發(fā)布時(shí)間：2018-03-17 13:36

  本文選題：股票　切入點(diǎn)：開(kāi)放式基金　出處：《青島大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：主要從股票和基金這兩個(gè)方面來(lái)研究我國(guó)證券市場(chǎng)的流動(dòng)性風(fēng)險(xiǎn)。對(duì)于股票市場(chǎng),在國(guó)內(nèi)外已有研究的基礎(chǔ)上,結(jié)合我國(guó)股票市場(chǎng)現(xiàn)狀,對(duì)原有指標(biāo)進(jìn)行了改進(jìn),提出了新的流動(dòng)性風(fēng)險(xiǎn)指標(biāo)(當(dāng)日最高價(jià)、最低價(jià)之差比前一日收盤(pán)價(jià)與當(dāng)日換手率的比值)。選取從2006年7月1日到2008年12月31日上海證券交易所900多家上市公司的A股數(shù)據(jù)作為研究對(duì)象,區(qū)分行業(yè),以個(gè)股日收益率、市場(chǎng)日收益率和個(gè)股短期流動(dòng)性風(fēng)險(xiǎn)水平為基礎(chǔ),分別研究其在牛市和熊市時(shí)期各行業(yè)股票流動(dòng)性風(fēng)險(xiǎn)的超額回報(bào)情況,與此同時(shí),還考慮了公司規(guī)模、賬面市值比、流通股比例等對(duì)股票收益率的影響,在多因素基礎(chǔ)上對(duì)個(gè)股的超額回報(bào)進(jìn)行衡量。對(duì)于開(kāi)放式基金,在國(guó)內(nèi)外研究的基礎(chǔ)上,選取股票型開(kāi)放式基金作為研究對(duì)象,對(duì)原有的流動(dòng)性風(fēng)險(xiǎn)衡量指標(biāo)進(jìn)行改進(jìn),并與新提出的股票流動(dòng)性風(fēng)險(xiǎn)指標(biāo)結(jié)合,結(jié)合基金中占基金凈值前十的股票最低價(jià)、最高價(jià)、前收盤(pán)價(jià)、換手率等指標(biāo),考慮股票占基金凈值的比重、凈贖回比例等,提出新的開(kāi)放式基金流動(dòng)性風(fēng)險(xiǎn)指標(biāo),并選取2006年7月1日到2008年12月31日作為研究區(qū)間,分別研究牛市和熊市股票型開(kāi)放式基金的流動(dòng)性風(fēng)險(xiǎn),并對(duì)比不同市場(chǎng)走勢(shì)時(shí)期基金流動(dòng)性風(fēng)險(xiǎn)是否存在明顯差異
[Abstract]:The liquidity risk of China's securities market is mainly studied from the stock and fund aspects. For the stock market, on the basis of the existing research at home and abroad, combining with the current situation of the stock market in China, the original indicators are improved. A new liquidity risk indicator (the highest price for the day) was proposed. From July 1st 2006 to December 31st 2008, the A share data of more than 900 listed companies on the Shanghai Stock Exchange were selected as the research objects. Based on the market daily rate of return and the short-term liquidity risk level of individual stocks, this paper studies the excess return of stock liquidity risk in various industries in bull market and bear market respectively. At the same time, it also takes into account the company size, book market value ratio, On the basis of many factors, the excess returns of individual stocks are measured. For open-end funds, on the basis of domestic and foreign research, the stock open-end fund is selected as the research object. To improve the original liquidity risk measurement index, and combine it with the newly proposed stock liquidity risk index, combined with the minimum price, the highest price, the former closing price, the turnover rate, and so on, which account for the top ten stocks in the fund's net value. Considering the proportion of stocks in the net value of the fund and the proportion of net redemption, a new open-end fund liquidity risk index is proposed, and the period from July 1st 2006 to December 31st 2008 is selected as the study interval. This paper studies the liquidity risk of bull market and bear market equity open-end fund, and compares whether there are obvious differences in fund liquidity risk in different market trends.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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本文編號(hào)：1624969