中國(guó)股市一二級(jí)市場(chǎng)錯(cuò)誤定價(jià)測(cè)度及成因比較
發(fā)布時(shí)間：2018-07-31 06:14
【摘要】：由于中國(guó)股市制度的特殊性,股票價(jià)格嚴(yán)重偏離股票價(jià)值。長(zhǎng)期處于錯(cuò)誤定價(jià)狀態(tài),導(dǎo)致股票市場(chǎng)的資源配置功能得不到充分發(fā)揮。研究股票錯(cuò)誤定價(jià)問(wèn)題具有重要的理論和現(xiàn)實(shí)意義。一方面可以從理論上解釋轉(zhuǎn)型國(guó)家股票價(jià)格波動(dòng)的內(nèi)在機(jī)理,另一方面可以為市場(chǎng)相關(guān)方尤其是市場(chǎng)監(jiān)管者提供行為決策依據(jù)。 迄今為止,國(guó)內(nèi)外對(duì)股市價(jià)格的研究基本上是對(duì)股市泡沫的研究,而本文研究的股市錯(cuò)誤定價(jià)定義為股票價(jià)格對(duì)股票內(nèi)在價(jià)值的偏離。股市錯(cuò)誤定價(jià)為正數(shù)時(shí),表示股票價(jià)格大于股票價(jià)值,股票價(jià)值被高估；股市錯(cuò)誤定價(jià)為負(fù)數(shù)時(shí),表示股票價(jià)格小于股票價(jià)值,股票價(jià)值被低估。 本文主要做了兩個(gè)工作。一是我國(guó)股市錯(cuò)誤定價(jià)的測(cè)度；二是從兩個(gè)假說(shuō)(貨幣幻覺(jué)假說(shuō)和再售期權(quán)假說(shuō))分析股市錯(cuò)誤定價(jià)的成因,并且比較了一二級(jí)市場(chǎng)錯(cuò)誤定價(jià)成因的不同。 本文在分析股票價(jià)格和價(jià)值的基礎(chǔ)上,引申出股市錯(cuò)誤定價(jià)的概念。本文首先分析股票內(nèi)在價(jià)值的內(nèi)涵,以及貨幣幻覺(jué)假說(shuō)和再售期權(quán)假說(shuō)對(duì)股市錯(cuò)誤定價(jià)的影響機(jī)制。在股市錯(cuò)誤定價(jià)的測(cè)度上,對(duì)股市一級(jí)市場(chǎng)錯(cuò)誤定價(jià)的度量用首日超額收益率做代理。對(duì)于二級(jí)市場(chǎng)的股市錯(cuò)誤定價(jià),采用兩種方法測(cè)度。其一是利用2002年06月-2011年03月的季度數(shù)據(jù),采用動(dòng)態(tài)剩余收益VAR模型計(jì)算估計(jì)市值比,估計(jì)市值比與實(shí)際市值比的差為我國(guó)股市季度錯(cuò)誤定價(jià)；其二是利用1992-2010年的年度數(shù)據(jù),利用每股凈資產(chǎn)加預(yù)期每股剩余收益計(jì)算股票內(nèi)在價(jià)值,(股票價(jià)格水平-內(nèi)在價(jià)值)/內(nèi)在價(jià)值測(cè)度股市錯(cuò)誤定價(jià)度。通過(guò)將兩種方法得到的股市錯(cuò)誤定價(jià)與我國(guó)股市實(shí)際情況對(duì)比,可以看出測(cè)度的股市錯(cuò)誤定價(jià)較好的反映了股市價(jià)格對(duì)價(jià)值的偏離,相對(duì)于上證指數(shù)和20倍市盈率股價(jià),更能反映股市的投資價(jià)值。 對(duì)于股市錯(cuò)誤定價(jià)的影響因素。貨幣幻覺(jué)采用CPI為代理變量,再售期權(quán)用換手率為代理變量。一級(jí)市場(chǎng)IPO錯(cuò)誤定價(jià)用協(xié)整理論,二級(jí)市場(chǎng)用非參數(shù)變系數(shù)部分線性模型研究,最后比較了兩個(gè)假說(shuō)對(duì)一二級(jí)市場(chǎng)錯(cuò)誤定價(jià)影響的差別。 實(shí)證結(jié)果得到的主要結(jié)論有： (1)無(wú)論是我國(guó)股市一級(jí)市場(chǎng)還是二級(jí)市場(chǎng)都存在錯(cuò)誤定價(jià)。二級(jí)市場(chǎng)都存在貨幣幻覺(jué)效應(yīng)和再售期權(quán)效應(yīng)。股市經(jīng)常處于股票價(jià)格高于股票價(jià)值的狀態(tài)。近兩年股市處于價(jià)值相對(duì)低估狀態(tài)。 (2)股市錯(cuò)誤定價(jià)與股指無(wú)直接對(duì)應(yīng)關(guān)系,本文測(cè)度的錯(cuò)誤定價(jià)比市盈率股價(jià)更合理。研究表明股指不能很好的反映股市投資價(jià)值。其原因是我國(guó)股指受上市公司分紅派息,股改支付對(duì)價(jià)時(shí)除權(quán)不除指數(shù),以及新股對(duì)股指的影響等,所以從長(zhǎng)期看,股指的可比性差。而股市錯(cuò)誤定價(jià)具有長(zhǎng)期可比性。同時(shí)把本文測(cè)度的錯(cuò)誤定價(jià)、市盈率股價(jià)和我國(guó)股市實(shí)際情況相比,本文的測(cè)度更為合理。 (3)貨幣幻覺(jué)假說(shuō)和再售期權(quán)假說(shuō)對(duì)我國(guó)股市一二級(jí)市場(chǎng)的影響力有變化。利用非參數(shù)變系數(shù)部分線性模型,CPI對(duì)我國(guó)IPO市場(chǎng)錯(cuò)誤定價(jià)影響程度逐漸增強(qiáng),對(duì)二級(jí)市場(chǎng)錯(cuò)誤定價(jià)影響程度逐漸減弱。換手率對(duì)一級(jí)市場(chǎng)股市錯(cuò)誤定價(jià)逐漸增強(qiáng),對(duì)二級(jí)市場(chǎng)股市錯(cuò)誤定價(jià)程度逐漸減弱。
[Abstract]:Because of the particularity of the Chinese stock market system, the stock price deviates from the stock value seriously. It has been in the wrong pricing state for a long time, which leads to the lack of full play of the resource allocation function of the stock market. The internal mechanism, on the other hand, can provide behavioral basis for market stakeholders, especially market regulators.
