【作者】 宋红玉；

【导师】 吴育华；

【作者基本信息】 天津大学 ， 管理科学与工程， 2004， 硕士

【摘要】 随着市场经济的发展,我国证券市场得到了迅速发展。但是,我国证券市场是在经济体制改革的特殊背景下成长起来的一个新兴市场,这使我国证券市场面临着巨大的潜在风险,例如上市公司的质量、证券交易制度的缺陷、市场上的过度投机行为、政府干预及宏观经济调控政策的失当等都可能造成我国股市的异常波动。这种异常波动不仅给投资者带来损失,而且对整个金融体系及国民经济的运行都会带来巨大伤害。如何分析和度量风险、如何发现证券市场风险成因、如何降低风险带来的损失已经成为金融管理部门亟待解决的问题。为了监测风险,管理者必须清楚需要控制什么样的风险,并能用科学的体系分析,度量市场风险。本文首先对我国证券市场存在的风险进行了分析,探讨了证券市场风险的性质及其本质。本文引入方差-协方差方法和完全参数方法来计算风险价值,分阶段对我国证券市场十年来的风险进行了全面的度量和分析。说明了经济政策是我国证券市场的风险的主要成因之一。并对证券市场价格和经济运行之间的关系进行分析,在综合考虑其他经济因素的影响下,运用计量经济学的方法和格兰吉因果检验分析法证券市场与经济运行之间的关系,以及证券市场的发展对经济运行的影响。对证券市场存在的问题、风险因素进行了系统分析,提出了我国证券市场风险防范的建议,以期为我国证券市场风险管理部门抓住良机对证券市场进行调节提供科学的依据,促进我国证券市场的健康、良性发展。更多还原

【Abstract】 With the development of china market economy, the security market is boomingrapidly. But, because our security market is emerging in especial background ofreform, this make security market full of tremendous risks, such as, the quality oflisted companies, the bugs of rules and regulations of stock dealing, excessivespeculative behaviors in market, the misplays of policies and fluctuations ofmacro-economy. These factors can cause the abnormal fluctuation of our securitymarket, since of the abnormal fluctuate, not only will the investors make a loss, butthe whole financial system and the running of national economy maybe breakdown.How to analyze and evaluate risk, how to find out the origin of the risk and how todecrease the loss what the risks cause, have become urgent tasks what need to besolved by management department.In order to be on guard with the risk, managers should recognize what risk needsto be controlled and can find scientific systems for analyzing, evaluating the marketrisks. This paper analyze the risks exiting in our security market, probe into thecharacter and essence of security market.This paper evaluates value at risk by using variance-covariance method andtotal-parametric method, analyze the risk by stages in our security market during lasttens’ years, points out that economy policy is mostly factor causing the market risk.Meanwhile, this paper analyzes the relations between the price of security market andthe running of nation economy. taking other economic targets into account we studythe interrelation between GDP rate of increase and the scale and liquidity of securitiesmarket by econometrical method and the granger causality, and analyze the influenceon the running of economy by the development of security market .On the base of systems analysis to the problem exiting in security market and thefactors of risk, we offer some advices for controlling our market risk, it can providescientific basis for the managers to correctly grasp the opportunity in intervening oursecurity market, and promote the healthy and benign development of our securitymarket.更多还原