【作者】 刘维奇；

【导师】 梁嘉骅；

【作者基本信息】 山西大学 ， 管理科学与工程， 2008， 博士

【摘要】 金融是经济的核心,不论是在一个国家、社会组织,还是公司、家庭。研究经济离不开金融,金融依存于经济环境。随着经济全球化和通讯信息化,世界变得越来越小,金融把个人与自己看不到的公司联系在一起。金融的发展、经济的繁荣和科学技术革命如影随形,网络技术革命与“新经济”、“新金融”相伴,金融创新异彩纷呈、层出不穷。上世纪后半叶,现代金融理论随着“新经济”、“新金融”的需求不断发展,吸引了一大批自然科学、工程技术科学、社会科学等学科的精英从事金融理论研究和金融实践创新,投资组合、资产定价、公司治理、风险管理、金融效率等理论创新造就了一批诺贝尔经济学奖获得者。经济全球化蕴含着资本市场一体化。“新金融”为经济繁荣注入了活力,同时也为经济孕育了风险。因此,“新金融”是一把双刃剑。有效防范和化解金融系统风险,充分挖掘资本市场潜力,需要深层认识金融复杂性,量子解析金融市场非理性,准确估价金融风险,技术创新提升金融效率。这正是本文的立足点。本文的研究基础定位在朝气蓬勃、日新月异的新兴资本市场——中国金融市场。以提升金融效率为研究主线,透过中国金融市场认识资本市场,解析资本市场。通过运用随机分析方法和计量数学模型研究金融市场的外在复杂性特征(或非线性特征),探索金融市场的内在变化规律。本文的目标是中国金融效率,在剖析中国金融市场结构、中国金融经营模式、中国金融市场效率、中国金融生态以及与股票市场息息相关的金融创新与金融改革的基础上,探索如何从技术层面提升中国金融效率的有效途径。本文坚持唯物主义的历史观和辩证观,科学分析金融市场的产生、发展和存在的原因,重新审视和厘定金融市场的概念、特点、分类、构成和功能,比较研究金融市场结构和金融经营模式。以此为基础,谨慎检视中国金融市场,本文认为中国金融市场结构不同于国际其它资本市场,抑或“银行主导型”结构,抑或“市场主导型”结构,而是“银行市场+证券市场”的“政府主导型”结构,这既是中国金融市场的特点,也是中国金融在目前所处经济环境下的必然选择。针对中国金融经营模式,本文认为中国正处在分业经营法律框架下,以混业经营为发展趋势的,从“分业”向“混业”过度的综合经营模式。随着中国资本市场的逐步发达和中国金融市场的不断完善,这种模式有必要继续持续一段时期,目前混业经营还为时过早。然而“一行三会”(即中国人民银行、中国银行业监督管理委员会、中国证券业监督管理委员会、中国保险业监督管理委员会)的分业监管模式已经明显不足,不能适应中国金融的综合经营模式。本文认为在不改变分业经营法律框架条件下,探索一种“一行三会”的合作监管模式不失为一种最佳选择。不确定性是不可度量的风险,风险是可度量的不确定性。不确定性、风险和金融效率之间存在千丝万缕的联系。作为一个中性概念的不确定性既可以为人们带来超额收益,也可以给人们造成不可估量的损失。来自于市场、信用、操作、流动性和法律等因素的风险需要管理,而不可能消除。效率意味着不可预测,可预测性会使你处于不利地位。本文认为,不确定性能够降低风险,有助于提升效率。不确定性能够为金融创新提供空间,能够为你创造机会。金融效率体现在系统(或宏观)、个体(或微观)、市场(或中观)三个层面,核心都是资源配置。本文在深刻认识和探索不确定性、风险、金融效率以及它们之间相互联系基础上,解析中国现阶段存在的流动性风险,即流动性过剩、局部交易流动性不足隐患和流动性黑洞危机。针对中国金融市场效率,虽然有数以百计的文献做了研究和探讨,但是至今没有一个统一的认识。这可能是研究方法选择的不同,抑或数据选择存在差异,抑或研究者对效率认识的偏差等等,但是对中国金融市场给出一个基本的判断非常必要,因为效率直接影响风险的把握和价格机制的可靠性。本文研究结果认为,中国金融市场中沪深两市行为相似,但是存在差异,上海市场效率优于深圳市场。虽然中国金融市场表现出明显的复杂性特征,但总体上达到或者说趋于弱式有效。金融市场是复杂适应性系统。这是由于市场参与者,适应性主体的有限理性所决定的。本文认为正是这种有限理性,有时甚至表现为非理性的运动和扩散,使金融市场从原因复杂性转向结果复杂性。本文应用复杂性和非线性科学先驱约翰·霍兰德关于复杂适应系统的基本观点,尝试给出金融市场复杂性的描述,剖析金融市场的原因复杂性。金融市场实现金融资源配置功能的指示器是金融资产的价格,金融市场的复杂性通过金融资产的价格表现出来,因此,本文紧紧抓住金融资产价格或收益来探索金融市场的结果复杂性。实证研究结果表明,金融市场具有明显的非线性复杂特征:(1)金融资产价格序列遵循非平稳Ⅰ(1)过程,金融资产收益率是具有近似一阶不相关的平稳过程;(2)金融资产的收益的分布偏离正态分布,具有明显的尖峰、重尾和不对称等特征;(3)金融资产收益率序列是二阶相关的,存在波动聚集效应;(4)金融资产价格序列呈现长记忆特征,具有状态持续性;(5)金融资产价格不完全遵循随机游走或标准布朗运动,金融市场存在多重分形特征。同时,本文针对应用数学模型解析金融复杂性问题,从下面三个方向上作了探索:其一,通过重尾指数(或重尾阀值)估计准确估价金融风险;其二,通过波谱分析量子解析金融市场的非理性因素;其三,通过建立多重分形收益模型深层认识金融复杂性。本文辩证认为,复杂性增加了人们认识和驾驭金融市场的难度,但是,复杂性为金融系统的相对稳定性提供了支撑,营造了金融系统的创新空间,能够促进金融效率的演化提升。中国的金融改革项多面广,本文不能也没有能力全部涉猎。针对于中国股票市场密切相关的金融创新——与股权分置改革相伴的权证的复出、为了调控宏观经济结构中国人民银行所施行的连续利率调整政策、实行以市场供求为基础参考一篮子货币进行调节有管理的浮动汇率制度改革前后汇率价格变化、国有商业银行股份制改革与上市等金融改革进行实证分析。实证结果认为,中国股票市场和中国权证市场相互影响,不论交易量还是交易价格互相冲击,这种影响似乎权证市场对股票市场更强一点。同时,两个市场存在双向波动溢出效应,而这种溢出效应股票市场对权证市场更加显著。中国股票市场对从1993年至2007年间12次上调银行存贷款基准利率货币政策的反应表现不同,对前4次利率上调呈现“利空”,而对后8次呈现“利好”,但是综合来看上调存贷款基准利率对股票市场具有一定的抑制作用,并且随着利率政策的连续使用,抑制作用渐进明显。2005年7月汇率改革前,股票市场与汇率市场之间呈现正相关关系,且不存在协整关系;而汇率改革后,股票市场与汇率市场之间呈现显著负相关关系,两个市场存在协整关系。股票市场与汇率市场之间存在波动溢出效应,汇率改革后波动溢出效应更为显著。中国工商银行、中国农业银行、中国银行、中国建设银行等四大国有商业银行的改革促进了中国股票市场的繁荣,对中国金融市场的发展起到了推波逐浪的作用。特别是工、中、建三家国有商业银行的上市扩大了金融市场规模,优化了资本市场结构,确立了股票市场的价值投资理念,增强了金融市场的稳定性。总体来讲,中国金融改革提升了中国金融市场的市场化程度,金融资产价格形成机制趋于合理,金融资源配置更加有效率,有利于经济系统趋向于均衡。针对中国金融改革所面临的金融流动性风险,以国有商业银行为主体的商业银行低效率,以及由于间接融资主导而带来的“高储蓄”和“融资难”问题,本文提出设计“可选择可交换债券”金融工具,以国有四大商业银行改革为载体,从技术层面根本上提升中国金融效率。效率无止境,对金融效率的探索无止境。追求效率是一个国家、一个社会组织,一个公司,甚至一个家庭的本能。金融复杂性孕育风险,但是也助推金融效率的提升。深刻认识金融复杂性,探索金融市场规律,激活金融工程中国创造,是防范和化解金融系统风险,提升中国金融效率的必然选择。更多还原

