本文選題：政策 + 干預(yù)模型　； 參考：《湘潭大學(xué)》2013年碩士論文

【摘要】：我國(guó)股票市場(chǎng)成立較晚，市場(chǎng)發(fā)展還不夠成熟，投資者仍然缺乏理性。政府為了維護(hù)市場(chǎng)穩(wěn)定、引導(dǎo)投資，經(jīng)常會(huì)干預(yù)市場(chǎng)的運(yùn)行。政策干預(yù)是政府干預(yù)股票市場(chǎng)的重要手段，現(xiàn)有研究顯示我國(guó)股票市場(chǎng)存在明顯的政策市特征。但是，政策干預(yù)的效果如何，，頒布怎樣的政策以更好干預(yù)市場(chǎng)，目前都沒(méi)有很好的度量方法。如果能夠衡量出政策干預(yù)對(duì)股票市場(chǎng)波動(dòng)所帶來(lái)的沖擊力度，以及沖擊力度的持續(xù)性，那么就可以很好的把握政策干預(yù)的預(yù)期效果，使干預(yù)更有效。在此基礎(chǔ)上，如果能夠?qū)Ω黝愓呒右詤^(qū)分，分別衡量出不同類型政策的影響程度，以及同種類型的政策在股市發(fā)展的不同階段對(duì)股市波動(dòng)影響的差異，就能為政策制定主體在使用政策干預(yù)市場(chǎng)時(shí)提供依據(jù)，同時(shí)也能給投資者提供一個(gè)應(yīng)對(duì)股市波動(dòng)的參考。 本文以有效市場(chǎng)理論為基礎(chǔ)，把政策視為影響股票價(jià)格的一種信息流，來(lái)研究政策對(duì)股票價(jià)格的影響。首先，對(duì)傳統(tǒng)的干預(yù)模型進(jìn)行修正，使干預(yù)模型中的時(shí)間變量T代表的是政策作為信息流實(shí)際影響股市的時(shí)間，修改后所得到的沖擊力度才能真正反映政策對(duì)股票市場(chǎng)的影響大小。接下來(lái)在眾多政策制定主體中選取最具影響力的中國(guó)證監(jiān)會(huì)、中國(guó)人民銀行和財(cái)政部三個(gè)，并在其所頒布的各項(xiàng)政策中選取對(duì)股票市場(chǎng)影響較大的幾種政策：印花稅、利率、存款準(zhǔn)備金率和其他直接股市政策，用修正后的干預(yù)模型來(lái)分析各類政策對(duì)股市的影響幅度及影響的持續(xù)性。同時(shí)，按一定的劃分原則，將我國(guó)股票市場(chǎng)劃分為不同的階段。最后，對(duì)實(shí)證結(jié)果加以分析，總結(jié)了同種類型政策在股票市場(chǎng)發(fā)展的不同階段對(duì)股市的影響差異，以及不同類型政策在股市發(fā)展的相同階段對(duì)股市影響的不同。從同類政策對(duì)股票市場(chǎng)影響的差異中，發(fā)現(xiàn)我國(guó)股市的發(fā)展趨勢(shì)和規(guī)律。在文章結(jié)尾，針對(duì)本文的實(shí)證結(jié)果，提出了各種政策建議。
[Abstract]:China's stock market was established late, the market development is not mature enough, investors are still lack of rationality. In order to maintain market stability and guide investment, the government often interferes with the operation of the market. Policy intervention is an important means of government intervention in stock market. However, there is no good measure of the effect of policy intervention and the policy to better intervene the market. If we can measure the impact of policy intervention on stock market volatility and the sustainability of impact intensity, we can grasp the expected effect of policy intervention and make the intervention more effective. On this basis, if all kinds of policies can be distinguished, the degree of influence of different types of policies can be measured, as well as the influence of the same type of policies on stock market volatility at different stages of the development of the stock market. It can provide the basis for the policy makers to intervene in the market, and can also provide a reference for investors to deal with the volatility of the stock market. Based on the efficient market theory, this paper regards policy as a kind of information flow that affects the stock price. To study the impact of policy on stock prices. First of all, the traditional intervention model is modified so that the time variable T in the intervention model represents the time when policy, as a flow of information, actually affects the stock market. Only after modification can the impact of the policy reflect the impact of the policy on the stock market. Then, three of the most influential policy makers, the CSRC, the people's Bank of China and the Ministry of Finance, are selected among the many policy makers, and several policies that have a greater impact on the stock market are selected among the policies promulgated: stamp duty, interest rate, The reserve requirement ratio (RRR) and other direct stock market policies are analyzed by using the modified intervention model to analyze the extent and sustainability of the impact of various policies on the stock market. At the same time, according to certain division principle, the stock market of our country is divided into different stages. Finally, the empirical results are analyzed, and the influence of the same type of policies on the stock market in different stages of the development of the stock market is summarized, as well as the influence of different types of policies on the stock market at the same stage of the development of the stock market. From the differences of the influence of the similar policies on the stock market, we find out the development trend and law of the stock market in our country. At the end of the article, various policy suggestions are put forward according to the empirical results of this paper.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：2009367