对中国股票市场异常波动的思考

【作者】 李曦；

【导师】 周光伟；

【作者基本信息】 西南财经大学 ， 工商管理， 2010， 硕士

【摘要】 波动是股市的必然现象,但中国股市波动过于频繁和剧烈,存在着比其他成熟市场更多的异常波动。频繁且剧烈的波动会使投资者难以做出正确的投资决策,破坏市场“效率”,也会影响国民经济的健康发展,甚至诱发危机。因此研究股票市场上股指及个股的异常波动特征及其影响因素无疑有着重要的理论意义与现实意义。波动是市场投资者交易的结果,市场主体的交易行为直接影响着股票市场的表现。本文从市场主体行为的角度出发,将市场主体分成：政府、机构投资者、上市公司大股东、中小投资者四类,分类考察其各自行为是如何影响着股票市场的异常波动的。其中,对政府,本文考察其对股指的影响,属于宏观层面；而对机构投资者、上市公司大股东、中小投资者,考察其对个股的影响,属于微观层面。在宏观层面,中国股票市场存在较强的政策效应但缺乏效率。政府对股市干预过强,表现出明显的“政策市”特征。具体地讲,文章将从商业银行法定存款准备金率、金融机构法定存贷款利率、印花税率及其它国家政策出发分析政府行为对整体股市(特别是股指)异常波动的影响。在微观层面,以Wind资讯提供的2007年我国上市公司股票交易异常波动的历史数据为研究对象,进行描述性分析研究,试图归纳出单只个股交易异常波动与机构投资者、上市公司大股东以及中小投资者这些市场投资者行为的关系。文章的最后是为提高监管效率和促进我国资本市场的健康、稳定发展而提供的一些建议,主要是应适度把握政策干预,遵循审慎性原则,保持政策相对稳定性,要尽量避免行政干预,建立动态的市场监管机制；同时要正确定位股市的功能,加强行业自律,强化信息披露机制,并适时适当创设金融衍生工具。更多还原

【Abstract】 Chinese stock market has fluctuated frequently and violently for a long time. It has more abnormal volatilities than other developed markets, though price volatility is a necessary phenomenon in stock markets. Dramatic fluctuations will cause investors hardly make right decisions, will undermine the market efficiency, will wreck national economy’s healthy development, till induce economic crisis. Therefore it is important to research the abnormal volatilities and their causes.Volatilities are the outcomes of the market investors’transactions. The market players’transactions affect market performance. This paper studies abnormal volatilities in the perspective of market players, and divides them into four parts:the authority, institutional investors, major shareholders of the listed companies, small and medium-sized investors. In this paper, we firstly analyze the impacts of the authority on the stock index, which belong to the macro-level. Besides this, we analyze the impacts of institutional investors, major shareholders of the listed companies, small and medium-sized investors to individual stock, which belong to the micro-level.At the macro-level, there is a strong policy effect in the Chinese stock market. The authority intervenes in the stock market deeply, and the stock market performance according to a "Policy Market" characteristic. Specifically, the paper will study how required reserve rates of the commercial bank, deposit and loan interest rates, stamp duty rate and other public policies from the authority actions cause abnormal volatilities on the overall stock market (especially index).At the micro-level, this paper bases on the historical data of listed companies in China in 2007 that is provided by the Chinese famous financial database-Wind Info, and carries out a descriptive analysis, attempting to draw conclusions about abnormal volatilities caused by investors, who include institutional investors, major shareholders of listed companies as well as small and medium-sized investors.Finally, this paper intends to provide valuable suggestions and recommends in order to increase the efficiency of supervisory and to prompt the healthy and steady development. As the supervisor and the manager, the authority should intervene the market moderately, follows the prudent principle, keep the relative stability of policies, supervises the market according to relevant laws, avoids administrative intervening, sets up dynamic supervising mechanism. Meanwhile the stock market should be located accurately, industry self-discipline and information disclosure mechanism should be strengthened, and derivative financial instruments should be introduced into the market in a appropriate time.更多还原