【摘要】：行為金融學理論告訴我們,證券市場投資者無論是對信息的反應還是對結果的處理均具有非對稱性的特征,投資者行為的非對稱性必然導致股票市場收益率的非對稱,這一結論也被大量的實證研究所證實。然而,理論分析又同時表明,股票市場收益率對稱分布是市場有效的必要條件,收益率分布非對稱又會導致市場無效,從而遭致效率損失。因此,改善收益率的對稱性就成為提升資本市場運行效率的基礎,尋求改善收益率分布對稱性特征的現(xiàn)實路徑也就成為資本市場運行研究的重大理論問題。從實踐上看,雖然中國資本市場的創(chuàng)建起步較晚,但發(fā)展卻極其迅速,無論在規(guī)模還是在資本市場體系基本架構上,我們用不到二十年的時間走完了成熟市場上百年的發(fā)展歷程。截止至本世紀初,中國股票市場規(guī)模已位居全球各國股票市場的前列,近些年來,隨著0cT市場的試點,一個以主板市場、中小企業(yè)板市場、創(chuàng)業(yè)板市場和場外交易市場為基點的完善的多層資本市場體系架構初步形成。另一方面,中國股票市場規(guī)模的迅速擴張與多層資本市場體系的形成,資本市場運行過程中的一些問題不僅充分暴露,而且漸近變得愈來愈突出,資本市場也面臨著重大的“結構升級”問題,即資本市場“粗放型”發(fā)展已不再適合中國經濟發(fā)展和金融發(fā)展的基本格局,資本市場的發(fā)展必須轉向“精細化”的發(fā)展格局,而資本市場“精細化”的問題實質上是市場各種規(guī)則的科學化設計；此外,從現(xiàn)行統(tǒng)一的多層資本市場體系限價性交易制度上看,完全統(tǒng)一的限價性交易制度顯然既沒能體現(xiàn)多層資本市場體系的層次性,也與各層資本市場本身的收益與風險特征不相適應。因此,從制度設計的角度去探討中國資本市場的健康與可持續(xù)發(fā)展,就成為我們當前所面臨的重大的現(xiàn)實問題。本文以限價性交易制度為切入點,在對限價性交易制度合理性討論的基礎上,通過對收益率分布特征與市場有效性相互關系的考察,探討了限價性交易制度對收益率分布的影響作用及其效應,同時結合行為金融學中有關投資者行為非對稱的相關理論與實踐,提出了非對稱性限價交易制度的制度設計理念,并從實證分析的角度對中國主板市場和多層資本市場的限價性交易制度效應進行了分析,在模擬分析的基礎上,構建了中國主板市場、中小企業(yè)板市場和創(chuàng)業(yè)板市場非對稱性限價交易制度的具體優(yōu)化方案。全文由八章組成：第一章為導論,分別對本研究的選題背景、研究意義以及本文運用的研究方法與結構等方面進行了分析、論述。此外,還梳理回顧了國內外對這一問題的研究現(xiàn)狀,理清了文章的脈絡,概括了研究框架,設定了研究內容,發(fā)掘出研究以資借鑒的具體方法,思考了需深入研究的相關問題。第二章從有效市場理論入手,通過對有效市場的理論分析,說明收益率分布與有效市場以及市場效率的關系,通過理論分析可知,有效市場是帕累托有效的,收益率對稱性分布是有效市場的必要條件,而收益率非對稱性將導致市場無效,進而帶來效率損失。第三章對中國多層資本市場在資源配置層面以及風險配置層面進行了理論性帕累托有效性的分析,然后通過對有效市場的基本條件的剖析論證了非對稱性的波動特征必然會破壞市場的有效性,從而無法實現(xiàn)資源配置與風險配置的帕累托最優(yōu),結果遭致多層資本市場效率的損失。第四章利用行為金融的相關理論,探討投資者的投資心理是非對稱性的,進而導致交易行為的非對稱性,反映到整個市場上就是收益率的非對稱性,顯然這與現(xiàn)在實行的對稱性交易機制是不相符的,當前實行的對稱性漲跌幅不但沒有對投資者投資行為非對稱行為進行疏解,反而對非對稱性波動產生了加劇的作用。第五章首先從波動視角深入的探討中國證券市場的發(fā)展歷程,進而分析了多層資本市場在收益率方面的基本特征,檢驗了其穩(wěn)定性；接下來分析了市場的回歸性；為后續(xù)檢驗市場體系內部的聯(lián)動性和一致性奠定基礎。第六章深入分析對稱性交易機制運行時出現(xiàn)的問題,通過構建VF-EGARcH-M模型,這一模型的構建是建立在價值函數(shù)理論基礎之上的,來集中探討中國主板市場非對稱限價交易制度的設計。此外結合實證主義的研究手段對中國資本市場漲停限價制度的非對稱性效應進行了深入的分析,并且在與極值理論進行密切結合的基礎之上,對漲跌幅進行了最優(yōu)的設計,蒙特卡洛模擬技術分析與檢驗的結果表明,中國主板市場的最優(yōu)漲跌幅限價交易應調整為,以跌幅10%為基準的漲幅13%。第七章依據(jù)上一章有關主板市場非對稱性限價交易制度設計的分析與結果,結合前述有關多層資本市場體系的相關研究結論,重點探討了中國多層資本市場體系的非對稱限價交易機制設計方案,研究結果顯示,在主板市場非對稱限價交易制度選擇為(-10%,+13%)的前提下,中小企業(yè)板和創(chuàng)業(yè)板的非對稱限價交易制度應分別設定為(-11.3%,+17%)和(-14.3%,+23%)。第八章,總結全文,依據(jù)對中國資本市場實行非對稱機制的創(chuàng)設提出了相應的建議,反思了本研究的局限性,展望了本課題在未來的研究方向。通過分析與深入研究,本文得到了一些有價值的結論,并在以下幾個方面做了一些有創(chuàng)新性的工作。(1)借助經濟學分析工具,從理論上探討了有效市場與帕累托有效的關系,有效市場與收益率分布特征的關系,以及收益率分布特征與帕累托有效的關系；(2)對多層資本市場從資源配置和風險配置兩層面分別進行了帕累托有效性分析,論證了收益率對稱性是達到帕累托有效的必要條件；(3)運用前景理論對股市收益率非對稱性波動特征與對稱性交易機制之間的關系進行了分析；(4)構建了VF-EGARCH-M這一建立在價值函數(shù)基礎之上的模型,運用實證研究的手段分析了中國資本市場對稱性的漲跌限價體制之非對稱性的效應,提出了主板市場和多層資本市場體系非對稱性限價交易制度的最優(yōu)設計方案,并且借助蒙特卡洛模擬技術對設計方案做出了有效性的檢驗。
[Abstract]:Behavioral finance theory tells us that investors in the securities market are asymmetrical both in response to information and in dealing with results. The asymmetrical behavior of investors will inevitably lead to asymmetrical returns in the stock market. This conclusion is also confirmed by a large number of empirical studies. The symmetrical distribution of stock market returns is a necessary condition for the market to be effective, and the asymmetrical distribution of returns will lead to inefficiency of the market, resulting in loss of efficiency. In practice, although the establishment of China's capital market started late, its development has been extremely rapid. In terms of scale and the basic structure of the capital market system, it will not take