本文選題：滬股通 + 風險溢價��； 參考：《東華大學》2017年碩士論文

【摘要】：目前,上交所、深交所成立至今約26年,我國證券市場已經(jīng)發(fā)展成一個多層次、多結(jié)構(gòu)、逐漸完善的資本市場,股市成為我國經(jīng)濟發(fā)展和融資重要的媒介。在政府的大力推動下,連接內(nèi)地和香港資本市場的滬港通(滬股通和港股通)正式開通,滬股通將為深港通、滬倫通的開通奠定基礎(chǔ)。由于其在中國資本市場開放的研究方面具有重要意義,引起學者的廣泛關(guān)注。另外,流動性風險溢價和資產(chǎn)定價也是近幾年主要研究方向之一。本文以滬股通為研究標的,分析股票市場流動性風險溢價效應(yīng)、規(guī)模效應(yīng)和價值效應(yīng),進行資產(chǎn)定價模型適用性研究,進一步對比分析滬股通開通這一事件的影響作用。本文首先進行滬股通標的股定價模型適用性研究,具體分組包括滬股通標的股開通前(2012/1-2014/11/17)、滬股通開通后(2014/11/17-2016/9/30)和上證A股(剔除滬股通標的股)三組對象。實證結(jié)果顯示:在滬股通開通前、滬股通開通后以及上證A股市場(剔除滬股通標的股)三組中均存在規(guī)模效應(yīng)、價值效應(yīng)、流動性風險效應(yīng),而經(jīng)典的CAPM模型不能解釋市場的規(guī)模效應(yīng)、價值效應(yīng)、流動性風險效應(yīng);加入SMB和HML的F-F三因子模型可以解釋研究標的的規(guī)模效應(yīng)和價值效應(yīng),但是不能解釋滬股通市場流動性風險溢價效應(yīng)。為解決流動性溢價問題,本文通過改進Amhuid的流動性指標建立衡量流動性的指標的流動性因子。而引入流動性因子的F-F擴展模型對規(guī)模效應(yīng)、價值效應(yīng)和流動性風險效應(yīng)都能很好的解釋,所以本文中建立的基于流動性因子的F-F擴展模型在滬股通開通前和滬股通開通后的市場均是有效的,同樣F-F擴展模型在上證A股(剔除滬股通)也是有效的,即本文構(gòu)造的基于流動性因子的F-F擴展模型適合我國股票滬股通標的股市場和上證A股市場定價研究�；诩尤肓鲃有砸蜃拥腇-F擴展模型在我國滬股通市場和上證A股市場(剔除滬股通)是有效的,本文進一步利用該模型檢驗滬股通開通前后和上證A股市場(剔除滬股通)市場是否存在差別。結(jié)果顯示:市場風險溢價仍然是影響股票超額收益最主要的影響因素;但可能因市場的不同導致基于流動性因子的F-F擴展模型在不同市場的解釋力度存在一定的差異,其中F-F擴展模型對滬股通開通后股票超額收益的解釋能力明顯高于在滬股通開通前和上證A股市場(剔除滬股通),回歸系數(shù)顯示滬股通開通后賬面市值效應(yīng)對股票價格的影響力更大,而系統(tǒng)性風險、規(guī)模效應(yīng)和流動性溢價效應(yīng)的影響力有所降低,即滬股通開通后投資者更注重價值因子的影響作用,即有利于投資者回歸價值投資。
[Abstract]:At present, the Shanghai Stock Exchange and Shenzhen Stock Exchange have been established for about 26 years, the securities market of our country has developed into a multi-level, multi-structure and gradually perfect capital market, and the stock market has become an important medium for the economic development and financing of our country. The Shanghai-Hong Kong Stock Connect (Shanghai Stock Connect and Hong Kong Stock Connect), which links the mainland and Hong Kong capital markets, will lay the foundation for the opening of the Shenzhen-Hong Kong Stock Connect and the Shanghai-Hong Kong Stock Connect. Because of its important significance in the research of Chinese capital market opening, scholars pay more attention to it. In addition, liquidity risk premium and asset pricing are also one of the main research directions in recent years. This paper analyzes the liquidity risk premium effect, scale effect and value effect of stock market, studies the applicability of asset pricing model, and further compares the impact of the opening of Shanghai Stock Connect. This paper firstly studies the applicability of the pricing model of the Shanghai Stock Connect bid, including three groups of objects: Shanghai Stock Exchange A (excluding the Shanghai Stock Connect) and Shanghai Stock Exchange A (excluding the Shanghai Stock Connect) after the launch of the Shanghai Stock Connect, which includes the following three groups: 2012 / 1-2014 / 11 / 17 / 17 / 17, 2014 / 11 / 17 / 9 / 30 and Shanghai Stock Exchange A (excluding the Shanghai Stock Connect). The empirical results show that there are scale effect, value