本文關(guān)鍵詞： 市場(chǎng)質(zhì)量 流動(dòng)性 波動(dòng)性 有效性　出處：《山東財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：股票市場(chǎng)作為證券市場(chǎng)的重要組成部分，，其內(nèi)部的資金流動(dòng)之大，涉及行業(yè)之多，覆蓋人群之廣，決定了它在整個(gè)證券市場(chǎng)舉足輕重的地位。自上海證券交易所和深圳證券交易所1990年成立以來(lái)，主板市場(chǎng)已經(jīng)走過(guò)二十多年時(shí)間，整個(gè)市場(chǎng)從無(wú)到有，從小到大，對(duì)我國(guó)國(guó)民經(jīng)濟(jì)平穩(wěn)較快增長(zhǎng)起到了積極的促進(jìn)作用，有力地推動(dòng)了中國(guó)經(jīng)濟(jì)體制改革的深化。經(jīng)過(guò)十余年的艱辛籌備，我國(guó)創(chuàng)業(yè)板市場(chǎng)于2009年10月30日正式開(kāi)啟，它的推出適應(yīng)了我國(guó)應(yīng)對(duì)國(guó)際金融危機(jī)、促進(jìn)經(jīng)濟(jì)平穩(wěn)較快發(fā)展的內(nèi)在要求，也適應(yīng)了我們加快轉(zhuǎn)變經(jīng)濟(jì)發(fā)展方式、培育和發(fā)展戰(zhàn)略性新興產(chǎn)業(yè)的內(nèi)在需求。 市場(chǎng)質(zhì)量是市場(chǎng)效率以及市場(chǎng)是否成熟的重要標(biāo)志，股票交易過(guò)程中的市場(chǎng)質(zhì)量在全球競(jìng)爭(zhēng)環(huán)境中的重要性日益凸現(xiàn)，注重分析并逐步提高市場(chǎng)質(zhì)量，是我們未來(lái)參與全球競(jìng)爭(zhēng)的基本前提。從市場(chǎng)整體發(fā)展趨勢(shì)看，我國(guó)股票市場(chǎng)也正在步入以提升市場(chǎng)質(zhì)量為重點(diǎn)的創(chuàng)新與發(fā)展階段，如何提高我國(guó)主板和創(chuàng)業(yè)板的市場(chǎng)質(zhì)量就變得至關(guān)重要。主板市場(chǎng)與創(chuàng)業(yè)板市場(chǎng)在交易規(guī)則、投資者特征以及上市公司特點(diǎn)等方面存在差異，但兩個(gè)市場(chǎng)都是符合中國(guó)國(guó)情推出的市場(chǎng)，具有可比性和可彼此借鑒加以完善的條件。因此，要提升我國(guó)股市整體的市場(chǎng)質(zhì)量，首先應(yīng)通過(guò)對(duì)比，找出主板與創(chuàng)業(yè)板兩個(gè)市場(chǎng)的市場(chǎng)質(zhì)量存在哪些差距，分析存在差距的原因，并通過(guò)彼此之間的借鑒來(lái)加以完善。這將對(duì)保持我國(guó)股市整體的持續(xù)健康快速發(fā)展，進(jìn)而提升國(guó)際競(jìng)爭(zhēng)力具有重大的理論意義和實(shí)踐價(jià)值。 金融市場(chǎng)微觀結(jié)構(gòu)理論表明，股票市場(chǎng)質(zhì)量的評(píng)價(jià)體系涵蓋了市場(chǎng)的流動(dòng)性、波動(dòng)性、透明度、有效性、交易成本等多個(gè)方面，將這些指標(biāo)進(jìn)行定量化的分析可以更加科學(xué)、系統(tǒng)地刻畫(huà)市場(chǎng)的運(yùn)行狀況，評(píng)價(jià)市場(chǎng)的運(yùn)行效率。為此，本文選取較具代表性且可量化的流動(dòng)性、波動(dòng)性和有效性建立評(píng)價(jià)指標(biāo)體系，對(duì)我國(guó)主板和創(chuàng)業(yè)板的市場(chǎng)質(zhì)量進(jìn)行分析與比較，以期發(fā)現(xiàn)兩個(gè)市場(chǎng)的市場(chǎng)質(zhì)量存在的差距和原因，為促進(jìn)我國(guó)股市整體向更高的流動(dòng)性、更快的交易執(zhí)行速度和更低的交易成本方向前進(jìn)提供相應(yīng)的對(duì)策建議。本文內(nèi)容主要包括以下幾個(gè)部分： （1）文章首先提出了本文研究的問(wèn)題和研究意義，并對(duì)國(guó)內(nèi)外研究情況進(jìn)行了文獻(xiàn)綜述。文獻(xiàn)分析表明，對(duì)金融市場(chǎng)微觀結(jié)構(gòu)理論的研究在我國(guó)起步較晚，關(guān)于市場(chǎng)質(zhì)量的評(píng)價(jià)多集中在單一指標(biāo)或兩個(gè)指標(biāo)的分析，缺乏系統(tǒng)性的整體測(cè)度。