本文選題：股票市場 + 效用函數(shù)��； 參考：《南京財經(jīng)大學(xué)》2012年碩士論文

【摘要】：本文主要研究了中國股票市場對投資者、上市公司以及政府這三個股市主要參與方的福利狀況進行了分析。 對投資者的福利分析，我們主要通過兩個方面來進行研究。首先是基于財富效用空間的福利分析，主要通過雙曲絕對風(fēng)險厭惡（Hyperbolic Absolute RiskAversion,簡稱HARA）效用函數(shù)推導(dǎo)出與遞增風(fēng)險厭惡者、固定絕對風(fēng)險厭惡者及遞減風(fēng)險厭惡者相對應(yīng)的代表性效用函數(shù)，來分析股價漲跌對其福利狀況的影響。對此研究發(fā)現(xiàn)，對于遞增絕對風(fēng)險厭惡型投資者來說，如果由于股價上漲而使得浮動財富增加，同時股價下跌概率加大時，若投資者不減少風(fēng)險資產(chǎn)投資額，即獲利了結(jié)，那么將會使該型投資者的效用水平下降，福利狀況變差，反之,其福利狀況則會得到改善。遞減風(fēng)險厭惡者的情況與遞增風(fēng)險厭惡者的情況相反，固定風(fēng)險厭惡者的福利狀況則受股價波動影響較小。其次是從基于期望收益-方差空間的分析中發(fā)現(xiàn)牛市中投資者整體的福利狀況變好，而熊市中投資者整體的福利狀況則會惡化。 對上市公司的福利分析是通過融資體系和融資結(jié)構(gòu)的變化來進行的。發(fā)現(xiàn)銀行壟斷資金供給將使得企業(yè)的融資成本加大，企業(yè)的經(jīng)濟福利減少，而股市的發(fā)展使得融資渠道多元化，能夠改善企業(yè)的經(jīng)濟福利。但問題是企業(yè)要想在股票市場進行最大化的融資，從而使其從股市獲得最大化的福利效應(yīng)也是不可能的，而是要受到客觀經(jīng)濟形勢和投資者投資意愿制約的。 對政府的福利效應(yīng)分析結(jié)果表明，股市的融資功能是GDP增長的Granger原因，說明股市在融資轉(zhuǎn)化為投資從而助推經(jīng)濟發(fā)展方面確實起到了積極作用，，這一結(jié)論也從我們以C-D模型為基礎(chǔ)的具體數(shù)量分析中得到了驗證。另外，我們的研究表明股票市場并沒有對消費產(chǎn)生顯著的影響，股市的財富效應(yīng)不顯著，政府并沒有從股市拉動消費方面獲得福利。政府從股市中得到的最直接的經(jīng)濟福利是股市印花稅，1993年至2010年我國股民累積上繳印花稅達到6411.79億元。
[Abstract]:This paper mainly studies the welfare situation of the three main participants in Chinese stock market: investors, listed companies and the government. To the investor's welfare analysis, we mainly through two aspects to carry on the research. Firstly, based on the welfare analysis of wealth utility space, the hyperbolic Absolute risk aversion (HARAA) utility function is used to derive and increase the risk aversion. The representative utility function of absolute risk aversion and decreasing risk aversion is fixed to analyze the effect of stock price fluctuation on its welfare. In this study, it is found that for incremental absolute risk-averse investors, if the floating wealth increases due to the rise of the stock price and the probability of stock price decline increases, if the investors do not reduce the investment in risky assets, they will take profits. Then the utility level of this type of investors will be reduced, welfare conditions will become worse, conversely, their welfare conditions will be improved. Diminishing risk aversion is the opposite of increasing risk aversion, and the welfare of fixed risk averse is less affected by stock price volatility. Secondly, from the analysis based on expected income-variance space, it is found that the overall welfare status of investors in bull market is better, while that of investors in bear market will deteriorate. The welfare analysis of listed companies is carried out through the change of financing system and financing structure. It is found that the supply of bank monopoly funds will increase the financing cost of enterprises and reduce the economic welfare of enterprises, while the development of stock market will make financing channels diversified and improve the economic welfare of enterprises. However, the problem is that it is impossible for enterprises to maximize their financing in stock market so as to maximize their welfare effect from the stock market, but are restricted by the objective economic situation and investors' investment intention. The analysis of the welfare effect of the government shows that the financing function of the stock market is the Granger reason for the growth of GDP, which indicates that the stock market has played a positive role in transforming financing into investment and thus promoting economic development. This conclusion is also verified by our quantitative analysis based on C-D model. In addition, our research shows that the stock market does not have a significant impact on consumption, the stock market wealth effect is not significant, and the government does not benefit from the stock market driving consumption. The most direct economic benefit that the government receives from the stock market is the stamp duty on the stock market. From 1993 to 2010, the accumulated stamp duty paid by Chinese shareholders reached 641.179 billion yuan.
【學(xué)位授予單位】：南京財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1875950