股价指数“失真”的实证分析

【作者】 杨帆；

【导师】 严渝军；

【作者基本信息】 对外经济贸易大学 ， 金融学， 2006， 硕士

【摘要】 同其他国家的股票市场相比,中国的股票市场在股权结构上具有鲜明的特色,其中最明显的特征是:国家股和法人股高度集中并不可流通,可流通的社会公众股只占总股本的很少比重。这一独特的股权分裂现象的形成有其历史的合理性,同时也是中国股票市场在高度集中的计划经济体制和国有经济框架下发展的必然选择。但是随着中国经济的发展,这种独特的股权安排已经显示出诸多不足。一些学者和专家认为它对中国股票市场及其运行机制产生了极大的消极影响,同时伴随着股指失真的出现。由于上证指数编排的历史缺陷,造成了没有参与二级市场交易的非流通股对股指多余的加权贡献,使得较小数量的流通股的成交便可放大股指的涨跌。非流通股的加权贡献造成了“杠杆效应”。个股涨跌的合力与上证指数的升降并没有呈现出合理的比例,于是出现了“只赚指数不赚钱”的奇特现象。股指失去了其自有的功能能。本文正是从股指所具有的基本功能开始分析,即从反映国民经济的总体状况,客观衡量投资的收益与风险,资产分配模型的重要参数四个方面出发,从实证的角度得出了当前股指并没有发挥其上述功能的结论。可见由于非流通股的存在,使得杠杆作用举足轻重。接下来,本文从公司治理的角度分析了股权分裂对上市公司的影响,分析了为什么中国的上市公司表现出与成熟的证券市场的上市公司的诸多不同。股指失真阻碍证券市场的发展,本文以深圳成份股为例,计算了全流通状态下的股指水平,并用 CAPM 模型,测算在非流通和全流通状况下股指的收益-风险水平,得出在非流通状态下,投资者获得了较小的收益,反而承担了更多的风险这一不合理的金融现象。金融学经典著作一直都认为收益和风险应当匹配,即高风险获得高收益。而中国证券市场的现实则违反了这一规则。当中国的经济体制改革走到今天,当中国的股票市场发展到今天,股权分裂已经成为中国股票市场众多问题的根源,也成为制约中国股票市场进一步发展的最大障碍,如何在维护流通股股东的利益和保持市场稳定的基础上审慎地解决股权分裂已成为中国面临的一次巨大的考验。更多还原

【Abstract】 Be compared with the stock market of other contry, the stock market of Chinahave unique features on the Equity structure, that is:The national share and thecorporation share can’t be traded ,and tradeable public share accounts for very littleproportion. this arrange of Equity structure has the rationality in that day, and is alsothe indispensable choice in the backdrop of the planned economy system andstateowned economic.With the development of the Chinese economy, this Equity structure has alreadyshowed many shortage.Some scholars and expert thought it exposed influence to theChinese stock market and in the meantime , distortion of stock price index appear.Because there is blemish in the index calculation,a little tradeable public share evenenlarge the droping&falling of the index.First this text start with the basic function of the stock price index,get theconclusion that stock price index in China lost its basic function.Second,The angle analyzed the influence that split share structure expose uponthe listed company in the point of Corporate Governance, The angle that this textmanages from the company analyzed the ownership of a share influence of theabruption upon the listed company, and analyze why compared with the listedcompany of developed area.,Chinese listed company express many dissimilarities.Third,distortion of stock price index is harm to the development of the stockmarket. This text takes the Shenzhen Constituent stock index as an example, computeindex level under all-tradeable circumstance,by using CAPM model, measuringincome-risk level under the both all-tradeable circumstances and non-tradeablecircumstances .Draw a conclusion that under non-tradeable circumstances, theinvestor acquired smaller income,while undertaking more risks. financial classic workhas been believing that the income should match the risk .But Chinese stock marketbreached this rule.When china’s economic restructuring and stock market develop to today, thestockholder’s rights split already become the root of the China’s stock market thathave the multitudinous problems, also became the biggest barrier which resteicts theChina’s stock market further developed, how to carefully solve the stockholder’s rightsto split has become a big challenge which China faced on the basis of maintaining thebenefit of the shareholders and keeping the market steady.更多还原