股票市場危機(jī)應(yīng)急處理機(jī)制中“國家隊(duì)”入市行為的效應(yīng)研究
發(fā)布時間：2018-07-14 17:36
【摘要】：股票市場危機(jī)是指資本二級市場上金融資產(chǎn)價格劇烈波動,更加直觀地表現(xiàn)為股票市場價格出現(xiàn)急劇、短暫的暴跌。而股票市場危機(jī)應(yīng)急處理機(jī)制則是指當(dāng)發(fā)生了股票市場危機(jī)時,政府為應(yīng)對股市危機(jī)而采取的一系列法律允許的政策手段的機(jī)制,以實(shí)現(xiàn)穩(wěn)定市場、救助市場的根本目標(biāo)。股票市場危機(jī)應(yīng)急處理機(jī)制主要包含四類政策手段,其中"資金注入型政策手段"以其直接高效的特征受到學(xué)界的廣泛關(guān)注,該政策手段應(yīng)用的適用條件及政策效果是主要的研究重點(diǎn),本文所研究的"國家隊(duì)"入市行為則是"資金注入型政策手段"之一。本文首先進(jìn)行了理論分析,為"國家隊(duì)"入市行為這一應(yīng)急機(jī)制政策手段提供了理論依據(jù),化解臨時危機(jī)、化解系統(tǒng)性風(fēng)險、化解流動性風(fēng)險是"國家隊(duì)"入市的三大原因,而影響流動性、影響波動性、加劇羊群行為則是"國家隊(duì)"入市的三大效應(yīng)。其次,本文對"國家隊(duì)"資金的持股特征進(jìn)行分析。從宏觀的角度來看,截至2015年三季度末,"國家隊(duì)"資金持有全市場50.56%的股票,資金主要集中在金融業(yè)、建筑業(yè)和交通運(yùn)輸業(yè),表現(xiàn)出了對金融業(yè)的極大偏好,尤其是金融業(yè)中二級子行業(yè)銀行業(yè)。從"國家隊(duì)"各機(jī)構(gòu)資金分布來看,證金公司和匯金公司匯集了"國家隊(duì)"應(yīng)急入市的主要資金,且這兩方力量表現(xiàn)出較為相似的持股風(fēng)格,均對金融業(yè)和制造業(yè)較為偏愛;十大資管計劃與五大救市基金則表現(xiàn)出了資金量較薄弱、對制造業(yè)等實(shí)體行業(yè)尤為偏愛的特征;而外管局下投資平臺受到自身平臺性質(zhì)的影響,所涉及的行業(yè)相對較少,且"彈藥"十分集中地投向金融業(yè)。從"國家隊(duì)"資金的季度變化來看,"國家隊(duì)"各機(jī)構(gòu)的彈藥分布相對保持穩(wěn)定,各機(jī)構(gòu)在2015年三季度時持股意愿最強(qiáng),之后均出現(xiàn)了持股比例下降并企穩(wěn)的過程,對行業(yè)的選擇偏好也同樣保持著相對穩(wěn)定,說明"國家隊(duì)"資金并無顯著的退出跡象。再次,本文通過DID雙重差分模型的構(gòu)造對"國家隊(duì)"入市行為對個股流動性和波動性產(chǎn)生的影響進(jìn)行了實(shí)證分析,得到了以下結(jié)論:(1)在"國家隊(duì)"入市行為發(fā)生后,全市場的流動性顯著上升,在排除了全市場的影響后,被"國家隊(duì)"持有的股票流動性提升的程度要高于未被"國家隊(duì)"持有的股票0.81870,"國家隊(duì)"入市行為的流動性凈效應(yīng)為正;(2)在"國家隊(duì)"入市行為發(fā)生后,全市場的波動性沒有發(fā)生顯著性變化,在全市場的影響后,被"國家隊(duì)"持有的股票波動性要低于未被"國家隊(duì)"持有的股票0.12234,"國家隊(duì)"入市行為的波動性凈效應(yīng)為負(fù)。最后,本文認(rèn)為"國家隊(duì)"入市行為存在"入市資金如何退出"、"機(jī)構(gòu)投資者的道德風(fēng)險"以及"信息披露等監(jiān)督機(jī)制的欠缺"等問題。針對"國家隊(duì)"資金持股特征、"國家隊(duì)"入市行為對個股流動性和波動性影響以及"國家隊(duì)"入市行為存在的問題,本文提出了"制定國家金融穩(wěn)定危機(jī)應(yīng)急機(jī)制的法律框架"、"將此類入市行為納入日常規(guī)范與監(jiān)督"、"妥善制定入市資金退出機(jī)制"、和"建立資本市場系統(tǒng)性風(fēng)險監(jiān)控體系"四個方面的政策建議。
[Abstract]:The stock market crisis refers to the violent fluctuations in the price of financial assets in the two level capital market, which is more intuitively manifested by the sharp and short slump in the stock market price. The emergency handling mechanism of the stock market crisis refers to a series of laws allowed by the government to deal with the stock market crisis when the stock market crisis has occurred. The mechanism of the means is to achieve the basic goal of stabilizing the market and helping the market. The emergency handling mechanism of the stock market crisis mainly includes four kinds of policy means, in which the "capital injection policy means" is widely concerned by the academic circle with its direct and efficient characteristics. The main research focus is the applicable conditions and the policy effect that the policy means should be used. In this paper, the behavior of "national team" entering the market is one of the "capital injection policy means". This paper first carries out a theoretical analysis, which provides a theoretical basis for the policy means of the "national team" into the market, to resolve the temporary crisis, to resolve systemic risks and to resolve the liquidity risk is the three major reasons for the "national team" into the market. The three effect of "national team" is analyzed. From a macro point of view, as of the end of the three quarter of 2015, the "national team" funds hold 50.56% of the stock market in the whole market, and the funds are mainly concentrated in the financial industry, construction and transportation. It shows a great preference for the financial industry, especially the banking industry of the two level sub industry in the financial industry. From the distribution of the funds of the national team, the main funds of the "national team" to enter the market are collected by the "national team" and the Huijin Company, and the two forces have shown a relatively similar style of holding, both of the financial industry and the manufacturing industry. Favoritism; the ten capital management and the five bailout funds show a weaker capital and a particular preference for the real industry such as manufacturing; while the investment platform under the foreign authority is affected by the nature of its own platform, the industries involved are relatively small, and "ammunition" is in a very centralized way to the financial sector. As a result, the distribution of ammunition in the national team is relatively stable, and each institution has the strongest stake in the three quarter of 2015. After that, the stock ownership ratio has declined and stabilizes, and the choice preference of the industry has remained relatively stable, indicating that the "national team" funds have no significant signs of withdrawal. Again, this article passes through DID double. The structure of the weight difference model makes an empirical analysis on the influence of the "national team" entering the market on the liquidity and volatility of the stock. The following conclusions are obtained: (1) the liquidity of the whole market has risen significantly after the "national team" entering the market, and the degree of the liquidity of the stock held by the "national team" has been promoted after the effect of the whole market. To be higher than 0.81870 of the stock not held by the national team, the net effect of the flow of "national team" into the market is positive; (2) the volatility of the whole market has not changed significantly after the "national team" entering the market, and the volatility of the stock held by the national team