本文關(guān)鍵詞： 對(duì)沖基金 A股市場(chǎng) 影響性 VAR模型 GARCH模型　出處：《山西財(cái)經(jīng)大學(xué)》2013年博士論文　論文類型：學(xué)位論文

【摘要】：從1637年的荷蘭郁金香投機(jī)到2011年的歐債危機(jī)，全球經(jīng)歷了十次以上破壞力大、持續(xù)時(shí)間久、影響面廣的金融危機(jī)。每次危機(jī)中，總有一種特殊的投資群體活躍于證券市場(chǎng)，金融危機(jī)非但沒有嚴(yán)重影響他們，他們反而通過金融衍生品和復(fù)雜的交易策略創(chuàng)造了利潤(rùn)。在國際大型投行和商業(yè)銀行大量賣出有價(jià)證券的時(shí)候，這種特殊的投資群體卻在悄悄的接盤。他們就像證券市場(chǎng)的潤(rùn)滑劑，在市場(chǎng)價(jià)格較高時(shí)賣出有價(jià)證券，在市場(chǎng)價(jià)格較低時(shí)又買回有價(jià)證券，這種交易行為間接緩沖了證券市場(chǎng)的劇烈波動(dòng)，這種特殊的群體就是國際對(duì)沖基金。 經(jīng)過多年的摸索與研究，2010年初，中國證監(jiān)會(huì)正式開通了證券市場(chǎng)兩項(xiàng)最重要的對(duì)沖工具-股指期貨和融資融券交易，為中國發(fā)展對(duì)沖基金奠定了基礎(chǔ)。近年來，國際對(duì)沖基金通過投資公司的組織形式逐步進(jìn)入了中國金融市場(chǎng)，被稱為中國本土對(duì)沖基金主力軍的陽光私募也不斷壯大起來。然而，在沒有任何實(shí)踐經(jīng)驗(yàn)和風(fēng)險(xiǎn)可控的情況下，如何發(fā)展對(duì)沖基金是擺在中國監(jiān)管層面前的一個(gè)重要課題。 美國華爾街是主導(dǎo)當(dāng)今全球金融市場(chǎng)的核心力量，其財(cái)富管理行業(yè)規(guī)模全球第一，其金融工程行業(yè)也是全球金融產(chǎn)品創(chuàng)新的領(lǐng)頭羊。美國金融界信奉金融自由理念，沒有貨幣管制為其金融市場(chǎng)提供了最大的資金基礎(chǔ)，使其金融市場(chǎng)交投最為活躍，吸引了全球各大投資者機(jī)構(gòu)參與投資。2010年，除去國家主權(quán)財(cái)富基金和ETF，全球財(cái)富管理行業(yè)總規(guī)模約83.6萬億美元，美國占比45%。全球?qū)_基金占總投資額2.1%，美國對(duì)沖基金占比68%①。所以，美國是全球財(cái)富管理規(guī)模最大的國家，全球多數(shù)對(duì)沖基金匯聚于美國。本文將借鑒美國的經(jīng)驗(yàn)，分析美國對(duì)沖基金的收益、風(fēng)險(xiǎn)與監(jiān)管，結(jié)合中國對(duì)沖基金當(dāng)前的發(fā)展，，研究對(duì)沖基金對(duì)證券市場(chǎng)中A股市場(chǎng)的影響性。由于中國只有融資融券和股指期貨兩種對(duì)沖工具，而分別使用這兩種對(duì)沖策略的對(duì)沖基金通常為多空權(quán)益型和指數(shù)期貨型，所以本文將擬合這兩種對(duì)沖工具的實(shí)證數(shù)據(jù)模型，檢驗(yàn)中國多空權(quán)益型對(duì)沖基金和指數(shù)期貨型對(duì)沖基金對(duì)A股的影響性。目的是為市場(chǎng)參與主體理解發(fā)展對(duì)沖基金的價(jià)值和意義。也可以在一定程度上解決監(jiān)管層對(duì)發(fā)展對(duì)沖基金的顧慮，使監(jiān)管機(jī)構(gòu)客觀理解對(duì)沖基金對(duì)中國財(cái)富管理行業(yè)與證券市場(chǎng)的積極作用。同時(shí)，也為監(jiān)管機(jī)構(gòu)應(yīng)對(duì)發(fā)展對(duì)沖基金和金融衍生品所需要進(jìn)行的一系列改革提出建議。 本文通過擬合VAR模型和VEC模型檢驗(yàn)融資融券對(duì)A股市場(chǎng)的影響性，并利用Granger因果檢驗(yàn)、脈沖響應(yīng)函數(shù)和方差分解檢驗(yàn)了融資融券與市場(chǎng)的關(guān)系。同時(shí)，本文通過建立ARCH模型、GARCH模型及其擴(kuò)展模型檢驗(yàn)了股指期貨對(duì)A股市場(chǎng)的影響性和信息非對(duì)稱性沖擊。本文認(rèn)為以兩種對(duì)沖工具為代表的對(duì)沖基金策略并不是導(dǎo)致市場(chǎng)異常波動(dòng)的因素，反而起到了緩和市場(chǎng)波動(dòng)的作用。所以，應(yīng)當(dāng)進(jìn)一步放開管制，發(fā)展這兩項(xiàng)業(yè)務(wù)，尤其是融資融券業(yè)務(wù)。應(yīng)當(dāng)在現(xiàn)有允許賣空的藍(lán)籌股的基礎(chǔ)上，逐步放開中小板和創(chuàng)業(yè)板標(biāo)的賣空資格，使A股所有的企業(yè)都可以參與融資融券業(yè)務(wù)，這樣，可以通過市場(chǎng)的力量剔除濫竽充數(shù)的垃圾企業(yè)，保護(hù)投資者利益。同時(shí)，在時(shí)機(jī)成熟時(shí)，監(jiān)管層應(yīng)當(dāng)進(jìn)一步開通期權(quán)和掉期等業(yè)務(wù)，從而進(jìn)一步完善市場(chǎng)多樣化的交易體系。最后，逐步引入國際優(yōu)秀的對(duì)沖基金進(jìn)入中國市場(chǎng)參與競(jìng)爭(zhēng)，不但可以進(jìn)一步提升中國基金行業(yè)的國際競(jìng)爭(zhēng)力，而且可以引導(dǎo)中國影子銀行的資金流進(jìn)入證券市場(chǎng)，從而使證券市場(chǎng)更對(duì)稱的發(fā)揮其投融資平臺(tái)功能，實(shí)現(xiàn)中國財(cái)富管理行業(yè)的大發(fā)展。
[Abstract]:From 1637 to 2011 the Holland tulip speculation of the debt crisis, the world has experienced ten times more destructive, long duration, wide influence of the financial crisis. Each crisis, there is a kind of special investment groups active in the securities market, the financial crisis has not only seriously affect them, but they use financial derivatives and complex trading strategies creates profit. In large investment banks and commercial banks have sold a lot of international securities investment, this special group has quietly in the next disc. They like the stock market in the lubricant, the market price is high to sell securities in the market when the price is low and buy price securities, such transactions indirectly buffer stock market volatility, this special group is the international hedge fund.
After years of exploration and research, at the beginning of 2010, China Commission officially opened the two most important tools of securities market to hedge the stock index futures and margin trading, which laid the foundation for the development of Chinese hedge funds. In recent years, the international hedge fund investment through the form of organization of the company gradually entered the Chinese financial market, known as Chinese local hedge funds is the main force of private sun is also growing up. However, in the absence of any practical experience and controllable risk, how to develop a hedge fund is in the front of Chinese regulators to issue.
