發(fā)布時(shí)間：2018-05-02 09:41

  本文選題：滬股通 + 風(fēng)險(xiǎn)溢價(jià)��； 參考：《東華大學(xué)》2017年碩士論文

【摘要】：目前,上交所、深交所成立至今約26年,我國證券市場(chǎng)已經(jīng)發(fā)展成一個(gè)多層次、多結(jié)構(gòu)、逐漸完善的資本市場(chǎng),股市成為我國經(jīng)濟(jì)發(fā)展和融資重要的媒介。在政府的大力推動(dòng)下,連接內(nèi)地和香港資本市場(chǎng)的滬港通(滬股通和港股通)正式開通,滬股通將為深港通、滬倫通的開通奠定基礎(chǔ)。由于其在中國資本市場(chǎng)開放的研究方面具有重要意義,引起學(xué)者的廣泛關(guān)注。另外,流動(dòng)性風(fēng)險(xiǎn)溢價(jià)和資產(chǎn)定價(jià)也是近幾年主要研究方向之一。本文以滬股通為研究標(biāo)的,分析股票市場(chǎng)流動(dòng)性風(fēng)險(xiǎn)溢價(jià)效應(yīng)、規(guī)模效應(yīng)和價(jià)值效應(yīng),進(jìn)行資產(chǎn)定價(jià)模型適用性研究,進(jìn)一步對(duì)比分析滬股通開通這一事件的影響作用。本文首先進(jìn)行滬股通標(biāo)的股定價(jià)模型適用性研究,具體分組包括滬股通標(biāo)的股開通前(2012/1-2014/11/17)、滬股通開通后(2014/11/17-2016/9/30)和上證A股(剔除滬股通標(biāo)的股)三組對(duì)象。實(shí)證結(jié)果顯示:在滬股通開通前、滬股通開通后以及上證A股市場(chǎng)(剔除滬股通標(biāo)的股)三組中均存在規(guī)模效應(yīng)、價(jià)值效應(yīng)、流動(dòng)性風(fēng)險(xiǎn)效應(yīng),而經(jīng)典的CAPM模型不能解釋市場(chǎng)的規(guī)模效應(yīng)、價(jià)值效應(yīng)、流動(dòng)性風(fēng)險(xiǎn)效應(yīng);加入SMB和HML的F-F三因子模型可以解釋研究標(biāo)的的規(guī)模效應(yīng)和價(jià)值效應(yīng),但是不能解釋滬股通市場(chǎng)流動(dòng)性風(fēng)險(xiǎn)溢價(jià)效應(yīng)。為解決流動(dòng)性溢價(jià)問題,本文通過改進(jìn)Amhuid的流動(dòng)性指標(biāo)建立衡量流動(dòng)性的指標(biāo)的流動(dòng)性因子。而引入流動(dòng)性因子的F-F擴(kuò)展模型對(duì)規(guī)模效應(yīng)、價(jià)值效應(yīng)和流動(dòng)性風(fēng)險(xiǎn)效應(yīng)都能很好的解釋,所以本文中建立的基于流動(dòng)性因子的F-F擴(kuò)展模型在滬股通開通前和滬股通開通后的市場(chǎng)均是有效的,同樣F-F擴(kuò)展模型在上證A股(剔除滬股通)也是有效的,即本文構(gòu)造的基于流動(dòng)性因子的F-F擴(kuò)展模型適合我國股票滬股通標(biāo)的股市場(chǎng)和上證A股市場(chǎng)定價(jià)研究�；诩尤肓鲃�(dòng)性因子的F-F擴(kuò)展模型在我國滬股通市場(chǎng)和上證A股市場(chǎng)(剔除滬股通)是有效的,本文進(jìn)一步利用該模型檢驗(yàn)滬股通開通前后和上證A股市場(chǎng)(剔除滬股通)市場(chǎng)是否存在差別。結(jié)果顯示:市場(chǎng)風(fēng)險(xiǎn)溢價(jià)仍然是影響股票超額收益最主要的影響因素;但可能因市場(chǎng)的不同導(dǎo)致基于流動(dòng)性因子的F-F擴(kuò)展模型在不同市場(chǎng)的解釋力度存在一定的差異,其中F-F擴(kuò)展模型對(duì)滬股通開通后股票超額收益的解釋能力明顯高于在滬股通開通前和上證A股市場(chǎng)(剔除滬股通),回歸系數(shù)顯示滬股通開通后賬面市值效應(yīng)對(duì)股票價(jià)格的影響力更大,而系統(tǒng)性風(fēng)險(xiǎn)、規(guī)模效應(yīng)和流動(dòng)性溢價(jià)效應(yīng)的影響力有所降低,即滬股通開通后投資者更注重價(jià)值因子的影響作用,即有利于投資者回歸價(jià)值投資。
[Abstract]:At present, the Shanghai Stock Exchange and Shenzhen Stock Exchange have been established for about 26 years, the securities market of our country has developed into a multi-level, multi-structure and gradually perfect capital market, and the stock market has become an important medium for the economic development and financing of our country. The Shanghai-Hong Kong Stock Connect (Shanghai Stock Connect and Hong Kong Stock Connect), which links the mainland and Hong Kong capital markets, will lay the foundation for the opening of the Shenzhen-Hong Kong Stock Connect and the Shanghai-Hong Kong Stock Connect. Because of its important significance in the research of Chinese capital market opening, scholars pay more attention to it. In addition, liquidity risk premium and asset pricing are also one of the main research directions in recent years. This paper analyzes the liquidity risk premium effect, scale effect and value effect of stock market, studies the applicability of asset pricing model, and further compares the impact of the opening of Shanghai Stock Connect. This paper firstly studies the applicability of the pricing model of the Shanghai Stock Connect