So far, the research on the stock market price at home and abroad is basically the study of the stock market bubble, and the wrong pricing of the stock market is defined as the deviation from the stock price to the intrinsic value of the stock. When the stock market error pricing is positive, the stock price is higher than the stock value, the stock value is overestimated and the stock market error pricing is negative. The stock price is less than the value of the stock and the value of the stock is undervalued.
This paper has done two main tasks. One is the measurement of wrong pricing in China's stock market; the two is the analysis of the causes of the stock market error pricing from the two hypotheses (Money Illusion Hypothesis and resale option hypothesis), and compares the difference in the cause of error pricing in the one or two level market.
On the basis of the analysis of stock price and value, this paper extends the concept of stock market error pricing. Firstly, this paper analyzes the connotation of the intrinsic value of stock, and the influence mechanism of the hypothesis of money illusion and the hypothesis of resale option on the stock market error pricing. Two methods are used to measure the wrong pricing of the stock market in the two level market. One is to use the quarterly data of 2002, -2011, 03 months, to calculate the estimate of the market value ratio by the dynamic residual income VAR model, and the difference between the estimated market value ratio and the actual market value ratio is the quarterly error pricing in China's stock market, and the second is to use 1992-201. The annual data of 0 years, using the net assets per share and the expected earnings per share to calculate the intrinsic value of the stock, (stock price level - intrinsic value) / intrinsic value, measure the false pricing of the stock market. By comparing the stock market error pricing of the two methods to the actual situation of China's stock market, it can be seen that the price of the stock market is better priced. It reflects the deviation of the stock price from the value, which reflects the investment value of the stock market better than the Shanghai Composite Index and the 20 times price earnings ratio share price.
The influence factor of the stock market error pricing. The currency illusion uses CPI as the proxy variable, the resale option uses the turnover rate as the proxy variable. The IPO error pricing in the first class market uses cointegration theory, the two level market uses the nonparametric variable coefficient partial linear model, and finally compares the difference between the two hypotheses to the wrong pricing of the one or two level market.
The main conclusions of the empirical results are as follows:
(1) there is a wrong pricing in both the first and two level markets of China's stock market. There is a currency illusion effect and the effect of resale option in the two level market. The stock market is often in a state of higher stock price than the stock value.