effect and liquidity risk effect in Shanghai Stock Exchange and Shanghai Stock Exchange A stock market before and after the opening of Shanghai Stock Connect. However, the classical CAPM model can not explain the scale effect, value effect and liquidity risk effect of the market, and the F-F three-factor model with SMB and HML can explain the scale effect and value effect of the research object. But can not explain Shanghai stock market liquidity risk premium effect. In order to solve the liquidity premium problem, this paper establishes a liquidity factor to measure liquidity by improving the liquidity index of Amhuid. The F-F extended model with liquidity factor can explain the scale effect, value effect and liquidity risk effect. Therefore, the F-F expansion model based on liquidity factor established in this paper is effective before and after the opening of the Shanghai Stock Connect, and the F-F extension model is also effective in Shanghai Stock Exchange A (excluding the Shanghai Stock Connect). That is, the F-F extended model based on liquidity factor is suitable for the pricing research of Shanghai Stock Exchange and Shanghai Stock Exchange. The F-F expansion model based on the liquidity factor is effective in the Shanghai Stock Connect Market and Shanghai Stock Exchange A Stock Market (excluding the Shanghai Stock Connect). This paper further uses this model to test whether there are differences between Shanghai Stock Exchange and Shanghai Stock Exchange A stock market before and after the opening of the Shanghai Stock Connect (excluding Shanghai Stock Connect) market. The results show that the market risk premium is still the most important factor affecting the excess return of stock, but the F-F expansion model based on liquidity factor may have some differences in the interpretation in different markets. The ability of F-F extended model to explain the excess return of stock after the opening of Shanghai Stock Connect is obviously higher than that of Shanghai Stock Exchange and Shanghai Stock Exchange (excluding the Shanghai Stock Connect, the regression coefficient shows that the book market value effect on stocks after the opening of Shanghai Stock Connect is higher than that of Shanghai Stock Exchange.) The price of the ticket is more influential, However, the influence of systemic risk, scale effect and liquidity premium effect is reduced, that is, investors pay more attention to the influence of value factor after the opening of Shanghai Stock Connect, that is, it is favorable for investors to return to value investment.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

【相似文獻】

相關(guān)期刊論文 前10條

1 王維莉;程雄;吳琦;;基于空間形態(tài)的小城鎮(zhèn)擴展模型研究[J];華中師范大學學報(自然科學版);2010年03期

2 魏靜;何穗;;一類股票期權(quán)激勵機制的擴展模型[J];喀什師范學院學報;2005年06期

3 徐蘭芳;王飛;;引入屬性和分組概念簡便實用的ARBAC擴展模型[J];計算機安全;2006年02期

4 李正國,王仰麟,吳健生,張小飛,李莉;城市擴展模型在土地供應(yīng)空間決策中的應(yīng)用——以深圳市龍崗區(qū)為例[J];資源科學;2005年02期

5 胡雄鷹;張宗祥;萬文君;梅r，

本文編號：1833369