本文關(guān)鍵詞： 民間A股私募 交易行為 市場(chǎng)效應(yīng) 事件研究法　出處：《浙江財(cái)經(jīng)學(xué)院》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：早在上個(gè)世紀(jì)九十年代初，證券私募基金就已經(jīng)嶄露頭角了，只是一直處于灰色地帶,而不為公眾所認(rèn)知。進(jìn)入二十一世紀(jì)，私募基金的發(fā)展進(jìn)入了一個(gè)小高潮。根據(jù)夏斌（2001）的估算，2001年我國(guó)私募基金的規(guī)模就已經(jīng)達(dá)到7000-8000億人民幣的市值。2002年以后，由于證券市場(chǎng)行情不景氣，私募基金的規(guī)模有所收縮，但總規(guī)模仍在6000-7000億元人民幣之間。經(jīng)過(guò)近十年的發(fā)展，私募基金不但擁有了豐富的種類，而且還擁有了空前的市值。但是學(xué)術(shù)界對(duì)私募基金的研究目前還不完善，而對(duì)民間私募的研究更是少之又少。同時(shí)，中國(guó)至今未出臺(tái)有關(guān)私募基金的完整律法。這使得民間私募快速發(fā)展的同時(shí)，監(jiān)管問(wèn)題也接踵而至。為了能制定貼合實(shí)際的法律體系，監(jiān)管者需要對(duì)民間私募進(jìn)行細(xì)致地調(diào)查與研究。本文正是出于這個(gè)目的，從民間A股私募的行為特征入手，深入研究其市場(chǎng)效應(yīng)的影響程度，從而為監(jiān)管者制定相應(yīng)措施提供依據(jù)。 由于目前學(xué)術(shù)界對(duì)私募基金的研究視角較為狹窄，大部分成果都是從法律的角度去論證其立法的可行性等，這些研究已經(jīng)不能充分滿足私募基金快速發(fā)展的需要，而是需要更為市場(chǎng)化的研究來(lái)反應(yīng)私募基金的特征與現(xiàn)狀，所以本文有關(guān)市場(chǎng)效應(yīng)的研究可以增加私募基金研究領(lǐng)域的多樣性。另外，本文將研究對(duì)象縮小為民間A股私募，學(xué)術(shù)界至今還未有過(guò)相關(guān)的研究成果。 正是如此，本文選取有“漲停板敢死隊(duì)”之稱的民間A股私募作為研究對(duì)象，并且以典型的私募證券營(yíng)業(yè)部席位作為具體的樣本數(shù)據(jù)。首先，本文將上證交易所和深證交易所每日公布的公開(kāi)信息與典型的私募證券營(yíng)業(yè)部席位相結(jié)合，構(gòu)建起本文的數(shù)據(jù)樣本；其次，本文依托“龍虎榜”，挖掘出民間A股私募交易行為背后的市場(chǎng)效應(yīng)；同時(shí)，本文采用事件研究法這一簡(jiǎn)潔又有效的方法，解釋并分析了民間A股私募的市場(chǎng)效應(yīng)；最后，根據(jù)本文對(duì)民間A股私募市場(chǎng)效應(yīng)的研究，提出相應(yīng)的金融監(jiān)管政策建議�？傮w上，本文可以分為五章，主題框架如下： 第一章是導(dǎo)論部分。本章重點(diǎn)闡述了本文的研究背景和研究目的，，對(duì)民間A股私募行為特征的現(xiàn)有成果進(jìn)行總結(jié)與歸納，根據(jù)前人的研究成果提出本文的研究思路和研究方法，并提出可能的創(chuàng)新之處。 第二章是民間A股私募行為特征的理論研究部分。本章通過(guò)對(duì)民間A股私募的概念、特點(diǎn)、投資策略等特征與公募基金進(jìn)行對(duì)比，提出民間A股私募的獨(dú)特性，并引入市場(chǎng)效應(yīng)模型。 第三章是民間A股私募市場(chǎng)效應(yīng)的模型設(shè)計(jì)部分。本章對(duì)民間A股私募市場(chǎng)效應(yīng)的事件研究法進(jìn)行具體設(shè)計(jì)，并且對(duì)假設(shè)前提、研究對(duì)象、研究區(qū)間、預(yù)期收益的計(jì)算、民間A股私募營(yíng)業(yè)部的選擇以及樣本的篩選進(jìn)行了分析。本章是本文的核心章節(jié)。 第四章是民間A股私募市場(chǎng)效應(yīng)的實(shí)證結(jié)果部分。本章利用“龍虎榜”樣本數(shù)據(jù)進(jìn)行實(shí)證檢驗(yàn)，從“買(mǎi)方”、“賣(mài)方”和“整體”三個(gè)方面分析了民間A股私募交易行為的市場(chǎng)效應(yīng)，發(fā)現(xiàn)民間A股私募的交易行為對(duì)資本市場(chǎng)的正常運(yùn)行產(chǎn)生很大的負(fù)面影響。 第五章是本文結(jié)論和監(jiān)管政策部分。本章總結(jié)了本文的理論基礎(chǔ)和實(shí)證研究，基于這些結(jié)論，本文提出了一些政策建議。 本文發(fā)現(xiàn)，民間A股私募的交易行為對(duì)金融市場(chǎng)有顯著負(fù)面影響，民間A股私募的交易介入使得股票市場(chǎng)出現(xiàn)了顯著的短期異常波動(dòng)；同時(shí)民間A股私募有擾亂市場(chǎng)秩序的嫌疑，因?yàn)槊耖gA股私募的交易介入導(dǎo)致的股票價(jià)格劇烈波動(dòng)，常常屬于短期性，伴隨著操縱股票價(jià)格的嫌疑；并且民間A股私募的操作手法十分靈活、隱蔽。
[Abstract]:As early as the early 1990s , the private equity fund has emerged , but it has been in the gray zone , not for the public . In the twenty - first century , the private equity fund has reached a market value of 7000 - 800 billion yuan . In the past decade , the private equity fund has not only got rich variety , but also has an unprecedented market value . Because of the narrow research angle of the private - equity fund , most of the research