【Abstract】 Finance is the core of economy, not only for country and social organization, but also for corporation and family. We cannot study on economy without finance, while finance depends on economic environment conversely. With the globalization of economy and informatization of communication, the world becomes smaller and smaller. And finance links oneself to the corporation that even cannot be seen. Development of finance and prosperity of economy are accompanied by the scientific and technological revolution. Network technical revolution is in process with new economy and new finance. Financial innovation is colorful and endless. In the second half of 20th century, the modern financial theory was continuously being developed with the demand of new economy and new finance, and absorbed a large number of elites of subjects on science, engineering science and social science to work at researching on financial theory and practical innovation. The innovation of the theories of investment portfolio, capital and asset pricing, corporation governance, risk management and financial efficiency creates a group of winners of the Nobel Economics Prize.The globalization of economy implicates the capital market integration. New finance injects vitality into economic prosperity, and also breeds risks for economy. Therefore, new finance is a double-edged sword. To prevent and reduce risk effectively and tap potential of capital market fully need deep understanding of financial complexity, quantum analysis of non-rational financial market, accurate valuation of financial risk and technical promotion of financial efficiency, which is the foothold of this paper, whose research isbased on the vibrant emerging capital market------China’s financial market.With the financial efficiency upgrading being the main route of research, this paper analyzes the capital market through the China’s financial market, and studies on the external complexity characteristics (or non-linear characteristics) and the internal changing rules of financial market by using the method of random analysis and econometric mathematical model. The object is to explore the efficient way to upgrade the China’s financial efficiency from technical level based on the analysis of the structure, operation mode of China’s financial market, financial eco-system and financial innovation and reform that are relative to the stock market.This paper insists the dialectical and historical materialism, scientifically analyzes the reason for the emergence, development and existence of financial market, reexamines and determines its definition, features, classification, components and functions, and comparatively studies on the structure and operation mode of financial market. With cautious examination of China’s financial market, we find the structure of China’s financial market is different from other international capital markets. It’s not the market-based or bank-based structure, but the government-dominated pattern of banking and security market, which is the feature of China’s financial market and also the inevitable choice of China finance in the current economic environment. Aiming at the operation mode of China’s financial market, we believe it is integrated operation model transiting from separated to universal operation in the legal frame work of separated operation with the universal operation being the trend of development. With the China’s capital market being gradually developed and financial market being constantly perfected, this operation mode is necessary to remain for a period, yet universal operation is premature. However, separated supervision is obviously defective and unfit for the comprehensive operation mode of China finance. In this paper, we will explore a best choice, cooperative supervision on the premise of not changing the legal framework of separated operation.Uncertainty is an immeasurable risk, while risk is a measurable uncertainty. Uncertainty, risk and financial efficiency are inextricably linked. As