本文選題：金融市場(chǎng)穩(wěn)定　切入點(diǎn)：金融市場(chǎng)效率　出處：《山西大學(xué)》2012年博士論文　論文類(lèi)型：學(xué)位論文

【摘要】：美國(guó)次貸危機(jī)演變成全球金融海嘯,歐債危機(jī)不斷蔓延致使歐元區(qū)在崩潰的邊緣搖搖欲墜,金融危機(jī)在波及世界各地金融系統(tǒng)的同時(shí)還蔓延到實(shí)體經(jīng)濟(jì),導(dǎo)致大規(guī)模的中小企業(yè)倒閉,進(jìn)而引發(fā)世界經(jīng)濟(jì)衰退,凸顯了世界金融市場(chǎng)的系統(tǒng)性風(fēng)險(xiǎn)在經(jīng)濟(jì)金融發(fā)展中的重要作用。隨著金融全球化的深化,資本在全球范圍內(nèi)的重新配置,各國(guó)金融市場(chǎng)之間的聯(lián)系更加緊密,一國(guó)發(fā)生危機(jī)極可能傳遞到其他市場(chǎng),進(jìn)而引發(fā)多個(gè)市場(chǎng)的聯(lián)動(dòng),呈現(xiàn)出高度的傳染特征,使得各國(guó)聯(lián)系更加錯(cuò)綜復(fù)雜而難以獨(dú)善其身。金融市場(chǎng)風(fēng)險(xiǎn)的防范更加復(fù)雜。在關(guān)注單個(gè)市場(chǎng)、單個(gè)行業(yè)、單個(gè)金融機(jī)構(gòu)風(fēng)險(xiǎn)的同時(shí),還需要從宏觀和整體的角度出發(fā)防范系統(tǒng)性風(fēng)險(xiǎn)。如何從整體的視角引導(dǎo)金融市場(chǎng)的穩(wěn)定健康發(fā)展、確保經(jīng)濟(jì)的平穩(wěn)快速增長(zhǎng)事關(guān)全球,引起了實(shí)務(wù)界與學(xué)界對(duì)金融危機(jī)的深層次反思,得到了世界金融組織、各國(guó)政府等的高度重視。二十國(guó)集團(tuán)財(cái)長(zhǎng)和央行行長(zhǎng)聯(lián)合聲明努力采取一切必要措施共同維護(hù)金融市場(chǎng)穩(wěn)定,國(guó)際貨幣基金組織副總裁約翰提出有必要進(jìn)行國(guó)家間大規(guī)模且相互連接的金融穩(wěn)定性評(píng)估,我國(guó)政府在“十二五規(guī)劃”明確提出“構(gòu)建逆周期的金融宏觀審慎管理制度框架”,都是為建立一個(gè)系統(tǒng)的、縱觀全球的、更加有效的監(jiān)管系統(tǒng)而做出的努力。可見(jiàn),全球經(jīng)濟(jì)金融的繁榮不可分割,實(shí)現(xiàn)金融市場(chǎng)穩(wěn)定健康的責(zé)任必須由全球各國(guó)共同承擔(dān),在國(guó)內(nèi)推行強(qiáng)有力的監(jiān)管系統(tǒng)的同時(shí),有必要建立更加具有一致性和系統(tǒng)性的跨國(guó)合作,創(chuàng)立全球金融系統(tǒng)所需的、通過(guò)國(guó)際社會(huì)一致認(rèn)可的高標(biāo)準(zhǔn)監(jiān)管框架,立足于防范全球系統(tǒng)性風(fēng)險(xiǎn)來(lái)確保金融市場(chǎng)的穩(wěn)定健康發(fā)展更具意義。因而,金融市場(chǎng)穩(wěn)定的探索彰顯了理論價(jià)值與實(shí)踐價(jià)值并重。 站在金融危機(jī)頻發(fā)的時(shí)期,金融市場(chǎng)的穩(wěn)定健康發(fā)展更加值得關(guān)注。然而,金融市場(chǎng)運(yùn)行情況到底如何?如何確保金融市場(chǎng)的穩(wěn)定運(yùn)行?為什么局部受損會(huì)引起整體坍塌?為什么小規(guī)模(相對(duì)美國(guó)金融市場(chǎng)的規(guī)模)的次級(jí)貸款問(wèn)題會(huì)引發(fā)如此嚴(yán)重的后果?金融系統(tǒng)哪些節(jié)點(diǎn)的破損會(huì)導(dǎo)致整個(gè)金融系統(tǒng)的坍塌?沖擊是如何在金融系統(tǒng)中傳染的,如何擴(kuò)散到其它領(lǐng)域的?都成為亟待解決的重大問(wèn)題。受此啟發(fā),本文基于系統(tǒng)的視角探索金融市場(chǎng)穩(wěn)定與否,立足于金融市場(chǎng)的信息效率與金融機(jī)構(gòu)的效率收斂特征探究金融市場(chǎng)的質(zhì)量,著眼于系統(tǒng)性沖擊是否被放大提出金融市場(chǎng)穩(wěn)定的新定義,建立判斷金融市場(chǎng)穩(wěn)定的準(zhǔn)則,構(gòu)建監(jiān)控金融市場(chǎng)運(yùn)行的穩(wěn)定指數(shù),設(shè)計(jì)尋找金融市場(chǎng)中最不穩(wěn)定與最能夠?qū)κ袌?chǎng)穩(wěn)定造成極大破壞的關(guān)鍵部分的技術(shù),為有效監(jiān)管金融市場(chǎng)填充新的技術(shù)方法,為金融市場(chǎng)穩(wěn)定健康發(fā)展的宏觀政策的制定提供理論依據(jù)。 本文首先基于宏觀和微觀兩個(gè)層面探究金融市場(chǎng)效率度量標(biāo)準(zhǔn),合理測(cè)度我國(guó)金融市場(chǎng)的效率水平,著眼于市場(chǎng)信息效率水平與產(chǎn)出效率是否收斂,來(lái)檢驗(yàn)金融市場(chǎng)自身的質(zhì)量,實(shí)證發(fā)現(xiàn)我國(guó)金融市場(chǎng)不存在利用歷史價(jià)格信息獲得超額收益的套利機(jī)會(huì),基本達(dá)到了弱式有效,市場(chǎng)向著更加有效和穩(wěn)定的趨勢(shì)發(fā)展,而我國(guó)金融機(jī)構(gòu)的產(chǎn)出效率存在收斂特征,且一致向著高效率的趨勢(shì)發(fā)展,表明我國(guó)金融市場(chǎng)質(zhì)量在不斷提高,為金融市場(chǎng)穩(wěn)定性的增強(qiáng)提供了有利的環(huán)境；聚焦于全球大環(huán)境下的系統(tǒng)性沖擊,我們?cè)O(shè)計(jì)了判斷金融市場(chǎng)穩(wěn)定的檢驗(yàn)方法,實(shí)證分析了我國(guó)金融市場(chǎng)的穩(wěn)定性,再次支持了我國(guó)金融市場(chǎng)邁向更加穩(wěn)定狀態(tài)的結(jié)論；構(gòu)建了金融市場(chǎng)穩(wěn)定指數(shù),基于我國(guó)市場(chǎng)實(shí)證檢驗(yàn)該指數(shù)的有效性與穩(wěn)健性,并對(duì)比具有代表性的十三個(gè)國(guó)家的穩(wěn)定指數(shù),發(fā)現(xiàn)了金融危機(jī)對(duì)各國(guó)市場(chǎng)影響的差異性；立足于金融穩(wěn)定指數(shù)與金融復(fù)雜網(wǎng)絡(luò),探究了金融網(wǎng)絡(luò)中各個(gè)參與者的穩(wěn)定度及其對(duì)整個(gè)金融系統(tǒng)穩(wěn)定的重要度,提出了著力防范和化解重點(diǎn)領(lǐng)域以及關(guān)鍵部分潛在風(fēng)險(xiǎn)的措施,全面提升了金融市場(chǎng)抵御風(fēng)險(xiǎn)沖擊的能力,為探索建立金融宏觀監(jiān)管制度,防范系統(tǒng)性風(fēng)險(xiǎn),切實(shí)維護(hù)金融穩(wěn)定供了一個(gè)新的思路。