us more than 20 years to complete the 100-year development of the mature market. In recent years, with the pilot of 0ct market, a perfect multi-tier capital market system based on the main board market, SME board market, GEM market and OTC market has been formed. On the other hand, the rapid expansion of China's stock market and multi-tier capital market have taken shape. The formation of the market system and some problems in the operation of the capital market have not only been fully exposed, but also become increasingly prominent. The capital market is also facing a major "structural upgrading" problem, that is, the "extensive" development of the capital market is no longer suitable for the basic pattern of China's economic and financial development, and the development of the capital market. We must turn to the development pattern of "refinement", and the problem of "refinement" of the capital market is essentially the scientific design of market rules; furthermore, from the current unified multi-tier capital market system, Price-Limiting trading system, a fully unified Price-Limiting trading system obviously can not reflect the multi-tier capital market system. Therefore, to discuss the healthy and sustainable development of China's capital market from the perspective of institutional design has become a major practical problem we are facing. This paper takes the price-limited trading system as the breakthrough point to discuss the rationality of the price-limited trading system. On the basis of the theory, through the investigation of the relationship between the characteristics of yield distribution and the efficiency of market, this paper discusses the effect of Price-Limiting trading system on the distribution of yield and its effect. At the same time, combining with the relevant theories and practices of Behavioral Finance on the asymmetry of investors'behavior, it puts forward the system design of asymmetric Price-Limiting trading system. Based on the simulation analysis, this paper constructs the specific optimization scheme of the asymmetric Price-limit trading system in the Chinese mainboard market, SME board market and GEM market. The first chapter is the introduction, which analyzes the background, significance, methods and structure of this study. In addition, it reviews the research status of this issue at home and abroad, clarifies the context of the article, summarizes the research framework, sets the research content, and excavates the research for reference. The second chapter begins with the efficient market theory, and through the theoretical analysis of the efficient market, explains the relationship between the yield distribution and the efficient market as well as the market efficiency. Necessary conditions, and asymmetric returns will lead to inefficiency of the market, which will lead to efficiency losses. Chapter 3 analyzes the theoretical Pareto effectiveness of China's multi-level capital market at the level of resource allocation and risk allocation, and then demonstrates the volatility characteristics of asymmetry through the analysis of the basic conditions of the efficient market. However, it will destroy the effectiveness of the market, so that the Pareto optimality of resource allocation and risk allocation can not be realized, resulting in the loss of efficiency of