【作者】 幸素园；

【导师】 刘星；

【作者基本信息】 重庆大学 ， 技术经济及管理， 2002， 硕士

【摘要】 我国证券市场尽管经历了十年的风雨，但是根据以往的研究成果说明其市场有效性远远不够，证券市场的价格发现功能和资金配置功能并没有得到充分发挥。从近十年的股票价格波动来看，我国证券市场上的股票基本上呈现齐涨齐落的形态，各股之间的风险差异很小。在这样的市场上，投资者趋利避险的投资意图就难以实现，即使作为机构投资者，有充足的资金和技术通过构建投资组合来规避风险，但从实际投资效果来看，投资组合的避险功能是有限的。本文的研究目的就是通过分析我国证券市场的非系统风险和系统风险的构成，得出影响投资组合效果的主要风险因素，并讨论在我国市场通过引入衍生金融工具来对冲风险的可能性和可行性。国外大多数成熟的理论已经证实：投资组合的分散化能够规避部分规避风险。尽管如此，事实证明在我国证券市场上有些理论是不适用的。本文从风险的度量入手，通过系统的模型分析和实证研究，在资本资产定价模型基础上进行提炼和修正，并运用近五年我国证券市场的基本资料运用CAPM基本模型进行实证研究。同时针对我国的具体情况，找出这些理论不适用的原因，提出系统风险的规避是我国不论中小投资者或是机构投资者都必须面对的问题。而已有的理论和时间都已经证明系统风险是不能通过投资组合加以分散的，那么这就需要分析我国证券市场系统风险形成的原因，对症下药，找出适当的规避方法。本文将从资本市场的流动性、入市资金结构、市场微观结构、交易品种单一的缺陷对系统风险的影响入手分析我国证券市场系统性风险形成的原因。近年来，我国证券市场扩容的速度不断加快，随着市场上理性的机构投资者增加，我国证券市场上原有投资品种单一的局面已经不能满足投资者的需要。由于我国目前既没有做空机制，又缺乏风险对冲工具，所以投资者要规避系统性风险只能从股市退出。因此，本文提出，做空机制的引入、衍生金融工具的创新是规避我国市场系统风险的重要手段，能帮助投资者真正实现趋利避险的投资目的。在本文最后将讨论通过引入衍生金融工具——股指期货规避市场系统性风险的可能性和可行性。股指期货作为风险管理的有效工具，既能满足投资者规避系统性风险的需要，又在一定程度上弥补了现货市场没有做空机制的缺陷。更多还原

【Abstract】 Tough we have experienced the developing phase of ten years， we can easily find that the obvious flaws in our stock market according to the discoveries of previous research. The most important point is that our market is seriously ineffective and certain function is severely hampered. The price is incompatible with the real value of the stock， thus the function of allocating resources of the capital market cannot work normally. Researching from the fluctuation of the market，we can find the prices of all the stocks always fluctuate simultaneously， so the investors cannot elude the systematic risk effectively by selecting certain kinds of stocks or building portofolio combination. Then the goal of maximizing profits cannot realize relatively. Even if the institutional investors have enough money and experiences to constitute profitable set， they cannot still elude systematic risk. On the bases of our analysis， the research of systematic risk in our market will benefit both individual investors and institutional investors. Many researchers find the multiplied investment can help eliminating certain risk exposed to the investors， but the specific premiums of the theories is inapplicable in our market. In our research， we begin with the evaluation of the risk， find the related reasons of the invalidation by collecting and analyzing real data of our market. Through analysis， we conclud that the systematic risk cannot be neglected by all the investors. So we need to find the reasons of generating systematic risks in our stock market. On the basis of the original model of CAPM， we make some adjustment when evaluating the risk of our stock market， changing the situation of thinking over only one single factor of the conventional models and neglecting the impact of different periods on the fluctuation of the market. In the resent years， our stock market developed very soon， more and more listed companies appear in the board. Accompanied by the fast development of the market， the liquidity should be strengthened too. In a market whose liquidity and the selection of kinds of investment is limited， the investors cannot elude systematic risk effectively. So we should introduce new kind of investment tools and strengthen the variety of investment. If we introduce a certain kind of financial derivatives， investors can minimize the systematic risk they confront by the adverse operation in the derivative market. So we discuss the necessity and the applicability of introducing certain financial derivatives in the last phase of the dissertation.更多还原