【作者】 叶爱民；

【导师】 瞿宝忠；

【作者基本信息】 东华大学 ， 企业管理， 2005， 硕士

【摘要】 2004年6月25日,我国中小企业板块在深圳证券交易所推出。刚推出的中小企业板并不是真正意义上的创业板(或二板),而是主板市场的一个组成部分,是我国证券市场的重大制度创新,其建设会面临一定的风险。理性、全面地认识和评价中小企业板块风险,并在此基础上探讨科学、有效的防范措施,是中小企业板块得以顺利运行并健康发展的关键所在。 本论文首先通过对前人理论进行总结和运用,形成一定的理论认识;其次对我国中小企业板的发展历程和特性进行了分析;接着对海外二板市场风险和风险防范进行了分析,并从部分海外二板市场的成功与失败原因分析中提出了我国中小企业板的完善和发展的启示。然后,在对中小企业板上市公司的基本情况进行分析的基础上归纳了中小企业板的具体风险;再后,通过统计分析和模型检验对中小企业板与主板的关系,中小企业板的风险构成,风险与收益关系进行了实证研究;最后,在风险研究的基础上,提出了风险防范的对策。 本论文主要采用实证分析和规范分析相结合的研究方法。对中小企业板的风险采用定性分析和定量分析相结合的方法,论文的研究成果及创新之处如下: 1、对中小企业板与主板、创业板分别进行了比较研究,说明中小企业板是主板与二板的过渡,对主板与二板的特点兼而有之。 2、通过对中小企业板上市公司的发行融资情况、行业分布情况和盈利能力与成长性情况进行了数据统计分析,归纳和分析了中小企业板存在的三个方面的特殊风险,即市场启动初期的风险、上市公司以民营企业为主的风险和中小企业板块的定位带来的制度限制风险。更多还原

【Abstract】 Chinese small and medium enterprise board (SME board) has been established in Shenzhen stock exchange from Jun 25, 2004. The emerging SME board is not real growth enterprise board or second board, but a continuation of main board. SME board is the innovation of Chinese stock market system and it will face some risk during the period of growth and development. Not only ratiosnal and comprehensive knowledge and appreciation of risk of SME board, but also scientific and scientific defense structure are the key of the growth and development of SME boardBy summing up and applying the theory of predecessors, this paper achieved some theoretical knowledge. Secondly, analyzed developing current situation of SME board. Thirdly, analyzed risk and risk defense of oversea second board market, gained enlightenment from the analysis of success and default of some of oversea second board markets. Fourthly, summed up the risk of SME board based on the analysis of the fundamental conditions of the issuing enterprise of SME board. Fifthly, made empirical test of the relation between SME board and main board, risk structure of SME board and the risk-return relationship by statistical analysis and the test of CAPM. Lastly, put forward measures of risk defense of Chinese SME board.This paper used both positive and normative analysis methods, andalso used both qualitative and quantitative analysis methods on risk of SME board’s risk. The conclusion and innovation of this research as follows:1 SME board is the transition between main board and second board by comparing the risk of SME board with risk of main board and growth enterprise board.2 Based on statistical analysis of the fundamental condition of the issuing enterprises of SME board such as issuing and financing, distribution of different industries and ability of returning, summed up the special risks of SME board including the risk of the beginning of setting up of SME board, the risk of issuing enterprises composed mainly of private enterprises and the risk of system limit of SME board.3 In the empirical study, SME board was regarded as "quasi-market", and used the data of 38 stocks’ weekly return within the past 20 weeks for the period 2004:6.25-2004:11.6 in SME board.4 In the first part of empirical study, studied the distribution trend, co efficiency and variance of weekly return of sample stocks. Based on these analyses, conclusion is that SME board is the continuation of main board, the fluctuation of the return of SME board "quasi-market" is stronger than that of main board.5 In the second part of empirical study, calculated Systematic Risk, Unsystematic Risk and the total risk level of SME "quasi-market", and analyzed the risk structure. Conclusion is that Systematic Risk is the main risk of SME board’s individual stock and Systematic Risk can’t explain the variation of the stock’s return.6 In the third part, the empirical test of the CAPM was made in SME board "quasi-market" for the period 2004:6.25-2004:11.6 which included time-serial and cross-sectional regression. Conclusion is that CAPM test can’t pass.7 Based on the study of SME board’s risk, put forwards risk defend measures which includes three supervisor structures, the law guaranteeand two subjects which are issuing enterprises and investor of SME board.更多还原