a medial concept, uncertainty brings not only excess earnings, but also incalculable losses for people. Risks from market, credit, operation, liquidity and law that can not be eliminated need to be managed. Efficiency means unpredictability since predictability will make you be in a disadvantageous position. In this paper, we believe uncertainty can reduce risk, and help to promote efficiency. Uncertainty can also provide space for financial innovation, and create opportunities for you. Financial efficiency reflects in system (or macroscopic), individual (or microscopic) and market (or meso), all of whose core are resource allocation. After deeply understanding the uncertainty, risk and financial efficiency and their inter-linkages, this paper focus on analyzing the current liquidity risks in China, which are liquidity surplus, hidden dangers of liquidity shortage of transaction and liquidity black holes crisis. Although there is hundreds of paper about efficiency of China’s financial market, unified understanding has not been reached. That may be because of the difference among research methods, or data choice, or researchers’ understanding about efficiency. However, it’s necessary to give a basic judgment on China’s financial market as efficiency directly influenced the control of risk and reliability of price mechanism. And the result of this paper is that the behaviors of the two financial markets Shanghai stock market and Shenzhen stock market in China are similar, but differences also exists that efficiency of Shanghai market is superior to that of Shenzhen market. There is an obvious complexity characteristic in China’s financial market, but it achieves or tends to achieve an overall weak form efficient.Financial market is a complex adaptive system, which is decided by the limited rationality of market participants. Just the limited rationality that sometimes even shows as the movement and proliferation of non-rationality make financial market transforms from reason complexity to result complexity. This paper applies the basic opinions about complex adaptive system of John Holland who is pioneer of complexity and non-linear science to descript the complexity of financial market and analyze the reason complexity. The indicator of realizing the function of resource allocation is price of financial asset, through which complexity of financial market shows out. Therefore, in this paper we explore the result complexity of financial market closely around the price or return of financial asset. The result of empirical research shows that financial market has clear complexity characteristic of non-linear: first, price series follows non-stationary I(1) process, and rate of return follows the first-order de-correlate stationary process; second, return distribution departures from normal distribution, and has features of peak, asymmetry and heavy tail; third, the rate of return series is second-order correlate, and has clustering of volatility effect; fourth, the price series show the long memory characterization and has state durability; fifth, price of financial assets does not follow random walk or standard Brownian motion completely, and multi-fractal characterization exists in financial market. Meanwhile, through applying the mathematical model to analyze the financial complexity problems, we research from 3 aspects below: first, using the heavy-tailed index to valuate the financial risk accurately; second, make quantum analysis of non-rational factors of financial market through spectrum analysis; third, building the multi-fractal model to understand the financial complexity deeply. In this