[Abstract]:The U.S. subprime mortgage crisis evolved into a global financial tsunami, resulting in the spread of the euro zone teetering on the brink of collapse of European debt crisis, the financial crisis in the financial system spread all over the world also spread to the real economy, leading to large-scale closure of small and medium enterprises, which caused the world economic recession, highlighting the important role of systemic risk in the financial market of the world in the economic financial development. With the deepening of the financial globalization, the reallocation of the worldwide capital between countries, financial markets more closely linked, a crisis occurs in one country may transfer to other markets, triggering a market linkage, showing the characteristics of highly infectious, the more perplexing and difficult to contact alone. To prevent financial market risk more complex. In a single industry, focusing on a single market, the risk of individual financial institutions at the same time, also The need of preventing systemic risk from the macro perspective. How to guide the healthy and stable development of the financial market from the overall perspective, to ensure stable and rapid economic growth is global, caused the practice and academic deep reflection on the financial crisis, the world financial organizations and governments attach great importance to the twenty. The G20 finance ministers and central bank governors joint statement to take all necessary measures to safeguard the stability of the financial market, vice president of the International Monetary Fund, John put forward the necessary national large and interconnected financial stability assessment, the Chinese government in the "12th Five-Year plan" clearly put forward "a counter cyclical financial macro prudent management system framework". Is to establish a system of supervision system, throughout the world, more effective efforts. Thus, the global economic and financial Prosperity can not be separated, to achieve financial market stability and healthy responsibility must be shared by all countries in the world, the implementation of the supervision system of strong in China at the same time, it is necessary to establish cross-border cooperation is more systematic and consistent, the creation of the global financial system requires high standards, through the regulatory framework of internationally agreed, based on to prevent the global systemic risk to ensure the stable and healthy development of the financial market is more significant. Therefore, to explore the stability of the financial market highlights the theoretical value and practical value of both.
