本文關(guān)鍵詞：中國證券市場風(fēng)險(xiǎn)防范研究　出處：《遼寧大學(xué)》2016年博士論文　論文類型：學(xué)位論文

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【摘要】：本文以中國證券市場風(fēng)險(xiǎn)防范為研究對象,從宏觀經(jīng)濟(jì)和監(jiān)管制度層面探討證券市場風(fēng)險(xiǎn)的成因、度量和對風(fēng)險(xiǎn)控制的對策。中國證券市場經(jīng)過二十多年的發(fā)展歷程表明,以轉(zhuǎn)軌經(jīng)濟(jì)為背景的中國股票市場是一個(gè)特殊的新興市場,導(dǎo)致2015年我國證券市場發(fā)生了劇烈的異常波動。本文對此次行情的波動從宏觀經(jīng)濟(jì)側(cè)面、監(jiān)管制度層面進(jìn)行了較為深刻的實(shí)證分析。通過研究認(rèn)為,發(fā)達(dá)國家證券市場風(fēng)險(xiǎn)防范理論主要是防止機(jī)構(gòu)投資的風(fēng)險(xiǎn),而我國的風(fēng)險(xiǎn)防范則要高度重視散戶的投資風(fēng)險(xiǎn)。本文共分為7章：第1章引出研究問題,并闡明論文研究的背景及研究的現(xiàn)實(shí)意義和理論意義提出全文的主要研究對象：中國證券市場風(fēng)險(xiǎn)防范及對策。介紹中國證券市場的現(xiàn)狀,說明本文研究理論意義和實(shí)際作用。第2章對前人已有的證券市場風(fēng)險(xiǎn)的識別、度量、風(fēng)險(xiǎn)防范、市場風(fēng)險(xiǎn)對宏觀經(jīng)濟(jì)的影響及金融危機(jī)理論進(jìn)行了較為系統(tǒng)、全面的的文獻(xiàn)回顧和評述。第3章從風(fēng)險(xiǎn)定義、風(fēng)險(xiǎn)分類、風(fēng)險(xiǎn)成因三個(gè)方面探討了證券市場風(fēng)險(xiǎn)的一般理論。從引起證券市場風(fēng)險(xiǎn)的內(nèi)部和外部因素對風(fēng)險(xiǎn)內(nèi)涵進(jìn)行了分析。運(yùn)用凱恩斯、斯密斯、薩繆爾森的理論探討了政府是否應(yīng)該干預(yù)證券市場。最后運(yùn)用道德風(fēng)險(xiǎn)理論、貨幣面紗理論及最后貸款人理論來分析政府救市的必要性。第4章探討了證券市場風(fēng)險(xiǎn)指標(biāo)體系,通過建立VAR模型實(shí)證檢驗(yàn)宏觀因素和經(jīng)濟(jì)環(huán)境的外部沖擊對我國故事壓力風(fēng)險(xiǎn)造成的影響。第二部分對政策因素做了四種分類,在原有CSSI壓力指數(shù)模型的基礎(chǔ)上,建立多元線性回歸模型,從而探討政策因素對我國股市的影響。第5章對中國資本市場的發(fā)展的歷史軌跡和其自身特點(diǎn)進(jìn)行詳細(xì)論述。并對中國證券市場在2007年和2015年經(jīng)歷的兩次異常波動進(jìn)行分析。其發(fā)生波動的根本原因主要來自以下幾個(gè)方面：金融創(chuàng)新及過度杠桿化、政策層面的過度推動、監(jiān)管部門政策的失誤、宏觀經(jīng)濟(jì)形勢不樂觀及投資者風(fēng)險(xiǎn)意識不強(qiáng)等。最后對股災(zāi)暴露出來的我國證券市場存在的問題及帶給我們的啟示以及股災(zāi)給宏觀經(jīng)濟(jì)層面帶來的影響做了進(jìn)一步探討。第6章對世界各國的證券市場的風(fēng)險(xiǎn)防范機(jī)制和體系進(jìn)行了比較,對我國可以借鑒的地方進(jìn)行了提煉。同時(shí)將國際上曾經(jīng)發(fā)生的過得股災(zāi)按照杠桿驅(qū)動型、經(jīng)濟(jì)泡沫型、熱錢、匯率引致型進(jìn)行分類探討。第7章我國證券市場風(fēng)險(xiǎn)防范的對策。本章闡述了當(dāng)前環(huán)境下我國證券市場面臨的總總問題。綜合前面章節(jié)的研究結(jié)果,提出對防范系統(tǒng)性風(fēng)險(xiǎn)需采取的監(jiān)管方式和對策做出的思考。首先在制度層面上需要優(yōu)化我國的信息披露制度、漲跌停板制度、發(fā)行及退市制度。同時(shí)需要解決“一行三會”監(jiān)管模式存在的監(jiān)管真空,強(qiáng)化投資者保護(hù)機(jī)制、大力培育機(jī)構(gòu)投資者及降低創(chuàng)業(yè)板高估值。最后在金融環(huán)境層面需要防止違規(guī)杠杠資金進(jìn)入股市及保持人民幣匯率的穩(wěn)定。
[Abstract]:Taking risk prevention in China's securities market as the research object, this paper discusses the causes, measurement and risk control countermeasures of securities market risk from the perspective of macroeconomic and regulatory system. After more than 20 years of development, China's stock market shows that China's stock market under the background of transition economy is a special emerging market, resulting in a severe abnormal fluctuation in China's stock market in 2015. This paper makes a more profound empirical analysis on the fluctuation of the market from the macro economic side and the regulatory system level. Through research, we believe that the risk prevention theory of stock market in developed countries is mainly to prevent the risk of institutional investment, while China's risk prevention should attach great importance to the investment risk of retail investors. This paper is divided into 7 chapters: the first chapter leads to the research questions, and illustrates the background and the practical significance and theoretical significance of the research. The present situation of China's securities market is introduced, and the theoretical and practical