股票市场危机应急处理机制中“国家队”入市行为的效应研究
发布时间：2018-07-14 17:36
【摘要】：股票市场危机是指资本二级市场上金融资产价格剧烈波动,更加直观地表现为股票市场价格出现急剧、短暂的暴跌。而股票市场危机应急处理机制则是指当发生了股票市场危机时,政府为应对股市危机而采取的一系列法律允许的政策手段的机制,以实现稳定市场、救助市场的根本目标。股票市场危机应急处理机制主要包含四类政策手段,其中"资金注入型政策手段"以其直接高效的特征受到学界的广泛关注,该政策手段应用的适用条件及政策效果是主要的研究重点,本文所研究的"国家队"入市行为则是"资金注入型政策手段"之一。本文首先进行了理论分析,为"国家队"入市行为这一应急机制政策手段提供了理论依据,化解临时危机、化解系统性风险、化解流动性风险是"国家队"入市的三大原因,而影响流动性、影响波动性、加剧羊群行为则是"国家队"入市的三大效应。其次,本文对"国家队"资金的持股特征进行分析。从宏观的角度来看,截至2015年三季度末,"国家队"资金持有全市场50.56%的股票,资金主要集中在金融业、建筑业和交通运输业,表现出了对金融业的极大偏好,尤其是金融业中二级子行业银行业。从"国家队"各机构资金分布来看,证金公司和汇金公司汇集了"国家队"应急入市的主要资金,且这两方力量表现出较为相似的持股风格,均对金融业和制造业较为偏爱;十大资管计划与五大救市基金则表现出了资金量较薄弱、对制造业等实体行业尤为偏爱的特征;而外管局下投资平台受到自身平台性质的影响,所涉及的行业相对较少,且"弹药"十分集中地投向金融业。从"国家队"资金的季度变化来看,"国家队"各机构的弹药分布相对保持稳定,各机构在2015年三季度时持股意愿最强,之后均出现了持股比例下降并企稳的过程,对行业的选择偏好也同样保持着相对稳定,说明"国家队"资金并无显著的退出迹象。再次,本文通过DID双重差分模型的构造对"国家队"入市行为对个股流动性和波动性产生的影响进行了实证分析,得到了以下结论:(1)在"国家队"入市行为发生后,全市场的流动性显著上升,在排除了全市场的影响后,被"国家队"持有的股票流动性提升的程度要高于未被"国家队"持有的股票0.81870,"国家队"入市行为的流动性净效应为正;(2)在"国家队"入市行为发生后,全市场的波动性没有发生显著性变化,在全市场的影响后,被"国家队"持有的股票波动性要低于未被"国家队"持有的股票0.12234,"国家队"入市行为的波动性净效应为负。最后,本文认为"国家队"入市行为存在"入市资金如何退出"、"机构投资者的道德风险"以及"信息披露等监督机制的欠缺"等问题。针对"国家队"资金持股特征、"国家队"入市行为对个股流动性和波动性影响以及"国家队"入市行为存在的问题,本文提出了"制定国家金融稳定危机应急机制的法律框架"、"将此类入市行为纳入日常规范与监督"、"妥善制定入市资金退出机制"、和"建立资本市场系统性风险监控体系"四个方面的政策建议。
[Abstract]:The stock market crisis refers to the violent fluctuations in the price of financial assets in the two level capital market, which is more intuitively manifested by the sharp and short slump in the stock market price. The emergency handling mechanism of the stock market crisis refers to a series of laws allowed by the government to deal with the stock market crisis when the stock market crisis has occurred. The mechanism of the means is to achieve the basic goal of stabilizing the market and helping the market. The emergency handling mechanism of the stock market crisis mainly includes four kinds of policy means, in which the "capital injection policy means" is widely concerned by the academic circle with its direct and efficient characteristics. The main research focus is the applicable conditions and the policy effect that the policy means should be used. In this paper, the behavior of "national team" entering the market is one of the "capital injection policy means". This paper first carries out a theoretical analysis, which provides a theoretical basis for the policy means of the "national team" into the market, to resolve the temporary crisis, to resolve systemic risks and to resolve the liquidity risk is the three major reasons for the "national team" into the market. The three effect of "national team" is analyzed. From a macro point of view, as of the end of the three quarter of 2015, the "national team" funds hold 50.56% of the stock market in the whole market, and the funds are mainly concentrated in the financial industry, construction and transportation. It shows a great preference for the financial industry, especially the banking industry of the two level sub industry in the financial industry. From the distribution of the funds of the national team, the main funds of the "national team" to enter the market are collected by the "national team" and the Huijin Company, and the two forces have shown a relatively similar style of holding, both of the financial industry and the manufacturing industry. Favoritism; the ten capital management and the five bailout funds show a weaker capital and a particular preference for the real industry such as manufacturing; while the investment platform under the foreign authority is affected by the nature of its own platform, the industries involved are relatively small, and "ammunition" is in a very centralized way to the financial sector. As a result, the distribution of ammunition in the national team is relatively stable, and each institution has the strongest stake in the three quarter of 2015. After that, the stock ownership ratio has declined and stabilizes, and the choice preference of the industry has remained relatively stable, indicating that the "national team" funds have no significant signs of withdrawal. Again, this article passes through DID double. The structure of the weight difference model makes an empirical analysis on the influence of the "national team" entering the market on the liquidity and volatility of the stock. The following conclusions are obtained: (1) the liquidity of the whole market has risen significantly after the "national team" entering the market, and the degree of the liquidity of the stock held by the "national team" has been promoted after the effect of the whole market. To be higher than 0.81870 of the stock not held by the national team, the net effect of the flow of "national team" into the market is positive; (2) the volatility of the whole market has not changed significantly after the "national team" entering the market, and the volatility of the stock held by the national team is lower than that of the stock not held by the national team after the impact of the whole market. The net effect of the "national team" into the market is negative. Finally, this paper thinks that the "national team" behavior exists "how to exit the capital of the city", "the moral hazard of institutional investors" and "the lack of supervision mechanism of information disclosure". The effect of sex and the problem of "national team" entering the market, this paper puts forward the "legal framework for formulating the emergency mechanism of the national financial stability crisis", "bringing this kind of market into the daily norms and supervision", "properly formulating the exit mechanism of the capital into the city" and "establishing the systematic risk monitoring system of the capital market" four aspects of policy recommendations.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