而且由于創(chuàng)業(yè)板開(kāi)市時(shí)間有限，過(guò)往的研究多為規(guī)范分析，研究?jī)?nèi)容集中在對(duì)中外創(chuàng)業(yè)板的比較及創(chuàng)業(yè)板的制度建設(shè)建議，對(duì)我國(guó)主板和創(chuàng)業(yè)板市場(chǎng)質(zhì)量做定量對(duì)比分析的研究還較少。而后，闡述了本文的研究?jī)?nèi)容、技術(shù)路線和創(chuàng)新點(diǎn)。 （2）闡述了本文研究的相關(guān)理論基礎(chǔ)。在明確市場(chǎng)質(zhì)量的含義和對(duì)股市發(fā)展的重要性的基礎(chǔ)上，分別對(duì)本文需要用到的市場(chǎng)質(zhì)量度量指標(biāo)，即流動(dòng)性、波動(dòng)性、有效性以及透明度，從概念、模型等方面進(jìn)行論述。最后，從七個(gè)方面概括分析市場(chǎng)質(zhì)量的影響因素。 （3）本文從流動(dòng)性、波動(dòng)性、有效性三個(gè)方面對(duì)我國(guó)主板和創(chuàng)業(yè)板市場(chǎng)質(zhì)量進(jìn)行了比較分析和實(shí)證研究。在流動(dòng)性的比較中，以滬深300指數(shù)和創(chuàng)業(yè)板綜合指數(shù)分別作為主板市場(chǎng)和創(chuàng)業(yè)板市場(chǎng)的代表，計(jì)算和比較兩指數(shù)的Amihud流動(dòng)性比率和Martin流動(dòng)性比率，結(jié)果顯示主板市場(chǎng)的流動(dòng)性要好于創(chuàng)業(yè)板市場(chǎng)。其原因在于創(chuàng)業(yè)板市場(chǎng)定位于促進(jìn)自主創(chuàng)新型企業(yè)及其他成長(zhǎng)型創(chuàng)業(yè)企業(yè)的發(fā)展，在市場(chǎng)規(guī)模、上市公司質(zhì)量、收益的波動(dòng)等方面都不同于主板市場(chǎng)，存在流動(dòng)性風(fēng)險(xiǎn)。 在波動(dòng)性的比較中，選取滬深300指數(shù)和創(chuàng)業(yè)板綜合指數(shù)對(duì)數(shù)收益率為研究樣本，基于曼—惠特尼U檢驗(yàn)和Wilcoxon秩和檢驗(yàn)等一系列方法比較驗(yàn)證兩指數(shù)對(duì)數(shù)收益率序列時(shí)變波動(dòng)率的差別，證實(shí)了創(chuàng)業(yè)板市場(chǎng)的波動(dòng)性要比主板市場(chǎng)大，對(duì)于投資者來(lái)說(shuō)，創(chuàng)業(yè)板市場(chǎng)的投資風(fēng)險(xiǎn)更大。這與創(chuàng)業(yè)板運(yùn)行的兩年多時(shí)間里，外界的目光往往聚焦于相關(guān)公司的高成長(zhǎng)性、高盈利能力，忽視了隱含的經(jīng)營(yíng)風(fēng)險(xiǎn)性和業(yè)績(jī)波動(dòng)性密切相關(guān)。 在有效性的比較中，主要運(yùn)用事件研究法對(duì)主板市場(chǎng)和創(chuàng)業(yè)板市場(chǎng)是否達(dá)到半強(qiáng)式有效性進(jìn)行檢驗(yàn)。實(shí)證結(jié)果顯示，加息這一類事件公布后，市場(chǎng)仍在消化所公布的信息，超額收益仍然存在，主板市場(chǎng)和創(chuàng)業(yè)板市場(chǎng)半強(qiáng)式有效性不成立。相比于創(chuàng)業(yè)板綜合指數(shù)，滬深300指數(shù)的CAR曲線距離橫軸更近，說(shuō)明主板市場(chǎng)的信息效率還是要好于創(chuàng)業(yè)板市場(chǎng)。上市公司信息披露問(wèn)題、個(gè)人投資非理性、監(jiān)管不力是導(dǎo)致這一現(xiàn)象出現(xiàn)的原因。 （4）為了化解創(chuàng)業(yè)板市場(chǎng)的流動(dòng)性風(fēng)險(xiǎn)，保持市場(chǎng)整體穩(wěn)定運(yùn)行，并提高市場(chǎng)價(jià)格反映信息的能力，本文基于前述實(shí)證研究結(jié)論，提出以下幾點(diǎn)建議：一是進(jìn)一步完善創(chuàng)業(yè)板市場(chǎng)運(yùn)行機(jī)制，具體包括發(fā)行機(jī)制、交易機(jī)制、退市機(jī)制三個(gè)方面；二是注重投資者關(guān)系管理；三是繼續(xù)強(qiáng)化創(chuàng)業(yè)板投資者適當(dāng)性管理；四是加大監(jiān)管力度，提高信息披露水平。