paper, we dialectically think that complexity increases the difficulties for people to understand and control financial market. But complexity supports the relative stability and builds the innovation space of financial system and also promotes the evolution and upgrading of financial efficiency.We cannot involve all of the aspects of China’s financial reform. We empirically analyzes the financial innovation relative to China’s stock market, which includes the comeback of warrant accompanied by reform of non-tradable shares, consistent interest rate policy of the people’s bank of China to regulate the macroeconomic structure, implement of managed floating exchange rate regime which is based on the supply and demand of market and referring to the currency basket for regulation, and shareholding reform and listing of state-owned commercial banks. The empirical result shows that there is interaction between China’s stock market and warrant market, and it seems stronger to stock market. In the meantime, volatility spillovers effect exists in the two markets, which is more obvious to warrant market. China’s stock market shows different reflections to the 12 times up-regulation of deposit and loan rate from 1993 to 2007, the first 4 times of which present unfavorable factor and the last 8 times of which present favorable factor. But in overall rising of deposit and loan rate has inhibition effect on stock market that becomes gradually obvious with the consistent application of rate policy. Before the exchange rate reform in July of 2005, there is positive correlation but not co-integration relationship between stock and exchange market. And after the exchange rate reform, significant negative correlation and co-integration relationship are found between stock and exchange market. Volatility spillovers effect exists in the two markets, especially more significant after the exchange rate reform. The reform of the four state-owned commercial banks, Industrial and Commercial Bank of China, Agricultural Bank of China, China Construction Bank, Bank of China promotes the prosperity of China’s stock market and the development of financial market. Especially the listing of Industrial and Commercial Bank of China, China Construction Bank and Bank of China expands the scale of China’s financial market, optimizes the structure of capital market, establishes the value investment philosophy of stock market, and enhances the stability of financial market. All in all, China’s financial reform upgrades the degree of market orientation. And the formation mechanism of price of financial asset tends to be reasonable. Financial resource allocation becomes more efficient that is helpful for the balance of economic system. Faced with the financial liquidity risk, low efficient of commercial bank and problems of high saving rate and financing difficulties brought by the indirect financing-based, we design a financial instrument of optional and exchangeable bond and use reform of the four state-owned commercial banks as vectors to upgrade China’s financial efficiency basically from technical level.Efficiency is infinite, and the exploration of financial efficiency is also infinite. Pursuit of efficiency is a country, a social organization, a corporation and even a family’s instinct. Financial complexity breeds the risk, but also boosts the promotion of financial efficiency. Deeply understanding financial complexity, exploring the law of financial market and activating financial engineering’s creating in China are the inevitable choices for preventing and reducing risk of financial system and promoting financial efficiency.更多还原