本文關(guān)鍵詞：我國多層資本市場非對稱交易機制設(shè)計研究　出處：《天津財經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 非對稱交易機制 多層資本市場 價值函數(shù) GARCH-M模型 VF-EGARCH-M模型

【摘要】：改革和發(fā)展我國資本市場需要建立多層次資本市場,推出創(chuàng)業(yè)板市場是完善我國多層資本市場的一個重要標志。多層資本市場體系在滿足多元化的融資需求,緩解中小企業(yè)融資困難的同時,也迎合了多樣化的投資需求。而股價漲跌幅限價措施作為修正市場失靈的手段,它對股票市場的運行及其風(fēng)險配置都會產(chǎn)生不同程度的影響。 本文以我國多層資本市場為研究對象,依據(jù)波動反饋說和杠桿說等相關(guān)理論論證了多層資本市場交易機制非對稱性設(shè)計的合理性,并結(jié)合我國多層資本市場的實際運行狀況,從實證的角度分析了我國多層資本市場體系的收益率特征、風(fēng)險狀況以及收益率與風(fēng)險的關(guān)系,以及主板市場、中小企業(yè)板市場和創(chuàng)業(yè)板市場之間的聯(lián)動性。針對我國多層市場體系實際運行的數(shù)量特征與統(tǒng)一的交易機制設(shè)計不匹配的問題,我們提出了非對稱交易機制設(shè)計的觀點,同時重點探討了我國多層資本市場體系非對稱交易機制設(shè)計中數(shù)量界面的確定,即實行有差別的漲跌停板制度,使主板、中小企業(yè)板和創(chuàng)業(yè)板在風(fēng)險配置上真正體現(xiàn)出它的層次性,從而保證資源配置與風(fēng)險配置的一致性,達到優(yōu)化多層資本市場體系建設(shè)功能發(fā)揮的目的。 本文在對我國股市限價交易制度不同階段考察的基礎(chǔ)上,通過對我國對稱性漲跌幅限價機制下市場運行特征的經(jīng)驗分析,揭示了對稱性漲跌幅限價機制的非對稱效應(yīng),并對這種非對稱效應(yīng)從行為金融學(xué)的角度進行了解釋。同時,運用基于價值函數(shù)理論的VF-EGARCH-M模型,對我國股市對稱性限價機制的非對稱效應(yīng)進行了實證分析,以此為依據(jù),結(jié)合極值理論的運用,提出了非對稱性漲跌幅限價機制的最優(yōu)設(shè)計方案,并利用蒙特卡洛模擬技術(shù)對最優(yōu)設(shè)計方案的效果進行了檢驗。研究結(jié)果表明,漲跌幅限價機制的這種非對稱性調(diào)整不僅有利于糾正收益率的偏態(tài)性和降低風(fēng)險,而且也有益于提升投資者的預(yù)期收益,是一種典型的帕累托改進。
[Abstract]:To reform and develop our capital market, we need to establish a multi-level capital market. The introduction of the gem market is an important sign of perfecting the multi-tiered capital market in China, and the multi-tier capital market system is meeting the diversified financing needs. While easing the financing difficulties of small and medium-sized enterprises, it also caters to the diversified investment demand. And the price limit measures of the stock price rise and fall as a means to correct the market failure. It will affect the operation of stock market and its risk allocation to varying degrees. Based on the theory of volatility feedback theory and leverage theory, this paper demonstrates the rationality of asymmetric design of multi-layer capital market trading mechanism. Combined with the actual operation of the multi-tier capital market in China, this paper analyzes the characteristics of the return rate, the risk situation and the relationship between the yield and the risk, as well as the main board market from the perspective of empirical analysis. The linkage between the SME market and the gem market. Aiming at the problem that the quantitative characteristics of the actual operation of the multi-tier market system in China and the unified transaction mechanism design are not matched. We put forward the point of view of asymmetric trading mechanism design. At the same time, we focused on the determination of quantitative interface in the design of asymmetric trading mechanism of multi-tier capital market system in China. In order to ensure the consistency of resource allocation and risk allocation, the main board, small and medium-sized enterprises board and growth enterprise market really reflect its level of risk allocation. To achieve the purpose of optimizing the function of multi-tier capital market system. Based on the investigation of the different stages of the price limit trading system in China's stock market, this paper analyzes the characteristics of the market operation under the symmetrical price limit mechanism. This paper reveals the asymmetric effect of symmetric price limit mechanism and explains this asymmetric effect from the perspective of behavioral finance. At the same time. By using the VF-EGARCH-M model based on the value function theory, this paper makes an empirical analysis of the asymmetric effect of the symmetrical price limit mechanism in China's stock market, based on which, combined with the application of extreme value theory. The optimal design scheme of asymmetric price limit mechanism is proposed, and the effect of the optimal design scheme is tested by Monte Carlo simulation technique. The asymmetric adjustment of the price limit mechanism is not only helpful to correct the skewness of the yield and reduce the risk, but also beneficial to improve the expected return of investors. It is a typical Pareto improvement.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.5

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相關(guān)期刊論文 前10條

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本文編號：1399733