【作者】 赵强；

【导师】 吴育华；

【作者基本信息】 天津大学 ， 管理决策与运筹技术， 2004， 博士

【摘要】 我国的证券市场经过十余年的发展，已经成为我国国民经济的一个重要的组成部分。然而就在市场不断发展壮大的过程中，许多缺陷和问题也已经逐步呈现出来。这些问题已经严重地损害了投资者的利益和对市场的信心，也影响了市场优化资源配置功能的发挥。有力的理论指导是在进一步深化我国证券市场改革的同时解决这些问题的前提。而目前对我国证券市场的理论研究还存在着一些缺陷，表现为：第一，一般性的对策研究多，有深度的理论研究比较少；第二，直接套用西方成熟证券市场理论的多，能结合我国证券市场特点改进和提出新理论的少；第三，纯理论的研究多，切实的实证研究少。对此，本文在剖析了我国现阶段证券市场的构成和特点后，从以下几个方面对我国证券市场的理论展开了研究。在第一章中，文章对我国证券市场十余年的发展历程作了系统的回顾，对现阶段的市场构成、特点及影响因素作了分析，并指出了市场现阶段存在的主要问题。文章的第二章采用了极差分析法对我国证券市场进行了实证分析，确定了我国证券市场长期记忆效应的基本特征。文章还采用GARCH模型对市场的运行特征做了分析，对市场收益率是否服从非线性和尖峰胖尾的特征进行验证。本文第三章在概要地介绍和分析证券市场有效性评价一般理论的基础上，结合DEA模型中效率评价的基本思路，提出了一种新的证券市场投入产出评价模型，从一个更为宏观的角度对证券市场的效率进行评价。该模型将证券公司个数和总资产作为投入，市场总交易量和A股融资总量作为产出，通过对我国证券市场历年投入产出状况的比较，可以计算证券市场将投入资源转化为证券市场产出的效率，也就是市场的投入产出效率。更进一步，文章还对我国证券市场历年投入产出效率和市场指数变化趋势的一致性做了分析和论述。第四章，在分析和介绍了证券市场一般风险分类的基础上，以市场整体风险为重点研究对象，构建了我国证券市场历年周平均整体风险的计算公式，并给出了计算结果。更进一步，通过对市场历年风险和宏观经济指标的多元回归分析，确定了影响我国证券市场整体风险的三大经济因素。文章在第五章中，分析给出了一组上市公司经营业绩的分类标准。在此基础上，文章将上市公司整体的业绩变化视为一个在不同业绩状态间转换的马氏过程。以Markov分析为工具，文章计算了上市公司经营业绩的状态转移矩阵，并对今后10－15年我国上市公司整体的业绩分布状况做了预测。进而，文章还通过修改关于Markov过程中整体个数不变的假设，提出了一类改进的Markov模<WP=3>型，并用此模型对我国证券市场做了实证分析。当前我国证券市场已经成为国民经济的重要组成部分，市场对国民经济的影响已经体现在国家经济体系的各个方面。文章的第六章通过大量的数据，实证地分析了证券市场对国民经济的贡献度，并对市场和国民经济之间的关联性做了计量分析。文章的第七章则考察了证券市场对我国货币政策传导影响的成因、机理，构建了证券市场作用下货币政策的一般均衡模型，并给出了相应的对策。规范和发展证券市场是我们的目标，创新则是现阶段市场进一步规范和发展的动力。在第八章中，文章分析了市场的规范和发展之间辨证统一的关系，明确了影响市场规范和发展的关键问题。之后，文章对证券市场的观念创新、交易方式及监管创新做了重点分析，并提出了一系列的对策和建议。更多还原

【Abstract】 The securities market has become a crucial part of the national economy of China through tens years of development. However, some shortcomings and problems have presented themselves, which have badly damaged the confidence of the investors and the function of optimizing the resource allocation. Practical theoretic study is one of the most important preconditions for the deeper reform of the securities market in China. Nevertheless, the current study on securities market in China is far from sufficient. First of all, no much in deep theoretic study, but in general countermeasure study. Second, no much advanced and new theory about securities market in China, but immediate application of mature theories about securities market in developed countries. Third, no much applicable case study, but academic study. So, based on the analysis of the structure and feature of the securities market in China, the theoretic study is carried out from the following aspects. In the first Chapter, tens years of development process of securities market in China is reviewed. The structure, feature and effecting factor of the market is analyzed and the major problem of the current market is also proposed.In the second Chapter, the empirical study on the feature of securities market in China with range analysis method is given and the long-run memory feature of the market is proved. Then the movement feature of the market is analyzed with the GARCH model, and whether the market return follows non-linear and leptokurtic heavy tail feature is validated.In the third Chapter, a new form of input-output efficiency evaluation model is formulated based on the analysis of the general theories of the efficiency evaluation of securities markets, combined with the basic idea of efficiency evaluation in DEA method. The model evaluates the efficiency of the securities market from a macroscopical angle. In the model, the number of securities companies and the sum of assets are defined as two inputs, and the sum of trading stock and rising capital by A stock from market are defined as two outputs. Then the efficiency, named input-output efficiency of the securities market, of which the securities market transformed input resources into output, can be calculated by the comparison of the input and output of the market in different years. Moreover, the consistency between the movement trends of input-output efficiency and general index of the market is discussed. In the forth Chapter, the formulation for calculating average weekly risk of the entire securities market is constructed and the results are given after the brief introduction of the general <WP=5>classification system of the risk in the securities market. Furthermore, through the multiple regression analysis among the risk of entire securities market and macroeconomic factors, the three major economic factors that affect securities market mostly are given. The classification standard system of performance of the listed companies is proposed in the fifth Chapter. Based on this, the performance change of the listed companies is regarded as a Markov process. Through Markov analysis, the state transition matrix is calculated and the performance distribution of the listed companies in China is forecasted. After that, the hypothesis that the number of the population is constant in a Markov process is changed, and an advanced Markov model is addressed with running an empirical study based on the securities market.Currently, the securities market has played an important role in various aspects of the national economic system. In the sixth Chapter, the securities market’s contribution to the national economy is studies with a huge number of data. And the relation between the securities market and national economy is calculated with an econometric method. The causes and mechanisms, by which securities market affects the conduction system of monetary policies, are listed. A general equilibrium model is also formulated and the corresponding countermeasures are given. Regulation and develop更多还原