[Abstract]:The stock market is an important part of the securities market, the flow of funds within the large, involving fields, wide coverage, determines that it plays an important role in the whole stock market position. Since the Shanghai stock exchange and Shenzhen stock exchange was established in 1990, the main market has gone through twenty years of time, the whole market from scratch, from small to large and to the positive role in promoting the steady and rapid growth of our national economy, a strong impetus to the deepening reform of economic system Chinese. After more than ten years of hard preparation, the Chinese gem market officially opened in October 30, 2009, it launched to adapt to China's response to the international financial crisis, the inherent requirements of promoting steady and rapid economic we also adapt to development, accelerate the transformation of economic development mode, the internal demand of the cultivation and development of strategic emerging industries.
The quality of the market is the market efficiency and the market is an important symbol of maturity, the importance of stock trading market in the process of quality in the global competitive environment is increasingly highlighted, and focus on the analysis of the market and gradually improve the quality, is the basic premise of our future participation in global competition. From the overall market development trend, China's stock market is entering innovation with the development of the stage to enhance market quality focus, how to improve China's main board and gem market quality is very important. The main board market and the GEM market in the trading rules, different investor characteristics and listed companies, but the two markets are in line with the national conditions Chinese market launch, comparable and can learn from each other to improve the conditions. Therefore, to improve the overall quality of China's stock market market, first by comparison, find out the main board and gem two What are the gaps in the market quality of each market? We should analyze the reasons for the gap and draw lessons from each other to improve them. This will be of great theoretical and practical value for maintaining the sustained, healthy and rapid development of China's stock market and enhancing international competitiveness.
