本文選題：換手率 + 金融危機(jī)　； 參考：《安徽財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：我國(guó)的股票市場(chǎng)還不是一個(gè)成熟的、有效的市場(chǎng),換手率和市盈率都比較高,市場(chǎng)與個(gè)股均呈現(xiàn)出過(guò)度投機(jī)、頻繁劇烈波動(dòng)等特點(diǎn)。我國(guó)的股票市場(chǎng)只有二十年的歷史,就已經(jīng)經(jīng)歷多次暴跌暴漲的現(xiàn)象,股災(zāi)頻發(fā),異常的金融現(xiàn)象比比皆是。在這種情況下分析中國(guó)股票市場(chǎng),已經(jīng)不能局限于運(yùn)用以有效市場(chǎng)假說(shuō)和理性人假設(shè)為基石而建立起來(lái)的現(xiàn)代投資理論。因此,從換手率這一微觀(guān)角度去分析我國(guó)股票市場(chǎng)的運(yùn)行規(guī)律,顯然不僅對(duì)于規(guī)范我國(guó)資本市場(chǎng)自身具有重要的實(shí)踐意義,而且尤其是對(duì)于在國(guó)際金融市場(chǎng)一體化的情況下保障國(guó)家金融安全、防止股市危機(jī)的爆發(fā)更具有特殊重要的現(xiàn)實(shí)意義。 本文共分成五個(gè)部分。第一部分是緒論,主要闡述了對(duì)我國(guó)的換手率和股市周期關(guān)系進(jìn)行研究分析的目的和意義,并介紹了本文所使用的研究方法和創(chuàng)新之處。第二部分主要敘述了我國(guó)股市換手率的特征,并運(yùn)用行為金融學(xué)的理論出對(duì)換手率現(xiàn)狀的成因進(jìn)行了解釋說(shuō)明；還從換手率的累積效應(yīng)這一角度出發(fā),推導(dǎo)出了換手率與金融危機(jī)邊界的關(guān)系。第三部分以貨幣政策作為聯(lián)系換手率與股市周期的媒介,運(yùn)用計(jì)量經(jīng)濟(jì)學(xué)的方法和圖示法對(duì)貨幣供應(yīng)量與換手率和股市周期的關(guān)系進(jìn)行了論證。第四部分是本文的重點(diǎn),運(yùn)用了大量真實(shí)詳盡的股票市場(chǎng)運(yùn)行數(shù)據(jù)對(duì)我國(guó)股市的換手率與股市周期的變動(dòng)關(guān)系進(jìn)行以VAR為基礎(chǔ)的計(jì)量模型檢驗(yàn),并采用了個(gè)股分析的方法來(lái)進(jìn)一步論證股票價(jià)格波動(dòng)的周期性特征。最后,圍繞著如何在高換手率現(xiàn)狀的中國(guó)股票市場(chǎng)下進(jìn)行金融風(fēng)險(xiǎn)的防范問(wèn)題,從不同的角度提出了具體的解決措施。 由于股票市場(chǎng)中最基本的關(guān)系是價(jià)量關(guān)系,所以縱觀(guān)當(dāng)前國(guó)內(nèi)外的研究,對(duì)股票市場(chǎng)的研究幾乎都是以股價(jià)為核心,關(guān)于股票價(jià)格的波動(dòng)和成交量的相互關(guān)系的問(wèn)題已經(jīng)有了大量的研究成果。相比較而言,對(duì)股票市場(chǎng)上換手率的研究就要少一些。而對(duì)于股市周期的研究,則大多著眼于宏觀(guān)經(jīng)濟(jì)政策與股市周期之間的關(guān)系。本文將換手率與股市周期相關(guān)聯(lián),仍然是一個(gè)比較新的課題,將對(duì)股市周期和金融危機(jī)的研究提供一個(gè)新視角。
[Abstract]:The stock market of our country is not a mature and effective market, the turnover ratio and the price-earnings ratio are both relatively high, the market and the individual stock market show excessive speculation, frequent and violent fluctuations and so on. China's stock market has only 20 years of history, has experienced a number of plummeting and soaring phenomenon, frequent stock disasters, abnormal financial phenomena abound. In this case, the analysis of Chinese stock market cannot be limited to the application of modern investment theory based on efficient market hypothesis and rational man hypothesis. Therefore, it is of great practical significance not only to standardize the capital market itself, but also to analyze the operating rules of the stock market in China from the microcosmic angle of turnover rate. Especially for the international financial market integration to protect the national financial security and prevent the outbreak of stock market crisis has more important practical significance. This paper is divided into five parts. The first part is the introduction, which mainly expounds the purpose and significance of the research and analysis of the turnover rate and the stock market cycle relationship in China, and introduces the research methods and innovations used in this paper. The second part mainly describes the characteristics of the turnover rate in the stock market of our country, and explains the causes of the current situation of the turnover rate by using the theory of behavioral finance, and from the angle of cumulative effect of the turnover rate, The relationship between turnover rate and financial crisis boundary is deduced. In the third part, monetary policy is used as the medium between turnover rate and stock market cycle, and the relationship between money supply and turnover rate and stock market cycle is demonstrated by econometric method and graphic method. The fourth part is the focus of this paper, using a large number of real and detailed stock market operation data to test the relationship between turnover rate and stock market cycle change based on VAR. The method of individual stock analysis is used to further demonstrate the cyclical characteristics of stock price fluctuations. Finally, the paper puts forward specific solutions from different angles around how to prevent financial risks in the current Chinese stock market with high turnover rate. Because the most basic relationship in the stock market is the relationship between price and quantity, so throughout the current domestic and foreign research, almost all the research on stock market is based on stock price. There have been a lot of research results on the relationship between stock price fluctuation and trading volume. By comparison, there is less research on turnover rates in the stock market. On the other hand, the study of stock market cycle mostly focuses on the relationship between macroeconomic policy and stock market cycle. In this paper, it is still a relatively new topic to associate turnover rate with stock market cycle, which will provide a new perspective for the study of stock market cycle and financial crisis.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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