發(fā)布時間：2018-03-20 19:05

  本文選題：分級基金　切入點：股市穩(wěn)定性　出處：《長春工業(yè)大學》2017年碩士論文　論文類型：學位論文

【摘要】：我國股票市場誕生在上個世紀90年代,當時是為國企融資服務的�？傻搅�2005年之后,隨著股改的基本完成,其發(fā)展迅猛,股市支持經濟發(fā)展的投、融資作用得到了進一步的發(fā)揮。但由于我國股票市場中小投資者眾多、政策市痕跡明顯等因素的存在,暴漲暴跌的情況時有發(fā)生。就近兩年的情況看,2015年7—8月,發(fā)生了5178?3373點、4184?2850點兩次股災,2015年11月—2016年2月,又發(fā)生了3684?2638點股災。短短的半年多時間竟然發(fā)生了三次股災,極大地影響了市場的正常發(fā)展。由此可見,要使我們的證券市場健康發(fā)展,急需大量的機構投資者,而我國證券投資基金正是這樣一只主力軍。如何發(fā)揮我國證券投資基金的重要作用,關系到證券市場能否健康發(fā)展,進而會影響我國經濟的轉型能否成功,所以,投資基金對股市的影響作用越來越重要。而隨著證券投資基金加速發(fā)行,其品種也越來越豐富,分級基金就是近年來發(fā)展最快的投資產品之一,它不同風險的結構性設計吸引了眾多投資者,分級基金從2007年誕生,到2015年就已經發(fā)行了220只,其總體規(guī)模也在迅速增加。但隨著2015年股災的出現(xiàn),分級基金的B類份額出現(xiàn)下折潮,這既暴露了分級基金自身存在的問題,也加劇了股市的動蕩,因此,對分級基金未來發(fā)展及其對股市穩(wěn)定性影響方面的研究,具有重要的現(xiàn)實意義。本文分別從理論和實證兩個角度研究了分級基金對股市穩(wěn)定性的影響作用,首先從理論層面來分析,基于分級基金和股價波動的發(fā)展現(xiàn)狀,從投資組合、交易策略和規(guī)模效應等角度分析了分級基金的推出對股市穩(wěn)定性的積極作用和消極作用;其次從實證方面來分析,主要運用GARCH(1,1)和EGARCH(1,1)模型對深圳證券市場股指日收益率數(shù)據進行實證檢驗,并以分級基金的入市交易時間作為數(shù)據區(qū)間劃分依據,對比分析分級基金入市前后股價的波動情況。實證檢驗結果顯示,分級基金的推出并沒有起到穩(wěn)定股市的作用,反而還加劇了股價的異常波動,而且杠桿效應更加顯著。分級基金未能發(fā)揮維穩(wěn)股市作用的主要原因有證券市場的不完善、分級基金自身的問題和投資者的非理性投資行為等。對此,本文從證券市場、分級基金和投資者三個角度出發(fā)提出了針對性的改進對策,可以為證券市場的完善和分級基金的發(fā)展提供科學的指導建議。
[Abstract]:The stock market of our country was born in -10s, when it served the financing of state-owned enterprises. After 2005, with the basic completion of the stock reform, the stock market developed rapidly, and the stock market supported the investment of economic development. The role of financing has been further developed. However, due to the large number of small and medium-sized investors in the stock market in China, the existence of obvious policy market traces and other factors, the situation of soaring and plummeting has occurred from time to time. Looking at the situation in the last two years, from July to August of 2015, 5178? 3373 points, 41844? 2, 850: 00, November 2015-February 2016, 3684? The 2638 point stock disaster. In a short period of more than half a year, there were three stock disasters, which greatly affected the normal development of the market. Thus, it can be seen that in order to make our securities market develop healthily, a large number of institutional investors are in urgent need. The securities investment fund of our country is such a main force. How to give full play to the important role of the securities investment fund in our country is related to the healthy development of the securities market and will affect the success of the economic transformation of our country, so, The influence of investment funds on the stock market is becoming more and more important. As the issuance of securities investment funds accelerates, the variety of investment funds is becoming more and more abundant, and graded funds are one of the fastest growing investment products in recent years. Its structural design of different risks has attracted many investors. Since its inception in 2007, it has issued 220 funds since 2015, and its overall size has been increasing rapidly. But with the 2015 stock market crash, Class B shares of graded funds have a downward trend, which not only exposes the problems existing in the graded funds themselves, but also exacerbates the volatility of the stock market. Therefore, the study on the future development of graded funds and their impact on the stability of the stock market, This paper studies the influence of graded funds on the stability of stock market from both theoretical and empirical perspectives. First of all, it analyzes the impact of graded funds and stock price volatility from the perspective of theory, based on the current development of graded funds and stock price volatility, from the perspective of investment portfolio. From the perspective of trading strategy and scale effect, this paper analyzes the positive and negative effects of the introduction of graded funds on the stability of the stock market. This paper mainly uses the models of GARCH1) and EGARCH1) to test the daily return data of stock index in Shenzhen stock market, and takes the trading time of classified funds as the basis of dividing the data interval. The empirical results show that the introduction of graded funds does not play a role in stabilizing the stock market, on the contrary, it exacerbates the abnormal volatility of stock prices. Moreover, the leverage effect is more obvious. The main reasons for the failure of graded funds to maintain stable stock market are the imperfections of the securities market, the problems of the graded funds themselves and the irrational investment behavior of investors. The paper puts forward the corresponding improvement countermeasures from three angles: classified funds and investors, which can provide scientific guidance suggestions for the improvement of securities market and the development of graded funds.
【學位授予單位】：長春工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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本文編號：1640409