role of this paper is illustrated. The second chapter makes a systematic and comprehensive review and comment on the previous identification, measurement, risk prevention, market risk and macroeconomic impact of the stock market risk. The third chapter discusses the general theory of risk in the securities market from three aspects of risk definition, risk classification, and risk causes. The risk connotation is analyzed from the internal and external factors that cause the risk of the securities market. The theory of Keynes, Smith and Samuelson is used to discuss whether the government should intervene in the securities market. Finally, we use the theory of moral hazard, the theory of currency veil and the lender of last resort to analyze the necessity of the government saving the market. The fourth chapter discusses the index system of stock market risk, and establishes the VAR model to empirically test the impact of external shocks of macro factors and economic environment on China's story pressure risk. The second part makes four classifications for policy factors. Based on the original CSSI pressure index model, a multiple linear regression model is established to explore the influence of policy factors on China's stock market. The fifth chapter discusses the historical track and its own characteristics of the development of China's capital market in detail. The two abnormal fluctuations in China's securities market in 2007 and 2015 were analyzed. The fundamental reasons for the fluctuation are mainly from the following aspects: financial innovation and over leveraging, excessive policy push, regulatory policy failure, macroeconomic situation and investor risk awareness. To do further study in our stock market crash at the end of the exposed problems and gives us the enlightenment and the stock market crash brought to macroeconomic level. The sixth chapter makes a comparison of the risk prevention mechanism and system in the securities market of all countries in the world, and refines the places that can be used for reference in China. At the same time happened on the international stock market crash was in accordance with the lever, the economic bubble, hot money, causing the classification of the exchange rate. The seventh chapter is the Countermeasures of risk prevention in China's securities market. This chapter expounds the general problems faced by China's securities market under the current environment. Based on the research results of the previous chapters, this paper puts forward the consideration of the ways and Countermeasures to prevent the systemic risk. Firstly, in the aspect of system to optimize China's information disclosure system, price limit system, issuance and delisting system. At the same time, we need to solve the regulatory vacuum of "one line, three meetings" regulation mode, strengthen investor protection mechanism, vigorously cultivate institutional investors and reduce gem's overvalued value. Finally, in terms of financial environment to prevent illegal leverage funds into the stock market and maintain the stability of the RMB exchange rate.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F832.51
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本文編號：1347171