the multi-tier capital market. It is obvious that the asymmetry of returns is not consistent with the symmetrical trading mechanism currently implemented. The current symmetrical fluctuation does not alleviate the asymmetrical behavior of investors'investment behavior, but exacerbates the asymmetrical volatility. The development process of the securities market, and then analyzes the basic characteristics of the multi-level capital market in terms of yield, testing its stability; then analyzes the regression of the market; for the follow-up test of the market system linkages and consistency to lay the foundation. This paper constructs the VF-EGARcH-M model, which is based on the theory of value function to discuss the design of asymmetric limit trading system in Chinese mainboard market. In addition, the asymmetric effect of the limit trading system in Chinese capital market is analyzed in depth by means of empirical research. On the basis of the extreme value theory, the paper designs the optimum range of rise and fall. The results of Monte Carlo simulation show that the optimum range of rise and fall should be adjusted to a 13% increase based on a 10% drop. Chapter 7 is based on the asymmetric limit trading of the previous chapter. Based on the analysis and results of the institutional design and the related research conclusions of the above-mentioned multi-tier capital market system, this paper mainly discusses the design scheme of the asymmetric Price-Limiting trading mechanism in China's multi-tier capital market system. The results show that the SMEs board and the venture capital market are created under the premise that the asymmetric Price-Limiting trading system in the main board market is (-10%, +13%). Chapter 8 summarizes the full text, puts forward corresponding suggestions based on the establishment of asymmetric mechanism in China's capital market, reflects on the limitations of this study, and looks forward to the future research direction of this topic. Some valuable conclusions have been drawn and some innovative work has been done in the following aspects: (1) The relationship between efficient market and Pareto efficiency, the relationship between efficient market and yield distribution characteristics, and the relationship between yield distribution characteristics and Pareto efficiency have been discussed theoretically with the aid of economic analysis tools; (2) The relationship between efficient market and Pareto efficiency has been studied for multi-layers. The capital market has carried on the Pareto validity analysis separately from the resources allocation and the risk allocation two stratification planes, has demonstrated that the yield symmetry is achieves the Pareto validity the essential condition; (3) has used the prospect theory to analyze the stock market return Asymmetry Volatility characteristic and the symmetry transaction mechanism relations; (4) has constructed the VF-EGAR. CH-M, a model based on value function, uses empirical research to analyze the asymmetric effect of price-fixing system with symmetry in China's capital market, and proposes the optimal design scheme of asymmetric price-fixing system with the help of Monte Carlo simulation technology. The effectiveness of the design is verified.
【學位授予單位】：天津財經大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：2243741