is lower than that of the stock not held by the national team after the impact of the whole market. The net effect of the "national team" into the market is negative. Finally, this paper thinks that the "national team" behavior exists "how to exit the capital of the city", "the moral hazard of institutional investors" and "the lack of supervision mechanism of information disclosure". The effect of sex and the problem of "national team" entering the market, this paper puts forward the "legal framework for formulating the emergency mechanism of the national financial stability crisis", "bringing this kind of market into the daily norms and supervision", "properly formulating the exit mechanism of the capital into the city" and "establishing the systematic risk monitoring system of the capital market" four aspects of policy recommendations.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51
本文編號：2122423
[Abstract]:The stock market crisis refers to the violent fluctuations in the price of financial assets in the two level capital market, which is more intuitively manifested by the sharp and short slump in the stock market price. The emergency handling mechanism of the stock market crisis refers to a series of laws allowed by the government to deal with the stock market crisis when the stock market crisis has occurred. The mechanism of the means is to achieve the basic goal of stabilizing the market and helping the market. The emergency handling mechanism of the stock market crisis mainly includes four kinds of policy means, in which the "capital injection policy means" is widely concerned by the academic circle with its direct and efficient characteristics. The main research focus is the applicable conditions and the policy effect that the policy means should be used. In this paper, the behavior of "national team" entering the market is one of the "capital injection policy means". This paper first carries out a theoretical analysis, which provides a theoretical basis for the policy means of the "national team" into the market, to resolve the temporary crisis, to resolve systemic risks and to resolve the liquidity risk is the three major reasons for the "national team" into the market. The three effect of "national team" is analyzed. From a macro point of view, as of the end of the three quarter of 2015, the "national team" funds hold 50.56% of the stock market in the whole market, and the funds are mainly concentrated in the financial industry, construction and transportation. It shows a great preference for the financial industry, especially the banking industry of the two level sub industry in the financial industry. From the distribution of the funds of the national team, the main funds of the "national team" to enter the market are collected by the "national team" and the Huijin Company, and the two forces have shown a relatively similar style of holding, both of the financial industry and the manufacturing industry. Favoritism; the ten capital management and the five bailout funds show a weaker capital and a particular preference for the real industry such as manufacturing; while the investment platform under the foreign authority is affected by the nature of its own platform, the industries involved are relatively small, and "ammunition" is in a very centralized way to the financial sector. As a result, the distribution of ammunition in the national team is relatively stable, and each institution has the strongest stake in the three quarter of 2015. After that, the stock ownership ratio has declined and stabilizes, and the choice preference of the industry has remained relatively stable, indicating that the "national team" funds have no significant signs of withdrawal. Again, this article passes through DID double. The structure of the weight difference model makes an empirical analysis on the influence of the "national team" entering the market on the liquidity and volatility of the stock. The following conclusions are obtained: (1) the liquidity of the whole market has risen significantly after the "national team" entering the market, and the degree of the liquidity of the stock held by the "national team" has been promoted after the effect of the whole market. To be higher than 0.81870 of the stock not held by the national team, the net effect of the flow of "national team" into the market is positive; (2) the volatility of the whole market has not changed significantly after the "national team" entering the market, and the volatility of the stock held by the national team is lower than that of the stock not held by the national team after the impact of the whole market. The net effect of the "national team" into the market is negative. Finally, this paper thinks that the "national team" behavior exists "how to exit the capital of the city", "the moral hazard of institutional investors" and "the lack of supervision mechanism of information disclosure". The effect of sex and the problem of "national team" entering the market, this paper puts forward the "legal framework for formulating the emergency mechanism of the national financial stability crisis", "bringing this kind of market into the daily norms and supervision", "properly formulating the exit mechanism of the capital into the city" and "establishing the systematic risk monitoring system of the capital market" four aspects of policy recommendations.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51
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