本文關鍵詞： 上證綜指 滬深300指數(shù) 杠桿因素 可操控性　出處：《東北財經大學》2012年碩士論文　論文類型：學位論文

【摘要】：隨著綜合國力的日益強盛,中國的GDP已經超越日本成為世界第二大經濟體。截至2012年三季度末,中國A股上市公司股票總市值達21.5萬億人民幣,僅次于美國上市公司普通股股票總市值約105.2萬億人民幣,位居世界第二位。從指標總量來看,中國都位居于世界前列,但與此同時,中國股票市場的各種單項指標與發(fā)達國家資本市場相比還有較大的差距。中國股票市場是為了適應經濟轉軌的需要產生和發(fā)展起來的,具有典型的行政調控和政府推動的特點,時至今日還不能有效的發(fā)揮經濟資源配置的作用,也不能體現(xiàn)經濟發(fā)展“晴雨表”中的作用。特別是代表著A股市場的旗艦型龍頭指數(shù)—上證綜指,其長期固有的編制缺陷和可操控性已經嚴重阻礙了中國股票市場的健康發(fā)展。本文通過上證綜指和滬深300指數(shù)等國內外主要股票市場指數(shù)的對比,研究上證綜指的編制和其特點以及該股指對我國股票市場和期貨市場上已經帶來的危害和潛在的風險,目的是找到一個更不易被人為操控且更加符合廣大投資者利益的指標,用來引領中國股票市場積極健康發(fā)展的未來。 若想了解任一國家經濟狀況的發(fā)展趨勢,首先必須掌握代表該國經濟“晴雨表”股票價格指數(shù)的漲跌情況。而一個指數(shù)能否真正反映股票市場總體的運行狀態(tài),則需要該指數(shù)具有科學客觀性。被大家熟知的道瓊斯指數(shù)、英國《金融時報》指數(shù)很好地反映了美國和英國股票市場的整體走勢,對于了解上述國家的經濟發(fā)展提供了直觀印象,同時,股票市場的健康發(fā)展同樣也離不開一個具有代表性的指標。與發(fā)達市場相比較,反映我國股票市場的旗艦型指標就是上證綜指,不論是在政府的決策、媒體的報道以及股民參考的指數(shù)來看,該股指已經廣泛被我國投資者所接受。然而通過研究發(fā)現(xiàn),上證綜指具有可操控的缺陷性,已經被論為大資金機構的暴利工具,嚴重損害了廣大投資者的利益,并且在股指期貨開閘的今天,也已經阻礙了我國期貨市場的健康蓬勃發(fā)展。 本文分5章。第1章為緒論,主要介紹本文的研究背景、研究意義及研究框架,從我國股票市場指數(shù)與世界發(fā)達股票市場指數(shù)的對比,從編制的市值加權法、成份代表性和我國股票市場獨有的特殊性幾個方面引出上證綜指作為反映經濟晴雨表的危害性以及剔除該指數(shù)的意義。 第2章是“世界主要證券市場股票價格指數(shù)比較研究”,研究上證指數(shù)與滬深300指數(shù)及發(fā)達資本市場的股指差異,對比分析在我國由于限售股的存在和絕大部分國有股雖然解禁但實際上并未真正全流通的特殊情況下,上證綜指由于采用總市值加權法而具有的杠桿效應,使其具有被機構操控的風險。而采用自由流通市值加權法的成份股指滬深300指數(shù),則不具有杠桿效應,其更為科學的編制方法能廣泛客觀的反映我國股市全局的發(fā)展情況。 第3章是“上證綜指的危害性”,在這一章,首先肯定了該指數(shù)的歷史貢獻,對A股市場的前期發(fā)展起到了不可磨滅的作用,但由于我國資本市場的迅猛發(fā)展,上證指數(shù)已經起不到指示作用,其內在的缺陷反而被暴利機構利用,魚肉普通投資者,造成近些年來我國股市的暴漲暴跌。雖然政策制定者不斷發(fā)布更為科學的指數(shù)來反映特定的股票市場,但在上證綜指強勢的歷史地位和巨大的同化作用下,包括滬深300指數(shù)等均己成為該指數(shù)的“影子指數(shù)”。同時,以滬深300指數(shù)為標的的股指期貨也起不到規(guī)避風險套期保值的作用。 第4章是“剔除上證綜指的研究分析”,承接上一章的種種危害性,上證綜指必須在中國的股票市場中退出歷史舞臺,并且啟用更為科學的全局指數(shù)如滬深300指數(shù)成為新一代的龍頭指數(shù),并且分析了采用上述決策無論從股票市場還是從期貨市場都具有積極的歷史意義。 第5章是結論和政策建議。結論有2點：(1)具有杠桿效應的上證綜指是可以被操控的。(2)由于上證綜指的存在,滬深300現(xiàn)貨指數(shù)和期貨指數(shù)也被其左右控制。政策建議有2點：(1)管理層應以廣大投資者的利益角度出發(fā)進行戰(zhàn)略決策。(2)剔除上證綜指,采用滬深300指數(shù)為我國股市新的主導指數(shù)。 本文的創(chuàng)新之處在于：(1)本文從我國股票價格指數(shù)和世界主要先進資本市場股價指數(shù)進行比較,為研究我國股市健康的發(fā)展方式提供了一個新的分析視角。(2)本文通過指數(shù)編制方法的角度,研究上證綜指與滬深300指數(shù)的漲跌運行情況,并對二者之間的區(qū)別與聯(lián)系提出了新的觀點。(3)通過研究,本文提出了我國應該借鑒先進市場的做法,應采用成份股取代綜合指數(shù),采用自由流通量法取代全市值加權法的措施,從而使我國股票市場得以健康持續(xù)發(fā)展,保護廣大投資者的利益,使我國投資者能夠分享中國經濟成長帶來的成果,并對該視點進行了論證。
[Abstract]:With the comprehensive national strength has become increasingly strong, Chinese GDP has surpassed Japan to become the second largest economy in the world. At the end of the three quarter of 2012, China A shares of listed companies total stock market capitalization of 21 trillion and 500 billion yuan, the total market value of only ordinary shares of listed companies in the United States about 105 trillion and 200 billion yuan, ranking second in the world. From the point of view of the total index, Chinese are among the highest in the world, but at the same time, the capital market of individual Chinese stock market indicators compared with the developed countries there is a large gap. China stock market is to meet the needs of the economic transition and development, with the typical administrative regulation and the government to promote the characteristics of today still can not play an effective allocation of economic resources the role, it does not reflect the economic development "barometer". Especially represents the A stock market index - leading flagship The Shanghai Composite Index, the preparation defects inherent long-term and maneuverability has seriously hindered the healthy development of the stock market Chinese. Through the comparison of Shanghai and Shenzhen 300 index and other major domestic and foreign stock market index, the Shanghai Composite Index and the establishment of its characteristics and the stock index on China's stock market and Futures market has the hazards and potential risks, the purpose is to find a more easily manipulated and more in line with the interests of investors in the stock market index, to lead China positive and healthy development in the future.
If you want to understand the development trend of any country's economic situation, must first master on behalf of the ups and downs of the economy "barometer" of the stock price index. An index can really reflect the running status of the stock market in general, requires that the index has been a scientific objectivity. Known as the Dow, the British Financial Times index is < > better reflects the overall trend of the United States and the UK stock market, provides a visual impression, for the understanding of the development of national economy and the healthy development of the stock market also cannot do without a representative index. Compared with the developed markets, reflecting China's stock market flagship index is Shanghai, whether in the decision-making of the government, media and investors reference index, the index has been widely accepted by the investors in our country. However, through the study found. The composite index is manipulable and defective. It has been regarded as a huge profit tool of large capital institutions, which has seriously damaged the interests of investors. And today, when the stock index futures open, it has also hindered the healthy and vigorous development of China's futures market.
