yù)期效果,并描述樣本期內(nèi)個(gè)人投資者和機(jī)構(gòu)投資者的交易行為對股市波動(dòng)的作用。研究發(fā)現(xiàn)： (1)2007年“5.30”印花稅政策對機(jī)構(gòu)投資者的交易達(dá)到預(yù)期效果,短期內(nèi),散戶交易程度上升,機(jī)構(gòu)交易程度下降；但波動(dòng)率顯著增加,政策未能平抑股價(jià)波動(dòng)反而出現(xiàn)相反的效果。這是因?yàn)楫?dāng)時(shí)我國散戶投資者表現(xiàn)為噪聲交易,散戶交易程度的增大提高了市場波動(dòng),降低了政策效果。 (2)2010年股指期貨上市之后,短期內(nèi)所有類型和方向的投資交易程度都顯著下降,對賣出交易的影響大于買入交易,可見股指期貨的引入對我國股票市場單邊交易的歷史狀況有一定改善；但短期個(gè)股波動(dòng)率上升。分析發(fā)現(xiàn),2010年樣本期內(nèi),散戶交易與機(jī)構(gòu)交易行為表現(xiàn)為趨同,理性交易成分(反向交易)相對上升,表現(xiàn)為與波動(dòng)性負(fù)相關(guān),因此交易程度下降,反而導(dǎo)致波動(dòng)的增大。 政策消息一直對我國股票市場有明顯沖擊,研究發(fā)現(xiàn)政策對投資者交易行為是符合有效預(yù)期的,但對波動(dòng)性的效果卻常常南轅北轍。在了解交易與波動(dòng)的作用關(guān)系的基礎(chǔ)上,在我國投資者交易理性穩(wěn)定的展望下,監(jiān)管機(jī)構(gòu)能加強(qiáng)對政策實(shí)施效果的控制,積極引導(dǎo)市場動(dòng)向,市場各方更容易達(dá)成一致預(yù)期,提高我國股票市場的信息程度,進(jìn)而提高市場的有效性,使資本市場更好地發(fā)揮資源配置的作用,助力經(jīng)濟(jì)發(fā)展和“中國夢”的實(shí)現(xiàn)。
[Abstract]:The study of volatility is of great theoretical significance in the field of finance. However, there is no conclusion about the influence factors of idiosyncratic volatility. Fundamental factors can not explain the stock volatility from the perspective of trading. The abnormal volatility of Chinese stock market is relatively serious, the retail investors are numerous, the market speculative atmosphere is strong, the effect of policy innovation and system reform is affected, so it is of great practical significance to study the investor trading and individual stock fluctuation in our country. This paper selects the "5.30" stamp duty event and the "4.16" stock index futures listing in the stock market of our country in recent years as the research object, analyzes the influence of exogenous events on investors' microcosmic trading behavior and volatility, in order to observe whether the policy achieves the expected effect. It also describes the effect of individual and institutional investors' trading behavior on stock market volatility in the sample period. The study found that: In 2007, the stamp duty policy of "5.30" achieved the expected effect on the trading of institutional investors. In the short term, the degree of retail trading increased, but the degree of institutional trading decreased, but the volatility increased significantly, and the policy did not calm the volatility of stock prices but had the opposite effect. This is because at that time our country retail investor performance is the noise transaction, the retail trading degree increases the market fluctuation, reduces the policy effect. (2) after the stock index futures were listed in 2010, the degree of investment transactions of all types and directions declined significantly in the short term, and the impact on selling trades was greater than that on buying trades. It can be seen that the introduction of stock index futures has improved the historical situation of unilateral trading in China's stock market, but the volatility of short-term individual stocks has increased. It is found that in the sample period of 2010, the behavior of retail and institutional transactions is convergent, and the component of rational trading (reverse trading) is relatively rising, which is negatively correlated with volatility. Therefore, the degree of transaction decreases, which leads to the increase of volatility. The policy news has always had an obvious impact on the stock market of our country. The study found that the policy is in line with the effective expectation of investors' trading behavior, but the effect on volatility is often diametrically different. On the basis of understanding the relationship between trading and volatility, and under the prospect of rational and stable trading among investors in China, the regulatory bodies can strengthen the control of the effect of policy implementation, actively guide market trends, and make it easier for all parties in the market to reach consensus expectations. To improve the information level of Chinese stock market, and then to improve the effectiveness of the market, to make the capital market play a better role in the allocation of resources, to help the economic development and the realization of "Chinese Dream".
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51;F812.42

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