【摘要】：隨著股票市場的發(fā)展,上市公司數(shù)量越來越多,上市公司及其股東間的投資關系越來越復雜,在股票市場各種參與者的共同作用下,股市從整體上表現(xiàn)出了與單個參與者完全不同的特征。對股票市場參與主體構成的網(wǎng)絡進行研究可以從整體上把握股票市場的發(fā)展變化特征,從而有助于及時發(fā)現(xiàn)股市中存在的問題,為股市監(jiān)管及投資者帶來啟示。因此,有必要對股票市場的復雜特性進行整體研究。在國內(nèi)外相關文獻調(diào)研的基礎上,本文首先對與股票市場關聯(lián)網(wǎng)絡形成有關的理論及復雜網(wǎng)絡的理論與方法進行了介紹。其次明確了本文所研究網(wǎng)絡的構建方式——以上市公司及其十大股東為節(jié)點,節(jié)點間的實際投資關系為邊,投資額大小為邊的權重構建了一個股權關聯(lián)網(wǎng)絡。再次運用CCER數(shù)據(jù)庫收集了2001至2010年十年滬深兩市所有上市公司及其十大股東的持股數(shù)據(jù),并利用Pajek、Cfinder等分析軟件對各年份以及2010年各行業(yè)的股權關聯(lián)網(wǎng)絡進行了分析,最終得出以下有價值的結論：滬深兩市股權關聯(lián)網(wǎng)絡具有明顯的無標度和小世界特征,大部分資金集中在少數(shù)的吸引投資能力強的上市公司手中,同時大部分股權集中在少數(shù)投資能力強的股東手中,任意兩個上市公司或者股東間通過較少的投資關系就能進行聯(lián)系；不同行業(yè)股權關聯(lián)網(wǎng)絡的無標度特征存在一定的差異,農(nóng)林牧漁業(yè)的無標度特征最為明顯；滬深兩市中最大的投資者為上市公司控股集團公司或者母公司、上市公司本身、國有專業(yè)投資機構、社�；鹨约巴赓Y投資,其中外資投資具有明顯的行業(yè)偏好特性,大額的外資投資主要集中在采掘業(yè)、交通運輸倉儲業(yè)和金融保險業(yè)；網(wǎng)絡中存在大量的社團,而且大額度投資之間的聯(lián)系更為緊密,在2008年全球金融危機的情況下,更多的公司選擇多角化投資,社團中節(jié)點數(shù)量突增；金融行業(yè)內(nèi)部的投資關系最為緊密,在金融行業(yè)中也存在比其他行業(yè)都大的社團。最后,根據(jù)前文得出的結論,得到一些股票市場監(jiān)管及投資者投資方面的啟示及建議。本文的貢獻之處在于：打破以往研究股票市場關聯(lián)網(wǎng)絡只是以上市公司作為節(jié)點,將股票之間的價格波動或者收益率波動的相關系數(shù)作為邊權重的限制,將上市公司及其股東都包括入所構建的網(wǎng)絡中,并以真實的投資關系反映網(wǎng)絡中節(jié)點的聯(lián)系,用定量分析的方法探析了滬深兩市總體以及各個行業(yè)的網(wǎng)絡結構特征,并得出了一些有用的啟示及建議。例如：在股票市場的監(jiān)管過程中可以借鑒復雜網(wǎng)絡中“目標免疫”的方法；投資者進行投資分析的過程中可以將外資投資作為參考等。
[Abstract]:With the development of the stock market, the number of listed companies is increasing, and the investment relationship between listed companies and their shareholders is becoming more and more complicated. The stock market as a whole shows a completely different feature from that of a single participant. The research on the network of the main body involved in the stock market can grasp the characteristics of the development and change of the stock market as a whole, thus help to discover the existing problems in the stock market in time, and bring enlightenment to the stock market supervision and investors. Therefore, it is necessary to study the complex characteristics of stock market as a whole. On the basis of domestic and foreign literature, this paper first introduces the theory and method of complex network related to the formation of the related network in the stock market. Secondly, the paper makes clear the way of constructing the network-taking listed company and its ten shareholders as the nodes, the actual investment relationship between the nodes as the edge, the investment size as the edge weight to construct an equity association network. The data of all the listed companies and their ten shareholders in Shanghai and Shenzhen stock market from 2001 to 2010 are collected by using CCER database again, and the analysis software, such as Pajek Cfinder, is used to analyze the stock ownership correlation network in each year and in 2010. Finally, the following valuable conclusions are drawn: the Shanghai and Shenzhen stock market equity correlation networks have obvious scale-free and small-world characteristics, and most of the funds are concentrated in the hands of a few listed companies with strong ability to attract investment. At the same time, most of the equity is concentrated in the hands of a few shareholders with strong investment ability, any two listed companies or shareholders can be linked through less investment relationship; there are some differences in the scale-free characteristics of the equity association network in different industries. The biggest investors in the Shanghai and Shenzhen stock markets are listed companies holding groups or parent companies, listed companies themselves, state-owned professional investment institutions, social security funds and foreign investment. Among them, foreign investment has obvious characteristics of industry preference. Large amount of foreign investment is mainly concentrated in extractive industry, transportation, warehousing and finance and insurance industry. There are a large number of associations in the network, and the relationship between large amounts of investment is more close. Under the global financial crisis in 2008, more companies choose to invest in diversification, and the number of nodes in the community has increased dramatically. The investment relationship within the financial industry is the most close, and there are also larger associations in the financial industry than in other industries. Finally, according to the above conclusions, some enlightenment and suggestions on stock market supervision and investor investment are obtained. The contribution of this paper lies in: break the previous research on the stock market correlation network only take the listed company as the node, take the stock price fluctuation or the correlation coefficient of the return fluctuation as the edge weight limit, The listed companies and their shareholders are included in the network, and the real investment relationship is used to reflect the connections of the nodes in the network. The characteristics of the network structure of the Shanghai and Shenzhen stock markets as a whole and the various industries are analyzed by quantitative analysis. Some useful enlightenments and suggestions are obtained. For example, in the process of stock market supervision, we can learn from the method of "target immunity" in complex networks, and investors can take foreign investment as reference in the process of investment analysis.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F275;F832.51

【共引文獻】

相關期刊論文 前1條

1 吳華驄;;發(fā)行制度變遷視角下的IPO定價影響因素研究[J];中外企業(yè)家;2015年11期

相關碩士學位論文 前4條

1 趙佼;中國證券市場信托投資行為與監(jiān)管研究[D];首都經(jīng)濟貿(mào)易大學;2011年

2 吳靜;會計政策變更與股價的相關性研究[D];天津財經(jīng)大學;2013年

3 朱金賀;生豬養(yǎng)殖者市場風險認知與預控研究[D];山東農(nóng)業(yè)大學;2014年

4 郝娟;非營利組織信息披露質量的影響因素研究[D];湖南大學;2014年

，

本文編號：2190859