results are from the angle of law to demonstrate the feasibility of its legislation , but the research on market effect can increase the diversity of private - equity fund . On the other hand , based on the research on private - equity market effect , this paper puts forward the corresponding suggestions on financial supervision policy . Chapter One is the introduction part . This chapter focuses on the research background and research purpose of this paper , summarizes and sums up the existing achievements of private - equity behavior of folk A - shares , puts forward the research thinking and research methods of this paper according to the previous research results , and puts forward some possible innovations . The second chapter is the theoretical research part of private - equity behavior of folk A - shares . This chapter compares the characteristics of private - equity private placement with public - equity funds , and puts forward the unique characteristics of private - equity private placement , and introduces market - effect model . The third chapter is the part of the model design of private - equity market effect of folk A - share . This chapter designs the event research method of private - equity market effect of folk A - share , and analyzes the hypothesis premise , research object , research interval , the calculation of expected return , the selection of private - equity private - equity - private - equity business department and the screening of sample . This chapter is the core chapter of this paper . The fourth chapter is the empirical result of private - equity market effect of folk A - share . This chapter analyzes the market effect of private - equity - private - equity transaction behavior from " buyer " , " seller " and " whole " by using the sample data of " dragon tiger board " , and finds that the private - private - equity trading behavior of civil A - shares has a great negative impact on the normal operation of capital market . The fifth chapter is the conclusion and supervision policy part of this paper . This chapter summarizes the theoretical foundation and empirical research of this paper . Based on these conclusions , some policy suggestions are put forward . In this paper , the private placement of private equity private placement has a significant negative impact on financial markets , and the private placement of private equity in private equity makes the stock market have marked short - term abnormal volatility ; meanwhile , the private placement of civil A - shares is suspected of disrupting the market order , which is often short - term , accompanied by suspicion of manipulating stock price ; and the private placement of private A - shares is flexible and concealed .

【學(xué)位授予單位】：浙江財(cái)經(jīng)學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1446570