本文選題：股市規(guī)模　切入點：波動性　出處：《安徽財經(jīng)大學(xué)》2013年碩士論文

【摘要】：隨著我國股票市場的日益發(fā)展與日漸成熟,股市規(guī)模在不斷的壯大,可是股票市場的穩(wěn)定性卻面臨著越來越大的挑戰(zhàn),股價波動頻繁且劇烈使得越來越多的投資者望而卻步。因此,股票市場的風(fēng)險控制即維持市場的穩(wěn)定性顯得越來越重要。經(jīng)過理論界與實務(wù)界的多年觀察與研究,股市規(guī)模與市場波動性這兩者之間密切相關(guān)。在促成股市規(guī)模的眾多因素中,一些因素對波動性的影響比較大。市場的一定波動對股市規(guī)模的擴(kuò)容有促進(jìn)作用,可是頻繁的波動卻起了相反的作用。 本文首先基于經(jīng)濟(jì)發(fā)展、政策因素、風(fēng)險因素以及供求均衡原理的四個角度進(jìn)行了比較與分析,從理論的角度來闡述股市規(guī)模與市場波動性二者之間的聯(lián)系；然后在寬泛的股市規(guī)模定義中,選取了總市值、總股本、上市公司總數(shù)、上市股票總數(shù)、開戶人數(shù)五個比較全面又具有代表意義的度量指標(biāo),在基于這五個指標(biāo)的基礎(chǔ)上用統(tǒng)計描述的方法分析了我國股市規(guī)模近十年的變化和發(fā)展趨勢,再采用EGARCH的非對稱模型對上海股票市場收益率的波動性進(jìn)行實證研究,并在此基礎(chǔ)上分析市場波動性的特征；最后,選取VAR模型對股市規(guī)模與市場波動性二者之間的關(guān)系進(jìn)行實證分析。 通過實證的分析結(jié)果發(fā)現(xiàn),股市規(guī)模的擴(kuò)容會對市場波動性造成一定的影響,在所選取的五個指標(biāo)中,特別是總市值、上市公司總數(shù)與開戶人數(shù)的作用尤為明顯。與此同時,市場波動性在一定程度上也給股市規(guī)模的變化帶來一定的沖擊。在實證分析結(jié)果的基礎(chǔ)上,進(jìn)一步從股票市場的宏觀因素與微觀因素兩個大方面對二者相互影響的原因進(jìn)行深層研究,最后在實證結(jié)果與成因分析的基礎(chǔ)上,從我國股票市場的運營機(jī)制、法律監(jiān)督、市場參與者行為等方面提出政策建議,進(jìn)一步促進(jìn)我國股市規(guī)模與股票市場之間穩(wěn)定、協(xié)調(diào)地發(fā)展。
[Abstract]:With the development and maturity of the stock market in our country, the scale of the stock market is growing, but the stability of the stock market is facing more and more challenges. The frequent and violent fluctuation of stock price makes more and more investors stay away. Therefore, it is more and more important to control the risk of stock market, that is, to maintain the stability of the market. The size of the stock market is closely related to the volatility of the market. Among the many factors contributing to the scale of the stock market, some factors have a greater impact on volatility. But frequent fluctuations do the opposite. Firstly, this paper compares and analyzes the four angles of economic development, policy factors, risk factors and the principle of equilibrium between supply and demand, and expounds the relationship between stock market scale and market volatility from the perspective of theory. Then, in the broad definition of stock market scale, we select five relatively comprehensive and representative metrics such as total market value, total share capital, total listed companies, total listed stocks, and the number of accounts opened. On the basis of these five indexes, the paper analyzes the change and development trend of stock market scale in China in the past ten years by using statistical description method, and then makes an empirical study on the volatility of Shanghai stock market return by using the asymmetric model of EGARCH. On this basis, the characteristics of market volatility are analyzed. Finally, VAR model is selected to analyze the relationship between stock market size and market volatility. Through the empirical analysis, it is found that the expansion of the stock market size will have a certain impact on market volatility, especially among the five selected indicators, especially market value, the total number of listed companies and the number of accounts opened, the role of the total number of listed companies is particularly obvious. To a certain extent, market volatility also has a certain impact on the change of stock market size. This paper further studies the causes of the mutual influence of the two factors from the macro and micro aspects of the stock market. Finally, on the basis of the empirical results and the analysis of the causes, the author analyzes the operation mechanism and legal supervision of the stock market in China. In order to promote the stable and harmonious development between the stock market scale and the stock market, the paper puts forward some policy suggestions on the behavior of market participants.
【學(xué)位授予單位】：安徽財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 田苗;谷宇;高鐵梅;;短期國際資本對股票市場間波動傳遞效應(yīng)的實證分析——以中美股票市場為例[J];財經(jīng)問題研究;2010年03期

2 李小軍;;股權(quán)融資偏好亦或過度融資——來自中國上市公司再融資的經(jīng)驗證據(jù)[J];財貿(mào)研究;2009年02期

3 曹衛(wèi)華;企業(yè)融資結(jié)構(gòu)理論與我國上市公司融資行為分析[J];金融論壇;2004年04期

4 魏興耘;我國上市公司股票價格與盈利之間關(guān)系的實證研究[J];管理世界;2002年05期

5 房振明;王春峰;;ICSS方法的中國股市波動結(jié)構(gòu)分析[J];哈爾濱工業(yè)大學(xué)學(xué)報;2009年10期

6 陳澤忠,楊啟智,胡金泉;中國股票市場的波動性研究——EGARCH-M模型的應(yīng)用[J];決策借鑒;2000年05期

7 曾穎;陸正飛;;信息披露質(zhì)量與股權(quán)融資成本[J];經(jīng)濟(jì)研究;2006年02期

8 賀力平;王玨;;中國股市的波動性及國際比較[J];金融評論;2010年04期

9 何國華,楊之帆;中國股市擴(kuò)容問題研究[J];金融研究;2001年04期

10 陳浪南,黃杰鯤;中國股票市場波動非對稱性的實證研究[J];金融研究;2002年05期

，

本文編號：1679218