【作者】 黄凤；

【导师】 扈文秀；

【作者基本信息】 西安理工大学 ， 技术经济及管理， 2004， 硕士

【摘要】 我国证券市场所具有的独特功能使它在我国国民经济发展中具有举足轻重的地位，同时，我国新兴证券市场和经济体制的特殊背景也使其面临巨人的潜在风险，认真分析我国股市系统风险的构成要素及其成因，探讨适合我国国情的有效的系统风险防范对策，便成为摆在我们面前迫切需要研究解决的问题。 本文采用理论分析与实证分析相结合的方法，对我国证券市场当前的系统风险及其防范问题进行了深入的研究。理论方面从我国股市系统风险的概念入手，分析了股市系统风险的构成要素，指出我国股市最大的特色是“政策市”；接着剖析了系统风险形成的三大主要原因，即同股同权不同价、上市公司股份制改造不彻底和信息不对称。实证方面利用单一指数化模型对我国深圳市场94年前上市的64家上市公司收益率与市场收益率进行了回归分析，利用结果分析了不同历史阶段系统风险的特征以及产生的深层次原因，从而得出：在我国股票市场的投资风险中，系统风险占有非常大的比例，同时各个股票的价格行为呈现强烈的同向波动性，这使得通过投资多元化来降低投资风险的作用极为有限。本文借鉴西方发达国家应用股指期货和股指期权的经验，研究如何将这两种新兴金融衍生工具引入到我国的股票市场来有效规避其系统风险，这部分不但对我国开展股指期货和股指期权的必要性与可行性等宏观层面的问题进行了论述，而且对如何进行股指期货市场及合约的设计等微观层面的问题也进行了研究。本文还针对系统风险中不能通过金融市场本身来解决的其他因素提出了一些政策上的建议。更多还原

【Abstract】 The unique function of China security market gives it an important role in the development of China economy. Meanwhile, it also faces great potential risks, considering the special background of the emerging market and systemic reforms. A detailed analysis on the security market risk, especially systemic risk’ s components and their causes of formation, a thoroughly exploring on an effective set of systemic risks countermeasures under the situation of China, these topics are therefore exigent tasks for a professional in this field.The thesis follows a methodology combining both theoretical analysis and authentic proof. It gives a systematical analysis to China security market risks and their countermeasures. Theoretically it begins with the concept of stock market system risks, the thesis checks over its components, and lists the Government Decree Position as the most unique characteristics of the market; follows that, the three causes are discussed - first the unequal value to same share and right, second the halfway reconstruction of companies that came into the market, third the information asymmetry. In the practical testimony part, an indexed model is used on a regression analysis between yield of market index and the 64 companies. that are came into the Shen Zhen market tillyear of 1994. Based on these results, earmarks at different historical stages and their deep-seated causes are investigated. A conclusion is then made: among all the stock invest risks, systemic risk counts for a great scale, and meanwhile pricing of individual stocks are same -direction undulation. Such facts make the multiple investments very much limit in results of reducing risks. Finally, the thesis refers to the western countries’ s successful experience in applied stock index futures and option, and focuses on how to introduce this burgeoning financial tool into Chinese national stock market for an effective elusion of systemic risks. This final part gives the consideration not only to the national stock index futures necessity and possibility at a macro point of view, but also discusses at a micro layer on how to design the market and agreement. Besides, focusing on the other problems in the systemic risks that cannot be solved via financial market itself, some policy suggestions are given.更多还原