Stand in the financial crisis period, stable and healthy development of the financial market should pay more attention to the operation of financial market. However, in the end how? How to ensure the stable operation of the financial market? Why local damage will cause the overall collapse? Why small size (relative to the scale of the financial markets in the United States) subprime loans will lead to such a serious problem what are the consequences? Financial system node breakage can result in the entire financial system collapse? How is the impact of infection in the financial system, how to spread to other areas? Have become a major problem to be solved. Inspired by this, this paper based on the perspective of financial market stability, the quality and efficiency of information efficiency and convergence characteristics financial institutions based on the financial market of financial market, focusing on the systemic impact is magnified propose new definitions of financial market stability, construction Make judgment of financial stability criterion, to build a stable financial market operation monitoring index, the key part of the financial market in the most unstable and can cause great damage to the stability of the market for technical design, filling a new method for the effective supervision of the financial market, to provide a theoretical basis for the formulation of macroeconomic policy stable and healthy development of financial markets.
In this paper, based on the two macro and micro level of the financial market efficiency metrics, efficiency level of reasonable measure of financial market in our country, focus on market information efficiency level and output efficiency of convergence, quality to test the financial markets, China's financial market empirical research found that there is no arbitrage opportunity to obtain excess returns using historical price information the basic to weakly effective market toward a more efficient and stable development trend, and China's financial institutions, the output efficiency of the convergence characteristics, and consistent trend toward high efficiency development, indicates that China's financial market in the continuous improvement of quality, provide a favorable environment for improving financial market stability; systemic shocks focus on the global environment, we design a method to test the stability of financial markets, the empirical analysis of the stability of the financial market in china, Once again support the financial market of our country towards a more stable conclusion; construct financial market stability index, effectiveness and robustness of the empirical test of market of our country based on the index of stability index, and comparison of thirteen representative countries, found differences in the impact of financial crisis on the world market; based on financial stability the financial index and the complex network, explore the stability of the various participants in the financial network and its influence on the stability of the financial system is put forward, to prevent and resolve the key areas and key part of the potential risk measures, enhance the ability to resist risks of financial market impact, the establishment of financial supervision system in order to explore the macro, to prevent systemic the risk, and earnestly safeguard the financial stability for a new way of thinking.

【學(xué)位授予單位】：山西大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F831.5;F224

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