The Wall Street is the core leading force in today's global financial market, the wealth management industry first in the world, the financial engineering industry is one of the world's financial product innovation leader. The American financial circles believe in the concept of financial freedom, no currency controls for the financial market to provide the basis for the largest funds, the financial market is the most active, attracting major institutional investors to participate in the global investment.2010, removal of sovereign wealth funds and ETF, the total size of the global wealth management industry about $83 trillion and 600 billion, the United States accounted for 45%. global hedge fund accounted for 2.1% of total investment, the U.S. hedge funds accounted for 68%. Therefore, the United States is the world's largest wealth management the country, most hedge funds around the world gathered in the United States. This paper will draw on the experience of the United States, the United States Analysis of hedge fund returns, risk and supervision, combined with the Chinese hedge fund when Before the development of research on hedge funds impact on the stock market in A stock market. Because of China only two kinds of margin trading and stock index futures hedging instruments, respectively, using the two hedging strategies of hedge funds is usually long and short index futures and equity type, so the quasi empirical data model of these two kinds of hedge the inspection tools, Chinese straddle the hedge funds and equity index futures hedge funds impact on the A shares. The purpose is the value and significance for market participants to understand the development of hedge funds. Can also solve the regulators on the development of hedge fund concerns to a certain extent, regulators have positive effects on objective understanding of hedge funds China wealth management industry and securities market. At the same time, but also for the development of regulatory agencies to deal with hedge funds and financial derivatives to propose a series of reforms.
In this paper, by fitting the VAR model and VEC model test of margin effect on A stock market, and using the Granger causality test, impulse response function and variance decomposition to examine the relationship of margin financing and market. At the same time, through the establishment of ARCH model, GARCH model and its extended model to test the impact of stock index futures on the A stock market and the impact of information asymmetry. This paper argues that in two as the representative of the hedge hedge fund strategy does not lead to abnormal fluctuation of the market, but to ease market volatility. So, should further open control, development of the two business, especially the margin trading business. Should be based on the existing allowed short blue chips, the gradual liberalization of the small board and gem short subject qualification, the A shares of all enterprises can participate in margin trading business, so, by market force Abscind every one of the garbage business, protect the interests of investors. At the same time, when the time is ripe, regulators should further open options and swaps business, to further improve the diversification of the market trading system. Finally, the gradual introduction of outstanding international hedge fund China into the market to participate in the competition, not only can further enhance the international competitiveness of China fund industry. And can guide the shadow banking Chinese cash flow into the stock market, so that the securities market play a more symmetrical and its investment and financing platform, to achieve great development of Chinese wealth management industry.

【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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相關(guān)期刊論文 前10條

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