Show that the micro structure theory of financial market, stock market quality evaluation system covers the liquidity, market volatility, transparency, effectiveness, transaction costs and other aspects, these indicators are quantitative analysis can be more scientifically and systematically characterize the market running status, operational efficiency evaluation of the market. Therefore, this paper selects liquidity more representative and quantifiable, establish the evaluation index system of volatility and effectiveness of China's main board and gem market quality were analyzed and compared, in order to find the gap between the market and the reasons for the existence of matter two market volume, in order to promote China's overall stock market liquidity to more higher, faster transaction speed and lower transaction cost direction to provide corresponding countermeasures and suggestions. This paper includes the following sections:
(1) this paper puts forward the problem and research significance, and the research situation at home and abroad were reviewed. The analysis shows that the research on financial market microstructure theory started late in China, analysis and evaluation on the quality of the market more concentrated in the single index and the two index, the lack of overall measure the system of the gem opening. And because of the limited time, past research is normative analysis, suggestions on the system focused on the comparison of the Chinese and foreign gem and gem, do research on quantitative analysis on China's main board and gem market quality is limited. Then, expounds the research contents, the technical route and innovations.
(2) describes the theoretical basis of this study. Based on the importance of clear market quality and the meaning of the stock market development, this paper respectively on the need to use the market quality metrics, such as liquidity, volatility, effectiveness and transparency from the concept, model and other aspects are discussed. Finally, summarized factors analysis of the influence of the quality of the market from seven aspects.
(3) the liquidity, volatility, three aspects of the effectiveness of comparative analysis and empirical research on China's main board and gem market quality. In the comparison of liquidity in the Shanghai and Shenzhen 300 index and the comprehensive index of the gem as the main market and gem market liquidity generation table, Amihud Martin ratio and liquidity ratio calculation and comparison of two index, results show that the fluidity of the main market in the GEM market. The reason is that the GEM market positioning to promote the development of innovative enterprises and other growth enterprises, in the market scale, the quality of listed companies, earnings volatility and so on the main market, the liquidity risk.
In the comparison of volatility in Shanghai and Shenzhen 300 index and the gem index log returns for the study sample, Man Whitney U test and Wilcoxon rank sum test and a series of methods based on comparison and verification of two index logarithmic return series of time-varying volatility difference, confirmed the volatility of the GEM market than the motherboard market large, for investors, the GEM market investment risk greater. This gem operation for more than two years, attention is often focused on high growth companies, high profitability, ignore the underlying business risk and earnings volatility are closely related.
In a comparison of the effectiveness, mainly using the event study method to test whether the main market and gem market reached semi strong efficiency. The empirical results show that the interest rate hike this event after the announcement, the market is still in the published digest the information, the excess return still exists, the main board market and the GEM market semi strong efficiency is not established. Compared to the comprehensive index of the gem, CAR Shanghai and Shenzhen 300 index horizontal curve distance closer, indicating the motherboard market information efficiency is better than the GEM market. Information disclosure of listed companies, individual irrational investment, lack of supervision is the cause of this phenomenon.
(4) in order to resolve the liquidity risk of the GEM market, maintain the overall stability of the operation of the market, and improve the ability to reflect the market price information, this paper based on the empirical research conclusion, put forward the following suggestions: one is to further improve the operating mechanism of the GEM market, specifically including issuing mechanism, trading mechanism, three aspects of delisting mechanism; two is to focus on the investor relations management; the three is to continue to strengthen the GEM investors management; four is to strengthen supervision, improve the level of information disclosure.

【學(xué)位授予單位】：山東財(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)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)博士學(xué)位論文 前2條

1 佘堅(jiān);中小企業(yè)板微觀結(jié)構(gòu)與市場(chǎng)質(zhì)量研究[D];中南大學(xué);2006年

2 張志鵬;我國(guó)證券市場(chǎng)流動(dòng)性綜合測(cè)度及其影響因素分析[D];上海交通大學(xué);2007年

本文編號(hào)：1443989