本文编号：2122423
[Abstract]:The stock market crisis refers to the violent fluctuations in the price of financial assets in the two level capital market, which is more intuitively manifested by the sharp and short slump in the stock market price. The emergency handling mechanism of the stock market crisis refers to a series of laws allowed by the government to deal with the stock market crisis when the stock market crisis has occurred. The mechanism of the means is to achieve the basic goal of stabilizing the market and helping the market. The emergency handling mechanism of the stock market crisis mainly includes four kinds of policy means, in which the "capital injection policy means" is widely concerned by the academic circle with its direct and efficient characteristics. The main research focus is the applicable conditions and the policy effect that the policy means should be used. In this paper, the behavior of "national team" entering the market is one of the "capital injection policy means". This paper first carries out a theoretical analysis, which provides a theoretical basis for the policy means of the "national team" into the market, to resolve the temporary crisis, to resolve systemic risks and to resolve the liquidity risk is the three major reasons for the "national team" into the market. The three effect of "national team" is analyzed. From a macro point of view, as of the end of the three quarter of 2015, the "national team" funds hold 50.56% of the stock market in the whole market, and the funds are mainly concentrated in the financial industry, construction and transportation. It shows a great preference for the financial industry, especially the banking industry of the two level sub industry in the financial industry. From the distribution of the funds of the national team, the main funds of the "national team" to enter the market are collected by the "national team" and the Huijin Company, and the two forces have shown a relatively similar style of holding, both of the financial industry and the manufacturing industry. Favoritism; the ten capital management and the five bailout funds show a weaker capital and a particular preference for the real industry such as manufacturing; while the investment platform under the foreign authority is affected by the nature of its own platform, the industries involved are relatively small, and "ammunition" is in a very centralized way to the financial sector. As a result, the distribution of ammunition in the national team is relatively stable, and each institution has the strongest stake in the three quarter of 2015. After that, the stock ownership ratio has declined and stabilizes, and the choice preference of the industry has remained relatively stable, indicating that the "national team" funds have no significant signs of withdrawal. Again, this article passes through DID double. The structure of the weight difference model makes an empirical analysis on the influence of the "national team" entering the market on the liquidity and volatility of the stock. The following conclusions are obtained: (1) the liquidity of the whole market has risen significantly after the "national team" entering the market, and the degree of the liquidity of the stock held by the "national team" has been promoted after the effect of the whole market. To be higher than 0.81870 of the stock not held by the national team, the net effect of the flow of "national team" into the market is positive; (2) the volatility of the whole market has not changed significantly after the "national team" entering the market, and the volatility of the stock held by the national team is lower than that of the stock not held by the national team after the impact of the whole market. The net effect of the "national team" into the market is negative. Finally, this paper thinks that the "national team" behavior exists "how to exit the capital of the city", "the moral hazard of institutional investors" and "the lack of supervision mechanism of information disclosure". The effect of sex and the problem of "national team" entering the market, this paper puts forward the "legal framework for formulating the emergency mechanism of the national financial stability crisis", "bringing this kind of market into the daily norms and supervision", "properly formulating the exit mechanism of the capital into the city" and "establishing the systematic risk monitoring system of the capital market" four aspects of policy recommendations.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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