中国股市引入熔断机制合理性及发展方向研究

论文总字数：22732字

摘 要

熔断机制现在已经偃旗息鼓了，仅仅存在于中国市场上几天的熔断机制给予人们更多的是暴跌的导火索的印象。但是熔断机制在其他国家却是真的能发挥其稳定市场、保护投资者的作用。如此奇怪的现象不禁让我们现在回首，仔细思考其前因后果。于是本文从熔断机制本身研究入手，进行相关的文献综述，总结前人对于熔断机制效果的观点。之后通过数据和图表分析了熔断机制在中国实施的效果。由于实际实施效果与预期产生很大的差异，本文接下来将要分析熔断机制实施后中国股票市场更加萎靡的原因。然后分析熔断机制的机理，之后依据中国资本市场特有的情况，结合其他实施熔断机制的国家提出假设，建立相关数学模型。之后利用数据进行实证分析，最后下相关结论并给出未来熔断机制改进措施。本文最后得到的结论就是中国由于投资者组成、上市公司分红比例、股东权利集中度以及其他政策方面因素从而导致熔断机制的优势发挥不够明显，所以本文最后分别针对现有的问题给出相关的改进意见。

Abstract

The circuit breaker existing for several days in China impressed us with conductor of the fall of stock price. But we have known that the circuit breaker serve well in other markets for it helps when the fluctuation happens, besides, it can act like a protector for investors. The comparison among several markets let us to mull over reasons and results. So, this academic article is determined to sort it out. First, I conclude the definition and the influence of circuit breaker(both positive and negative)according to available literature. Then I analyse the final outcome of circuit breaker by listing the relative data and chart, as well as. Unfortunately , the realistic results can not achieve its original goal. So, the next step is to figure out why Chinese stock market’s volatility aggravated after adopting this rule. Furthermore, the mechanism will be mentioned. The presumption is set depending on Chinese capital market features compared with other countries. Then I put data into the model to certify the presumption. At last, we will draw a conclusion in light of empirical evidence. The conclusion is that investors proportion、dividend-sharing proportion and share-holders’rights concentration degree and other factors can account for the failure of circuit breaker. At last, I will give the advice on potential actions to improve the circuit breaker to fit with in the Chinese market.

关键词：熔断机制、波动性、对比研究

Key words: circuit breaker、fluctuation、comparison

目录

第一章绪论

1.1问题提出……...……………………………………………………………………………………………………………1

1.2文献综述……...……………………...…………………………………………………………………………………...1

1.2.1熔断机制概念提出……...……………………………………………………………………………………….1

1.2.2熔断机制的实施效果……...…………………………………………………………………………………...1

1.2.3不同熔断机制的比较……...…………………………………………………………………………….……..2

1.3本文结构……...…………………………………………………………………………………………………………….3

1.4.本文创新与不足……...…………………………...……………………………………………….…………………..3

1.4.1本文的创新点……...…………………………………………………………………………….………………….3

1.4.2本文的不足…...……………………………………………………………………………….………………….....3

第二章熔断机制的机理分析……...…………………………………………………….…………….…….…...4

2.1投资者组成……...……………………………………………………………………………….......…………..…...4

2.2上市公司股利政策……...………………………………………………………………….….......………………4

2.3上市公司股东组成………...…………………………………………………………………........………………5

2.4资本市场存在目的……...…………………………………………………………......….…….……………..….5

2.5小结..............................................................................................................................5

第三章实证分析............................................................................................................6

3.实证回归分析……...……………………………………………………………………………………………………….6

3.1提出假设……...………………………………………………………………………………………………………….6

3.2建立模型……...……………………………………………………………………………………………..………....6

3.3数据选取…...……………...…………………………………………………………………………………….........7

3.4描述性统计分析.........................................................................................................7

3.4.1变量相关性检验....................................................................................................7

3.4.2统计折线图............................................................................................................8

3.5实证结果.....................................................................................................................9

3.6小结.............................................................................................................................10

第四章结论与政策建议……...…………………………………………………………………………………....11

4.1结论............................................................................................................................11

4.2政策建议....................................................................................................................11

4.2.1资本市场制度改进...............................................................................................11

4.2.2熔断机制本身的改进...........................................................................................12

参考文献............................................................................................................................12

致谢....................................................................................................................................13

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