bid, including three groups of objects: Shanghai Stock Exchange A (excluding the Shanghai Stock Connect) and Shanghai Stock Exchange A (excluding the Shanghai Stock Connect) after the launch of the Shanghai Stock Connect, which includes the following three groups: 2012 / 1-2014 / 11 / 17 / 17 / 17, 2014 / 11 / 17 / 9 / 30 and Shanghai Stock Exchange A (excluding the Shanghai Stock Connect). The empirical results show that there are scale effect, value effect and liquidity risk effect in Shanghai Stock Exchange and Shanghai Stock Exchange A stock market before and after the opening of Shanghai Stock Connect. However, the classical CAPM model can not explain the scale effect, value effect and liquidity risk effect of the market, and the F-F three-factor model with SMB and HML can explain the scale effect and value effect of the research object. But can not explain Shanghai stock market liquidity risk premium effect. In order to solve the liquidity premium problem, this paper establishes a liquidity factor to measure liquidity by improving the liquidity index of Amhuid. The F-F extended model with liquidity factor can explain the scale effect, value effect and liquidity risk effect. Therefore, the F-F expansion model based on liquidity factor established in this paper is effective before and after the opening of the Shanghai Stock Connect, and the F-F extension model is also effective in Shanghai Stock Exchange A (excluding the Shanghai Stock Connect). That is, the F-F extended model based on liquidity factor is suitable for the pricing research of Shanghai Stock Exchange and Shanghai Stock Exchange. The F-F expansion model based on the liquidity factor is effective in the Shanghai Stock Connect Market and Shanghai Stock Exchange A Stock Market (excluding the Shanghai Stock Connect). This paper further uses this model to test whether there are differences between Shanghai Stock Exchange and Shanghai Stock Exchange A stock market before and after the opening of the Shanghai Stock Connect (excluding Shanghai Stock Connect) market. The results show that the market risk premium is still the most important factor affecting the excess return of stock, but the F-F expansion model based on liquidity factor may have some differences in the interpretation in different markets. The ability of F-F extended model to explain the excess return of stock after the opening of Shanghai Stock Connect is obviously higher than that of Shanghai Stock Exchange and Shanghai Stock Exchange (excluding the Shanghai Stock Connect, the regression coefficient shows that the book market value effect on stocks after the opening of Shanghai Stock Connect is higher than that of Shanghai Stock Exchange.) The price of the ticket is more influential, However, the influence of systemic risk, scale effect and liquidity premium effect is reduced, that is, investors pay more attention to the influence of value factor after the opening of Shanghai Stock Connect, that is, it is favorable for investors to return to value investment.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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