【作者】 张艳莉；

【导师】 李腊生；

【作者基本信息】 天津财经学院 ， 统计学， 2004， 硕士

【摘要】 我国证券市场经过十多年的发展，现已形成具有一定规模且交易活跃的重要新兴市场，然而，与发达的金融市场相比，我国的金融体系与金融市场结构还很不完备，尤其是我国证券市场目前仍采用单边做多机制，这种机制必然会使股票市场价格产生累积成本效应，累积成本效应又必然导致证券市场的过度投机，致使金融风险以指数型速度快速聚集，股市危机成为不可避免的现实。我国股票市场在经历了1999~2000年的暴涨之后，于2001年下半年开始出现深幅的调整，这次调整在某种意义上说就是由累积成本效应所致。为了保障国家金融安全，防止金融危机的爆发，针对我国股票市场的特点，本文试图从理论上去分析我国单边市场的运行规律和可能的经济后果，并采用定性分析与定量分析相结合的方法，对我国资本市场中的累积成本效应进行研究，其中尤其突出定量分析。具体说就是，利用现代统计方法、理性预期理论、计量经济方法以及相关的理论与方法对我国资本市场中的累积成本效应进行充分的理论探讨，在此基础上利用我国证券市场的实际数据，重点对由累积成本效应所引致的金融风险、泡沫经济、股市周期等问题进行实证分析。本文的研究分为五个部分：第一部分：首先简述了本文的选题背景及意义；接下来对国内外的相关研究成果及理论进行了概述；最后，借鉴相关的理论与方法，提出了本文的研究方法、思路及创新之处。第二部分：对累积成本效应进行描述，通过推导得出累积成本函数，并且给出了不同情况下的具体累积成本函数形式。第三部分：分析累积成本效应与金融风险、泡沫经济的关系。由于我国单边做多机制产生累积成本效应，而当累积成本效应达到一定程度时，就会引发金融危机，这种由累积成本效应所导致的风险有其自身的特征，而且如果控制不好，会使风险进一步扩散，形成泡沫经济。按照这一想法，在这一部分，我们研究无限信用下的累积成本效应与泡沫经济之间的关系。具体说就是，无限信用下，资源是无限的，机构投资者拥有足够的资金控制股票价格，因此，为了抵消累积成本，机构投资者可以无限制地抬高股票价格，这样势必形成股市泡沫，危及国家的经济安全。第四部分：继续第三部分的思路，研究有限信用下的累积成本效应。具体说就是，在有限信用下，资源是有限的，机构投资者不可能通过无限制地抬高股票价格来抵消累积成本，当资金链断裂时，股票价格必然下跌，这样就会形成股市周期。为了验证理论分析的结论，接下来我们利用我国证券市场的实际数据对信用状况对股市交易的影响、股市周期进行实证分析，实证分析的目的除验证理论外，更为重要的是从结果中提炼风险特征、传导过程以及运行轨迹，从而形成我们对我国证券市场运行状况的基本判断。最后一部分根据第二、三、四部分分析得出的结论，结合我国现有的国情，提出了我国资本市场相应的风险防范措施。更多还原

【Abstract】 With over ten years’ development, China’s securities market has become an important and burgeoning one with a considerable scale and active trade volume. But, in comparison with the developed financial market, China’s financial system and market structure has not been perfect yet, especially, China’s present securities market still adopts long position mechanism. The mechanism is bound to emerge accumulative cost effect. The accumulative cost effect is bound to cause excess speculation of stock market and results in financial risk agglomerating at the exponential speed. Stock market crisis has become an inevitable fact. Having experienced rising suddenly and sharply from 1999 to 2000, China’s stock market began descending deeply in 2001. To some extent, the descent is caused by accumulative cost effect.For guaranteeing the national financial safety and protecting from eruption of financial crisis, and in accordance with the characteristic of China’s stock market, this paper tries to analyze the unilateral market’s operating regulation and the possible economic consequences. In addition, this paper explores the accumulative cost effect of China’s capital market with method of qualitative and quantitative analysis, especially, quantitative analysis. Generally speaking, this paper studies the theoretical framework of accumulative cost effect of China’s capital market with modern statistical and econometric methods in terms of rational expectation theory and any other related theories. Upon this framework, this paper makes use of real data of China’s securities market to analyze the problems of financial risk; bubble economy and stock market cycles that are caused by accumulative cost effect.The paper is divided into five parts:Part one: First it introduces the background and the purpose of this paper; next, it summarizes the related research achievements and theories in and beyond China. Finally, using the related theories and methods, it expounds the research idea and method as well as the innovation of this paper.Part two: It describes what the accumulative cost effect is and draws an accumulative cost function. It also offers special function forms of accumulative cost under different conditions.Part three: It analyses the relationship among accumulative cost effect, financial risk and bubble economy. Long position mechanism of our country causes accumulative cost effect. When accumulating to a certain extent, it will result in <WP=6>financial crisis. This kind of risk that caused by accumulative cost has characteristic itself and further spreads to form a bubble economy, if not being controlled. The paper studies the relationship between accumulative cost effect and bubble economy under boundless credit. In general, under boundless credit, resources are boundless. Institutional investors possess enough capital to control the stock price. So, institutional investors raise the stock price limitlessly in order to cancel the accumulative cost. In this way, the stock bubble is caused and it will endanger the security of national economy.Part four: Continued from part three, this part researches accumulative cost under limited credit. Generally speaking, under limited credit, resources are limited. Institutional investors cannot cancel accumulative cost through raising the stock price limitlessly. When the cash flow chains break, the stock price is sure to drop, this forms the stock market cycle. In order to test and verify the conclusion of theoretical analysis, part four makes use of real data of China’s securities market to analyze credit condition’s influence on market liquidity and stock market cycle. Not only can positive analysis test and verify theories, it can also depict attributes, transmission process and track of risk as such. Thus, it forms a basic judgment of operational situation of China’s securities market.Part five: In the light of the conclusions from the above analysis, and taking our country’s practice into consideration, this final part puts forward a few更多还原