This paper is divided into 5 chapters. The first chapter is the introduction, mainly introduces the research background, research significance and research framework, from the comparison of China's stock market index and the world developed stock market index, the market capitalization weighted method for the preparation of the ingredients, and the representative of China's stock market leads to the particularity of several aspects of Shanghai as reflected the economic barometer of the harm and elimination of the index.
The second chapter is the comparative study of the world's major stock market stock price index, stock index of Shanghai stock index and Shenzhen 300 index and developed capital market, comparative analysis in our country due to limit the sale of shares of the existence and the vast majority of state-owned shares while the lifting of the ban but special circumstances haven't actually full circulation, the SSE Composite index weighted method the total market value of leverage effect, which has been the risk control. The mechanism of the free flow of market capitalization weighted stock index component of the CSI 300 index, does not have the leverage effect, the development of its more scientific preparation method can objectively reflect the global stock market widely in our country.
The third chapter is "hazard" in Shanghai, in this chapter, first affirmed the historical contribution of the index, the early development of the A stock market has played an indelible role, but because of the rapid development of China's capital market, the Shanghai index has no indication, the defects in it by using fish profits mechanism, ordinary investors in China in recent years, due to soaring stock market crash. Although policymakers continue to publish more scientific index to reflect the specific stock market, but in the historical status of Shanghai strong and great with the role, including the Shanghai and Shenzhen 300 index, the index has become the "shadow" index. At the same time, the stock index futures will not evade the risk hedging effect to the CSI 300 index.
The fourth chapter is the analysis of the research of eliminating the Shanghai Composite Index, the previouschapters all sorts of dangers, Shanghai must withdraw from the stage of history in the Chinese stock market, and enable more scientific global indices such as Shanghai and Shenzhen 300 index as a new generation of leading index, and analyzed whether the stock market or from the futures market has a positive historical significance of the decision.
The fifth chapter is the conclusion and policy suggestions. There are 2 conclusions: (1) with leverage effect is the Shanghai composite index can be manipulated. (2) because of the existence of Shanghai, Shanghai and Shenzhen 300 stock index and index futures is the policy suggestion about control. There are 2 points: (1) management should be the majority the interests of investors in perspective of strategic decision. (2) from Shanghai, the Shanghai and Shenzhen 300 index as the leading index of China's stock market new.
The innovation of this paper lies in: (1) this paper compares from the stock price index in China and the world's major advanced capital market stock index, provides a new analysis perspective for the study on the healthy development way of China's stock market. (2) the index method of mixed operation of Shanghai and Shenzhen 300 index, and a new viewpoint on the difference and relationship between the two. (3) through the research, this article proposed our country should learn from the advanced market approach should be adopted to replace the stock index, the value weighted method is used to replace the free circulation method measures, so that China's stock market to the healthy and sustainable development, to protect the interests of investors, the Chinese investors to share the fruits of growth Chinese economy, and the viewpoint are discussed.

【學位授予單位】：東北財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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