(2) the error pricing of the stock market is not directly corresponding to the stock index, and the error pricing in this paper is more reasonable than the price earnings ratio. The study shows that the stock index can not reflect the value of the stock market investment. The reason is that the stock index of the stock index is divided by the dividend of the listed companies, the dividend payment is not divided into the index, and the influence of the new stock to the stock index, etc. In the long run, the comparability of the stock index is poor, and the stock market error pricing has a long-term comparability. At the same time, the measurement of the error pricing, the price earnings ratio and the actual situation in China's stock market is more reasonable.
(3) the influence of the Money Illusion Hypothesis and the resale option hypothesis on the one or two level market in China's stock market has changed. Using the non parametric variable coefficient partial linear model, the influence degree of CPI on the wrong pricing of our country's IPO market is gradually increasing, and the influence degree of the false pricing of the two level market is gradually weakening. The turnover rate has gradually increased to the wrong pricing of the first level market. Strong, the two tier market stock market pricing error gradually weakened.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224
本文編號(hào)：2154683
[Abstract]:Because of the particularity of the Chinese stock market system, the stock price deviates from the stock value seriously. It has been in the wrong pricing state for a long time, which leads to the lack of full play of the resource allocation function of the stock market. The internal mechanism, on the other hand, can provide behavioral basis for market stakeholders, especially market regulators.
So far, the research on the stock market price at home and abroad is basically the study of the stock market bubble, and the wrong pricing of the stock market is defined as the deviation from the stock price to the intrinsic value of the stock. When the stock market error pricing is positive, the stock price is higher than the stock value, the stock value is overestimated and the stock market error pricing is negative. The stock price is less than the value of the stock and the value of the stock is undervalued.
This paper has done two main tasks. One is the measurement of wrong pricing in China's stock market; the two is the analysis of the causes of the stock market error pricing from the two hypotheses (Money Illusion Hypothesis and resale option hypothesis), and compares the difference in the cause of error pricing in the one or two level market.
On the basis of the analysis of stock price and value, this paper extends the concept of stock market error pricing. Firstly, this paper analyzes the connotation of the intrinsic value of stock, and the influence mechanism of the hypothesis of money illusion and the hypothesis of resale option on the stock market error pricing. Two methods are used to measure the wrong pricing of the stock market in the two level market. One is to use the quarterly data of 2002, -2011, 03 months, to calculate the estimate of the market value ratio by the dynamic residual income VAR model, and the difference between the estimated market value ratio and the actual market value ratio is the quarterly error pricing in China's stock market, and the second is to use 1992-201. The annual data of 0 years, using the net assets per share and the expected earnings per share to calculate the intrinsic value of the stock, (stock price level - intrinsic value) / intrinsic value, measure the false pricing of the stock market. By comparing the stock market error pricing of the two methods to the actual situation of China's stock market, it can be seen that the price of the stock market is better priced. It reflects the deviation of the stock price from the value, which reflects the investment value of the stock market better than the Shanghai Composite Index and the 20 times price earnings ratio share price.
The influence factor of the stock market error pricing. The currency illusion uses CPI as the proxy variable, the resale option uses the turnover rate as the proxy variable. The IPO error pricing in the first class market uses cointegration theory, the two level market uses the nonparametric variable coefficient partial linear model, and finally compares the difference between the two hypotheses to the wrong pricing of the one or two level market.
The main conclusions of the empirical results are as follows:
(1) there is a wrong pricing in both the first and two level markets of China's stock market. There is a currency illusion effect and the effect of resale option in the two level market. The stock market is often in a state of higher stock price than the stock value.
(2) the error pricing of the stock market is not directly corresponding to the stock index, and the error pricing in this paper is more reasonable than the price earnings ratio. The study shows that the stock index can not reflect the value of the stock market investment. The reason is that the stock index of the stock index is divided by the dividend of the listed companies, the dividend payment is not divided into the index, and the influence of the new stock to the stock index, etc. In the long run, the comparability of the stock index is poor, and the stock market error pricing has a long-term comparability. At the same time, the measurement of the error pricing, the price earnings ratio and the actual situation in China's stock market is more reasonable.
(3) the influence of the Money Illusion Hypothesis and the resale option hypothesis on the one or two level market in China's stock market has changed. Using the non parametric variable coefficient partial linear model, the influence degree of CPI on the wrong pricing of our country's IPO market is gradually increasing, and the influence degree of the false pricing of the two level market is gradually weakening. The turnover rate has gradually increased to the wrong pricing of the first level market. Strong, the two tier market stock market pricing error gradually weakened.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224
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