發(fā)布時(shí)間：2018-01-09 03:07

  本文關(guān)鍵詞：我國(guó)多層資本市場(chǎng)非對(duì)稱交易機(jī)制設(shè)計(jì)研究　出處：《天津財(cái)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(duì)稱交易機(jī)制 多層資本市場(chǎng) 價(jià)值函數(shù) GARCH-M模型 VF-EGARCH-M模型

【摘要】：改革和發(fā)展我國(guó)資本市場(chǎng)需要建立多層次資本市場(chǎng),推出創(chuàng)業(yè)板市場(chǎng)是完善我國(guó)多層資本市場(chǎng)的一個(gè)重要標(biāo)志。多層資本市場(chǎng)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(shí),也迎合了多樣化的投資需求。而股價(jià)漲跌幅限價(jià)措施作為修正市場(chǎng)失靈的手段,它對(duì)股票市場(chǎng)的運(yùn)行及其風(fēng)險(xiǎn)配置都會(huì)產(chǎn)生不同程度的影響。 本文以我國(guó)多層資本市場(chǎng)為研究對(duì)象,依據(jù)波動(dòng)反饋說(shuō)和杠桿說(shuō)等相關(guān)理論論證了多層資本市場(chǎng)交易機(jī)制非對(duì)稱性設(shè)計(jì)的合理性,并結(jié)合我國(guó)多層資本市場(chǎng)的實(shí)際運(yùn)行狀況,從實(shí)證的角度分析了我國(guó)多層資本市場(chǎng)體系的收益率特征、風(fēng)險(xiǎn)狀況以及收益率與風(fēng)險(xiǎn)的關(guān)系,以及主板市場(chǎng)、中小企業(yè)板市場(chǎng)和創(chuàng)業(yè)板市場(chǎng)之間的聯(lián)動(dòng)性。針對(duì)我國(guó)多層市場(chǎng)體系實(shí)際運(yùn)行的數(shù)量特征與統(tǒng)一的交易機(jī)制設(shè)計(jì)不匹配的問(wèn)題,我們提出了非對(duì)稱交易機(jī)制設(shè)計(jì)的觀點(diǎn),同時(shí)重點(diǎn)探討了我國(guó)多層資本市場(chǎng)體系非對(duì)稱交易機(jī)制設(shè)計(jì)中數(shù)量界面的確定,即實(shí)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(xiǎn)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(xiǎn)配置的一致性,達(dá)到優(yōu)化多層資本市場(chǎng)體系建設(shè)功能發(fā)揮的目的。 本文在對(duì)我國(guó)股市限價(jià)交易制度不同階段考察的基礎(chǔ)上,通過(guò)對(duì)我國(guó)對(duì)稱性漲跌幅限價(jià)機(jī)制下市場(chǎng)運(yùn)行特征的經(jīng)驗(yàn)分析,揭示了對(duì)稱性漲跌幅限價(jià)機(jī)制的非對(duì)稱效應(yīng),并對(duì)這種非對(duì)稱效應(yīng)從行為金融學(xué)的角度進(jìn)行了解釋。同時(shí),運(yùn)用基于價(jià)值函數(shù)理論的VF-EGARCH-M模型,對(duì)我國(guó)股市對(duì)稱性限價(jià)機(jī)制的非對(duì)稱效應(yīng)進(jìn)行了實(shí)證分析,以此為依據(jù),結(jié)合極值理論的運(yùn)用,提出了非對(duì)稱性漲跌幅限價(jià)機(jī)制的最優(yōu)設(shè)計(jì)方案,并利用蒙特卡洛模擬技術(shù)對(duì)最優(yōu)設(shè)計(jì)方案的效果進(jìn)行了檢驗(yàn)。研究結(jié)果表明,漲跌幅限價(jià)機(jī)制的這種非對(duì)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(xiǎn),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(jìn)。
[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(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.5

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本文編號(hào)：1399733