【作者】 黄玲；

【导师】 刘炜；

【作者基本信息】 华中科技大学 ， 会计， 2013， 硕士

【摘要】 承载着“纳斯达克”梦想的创业板三年来屡受诟病，存在着三高一破严重、IPO圈钱2315亿、投资者亏损183亿，业绩大幅变脸、高管辞职套现等等一系列问题，导致了社会各界人士担忧创业板系统性风险的积聚。在这一形势下，有必要对创业板市场的系统性风险进行测算和影响因素分析。笔者依据资本资产定价模型，以创业板上市股票数据为基础，测算出在2011~2012年期间，中国创业板市场的系统性风险在总投资风险中的占比在30.725%~59.873%的区间波动，平均比重为47.136%，整体依然存在上升的趋势。笔者通过对比系统性风险占比比重的季度数据和同一时期的创业板指数，发现系统性风险与股指波动呈现明显负相关性。这表明，我国创业板市场存在单边运行特征，缺乏对冲平衡机制，导致系统性风险难以化解。笔者为找到影响市场系统性风险水平的重要因素，基于证券市场的宏观性和政策性，选取国内生产总值、通货膨胀率、存贷款利率、政策事件四个因素分析它们对系统性风险水平的影响。结论显示，创业板市场政策变化是影响系统性风险水平的重要因素，而中国经济发展并不能构成影响创业板市场系统性风险大小的决定性因素。重大政策事件的出台会导致更为剧烈的市场波动，造成系统性风险积聚。我国创业板市场依旧存在一定的“政策市”特征。更多还原

【Abstract】 With the launch of China’s GEM, a series of problems are coming out. Such as, high issue price, high price-earnings ratio, superb raised and breaking, IPO financing money to231.5billion, shareholder loss of18.3billion, substantial decline in performance, Executives quit to cash and so on.It raises more concern about systematic risks, which is not conducive to the healthy and stable development of China’s GEM. In such a case, it is necessary to study on China’s GEM market systematic risk assessment and influencing factors.According to the Capital Asset Pricing Model, this paper conducts a quantitative analysis on the systematic risk of China’s GEM, indicating that during2011to2012, the systematic risk proportion of China’s GEM is47.136%on average, which also is in the30.725%-59.873%range trade, remaining an upward trend as a whole. Furthermore, the author compares quarterly data of systematic risk proportion with China’s GEM index over the same period and finds that systematic risk and stock index fluctuations show negative correlation, indicating that China’s securities market has a unilateral operation characteristic. It leads Investors cannot effectively mitigate market risk in the absence of financial hedging tools.Then this paper selects indicators from four aspects, which are the gross domestic product, inflation rate, deposit and loan interest rates, policy factors, and analyzes how these elements affect the systematic risk during June2010to December2012. The result shows that Market policy changes have significant impacts on the systematic risk. The gross domestic product and inflation as reflected China’s macroeconomic fundamentals only have few impacts on the systematic risk in the individual time. The introduction of major policy events lead to more intense market volatility, resulting in the accumulation of systematic risk. China’s GEM remains certain "policy market" characteristics.更多还原