【作者】 余婧；

【导师】 王建文；

【作者基本信息】 合肥工业大学 ， 企业管理， 2010， 硕士

【摘要】 波动性是衡量股市稳定性程度的一个重要指标,也是股市是否成熟有效的一个重要标志。中国股票市场自建立起步到现在已取得了长足的进步,但长期来的各项研究均显示我国的市场在大部分时间段里,都表现出强于国外成熟金融市场的波动性特征,市场有效性较低,一般只能达到弱势有效市场的程度。而相伴与中国股市诞生所建立的“股权分置”制度,就一直以来被认为是影响股票市场有效性提升的重要因素之一。中国股市自2005年9月实施股权分置改革之后,已开始进入全流通时代。改革完成后,伴随着股市中流通股比例的增加,股市中纯投机因素应有所抑制,股市的波动性应有所减弱,进而将显示出市场有效性程度提高。而限售股集中解禁作为中国股票市场的一次性事件,为检验现阶段的股市效率提供了一个“自然实验”的机会,针对这一课题所进行的研究将具有极大的现实意义。本文首先从限售股解禁量时间变化的角度,研究了在解禁量较为集中的时间段里沪指波动的情况,并逐一分析判断各时间段中的波动是否与限售股解禁直接相关,结果显示股指的波动大多是受短期消息面因素影响。实证分析环节中,文章采用ARCH类模型对一系列已开始解禁限售股的股票进行研究,以波动性特征分析为脉络,验证限售股解禁对股价波动性的影响。实证结果表明,我国股价波动具有显著的长记忆性、非正态性、集聚效应和杠杆效应,但不存在明显的风险溢价性;数据结果前后对比来看,限售股解禁对股价的波动性虽有一定程度的抑制作用,而且短期因素对股价波动的影响变小,但这些变化还不十分明显。在实证研究的基础上,文章总结了限售股解禁前后股价波动性特征的现实表现,探讨了现阶段中国股票市场低效性的原因,并提出了具体的对策建议。更多还原

【Abstract】 Volatility is an important indicator to measure the degree of stock market stability, and an important sign of its maturity and effective. Chinese stork market grows fast and has made great progress since it was founded. But lots of research showed that the market volatility is much larger than that of foreign mature markets for much of the time, and market efficiency is low and always be weak-form efficiency. Non-tradable share system is considered one of the important factors of low market efficiency, which was generated with the birth of Chinese stork market. Since the beginning of non-tradable share reform in September 2005, China’s stock market has entered the full circulation times. With the increase in the proportion of outstanding shares, purely speculative factors should be inhibited, and volatility should be weakened in stock market. The centralized circulating of restricted stock, which is a one-off, provides a opportunity to testing Chinese stork market current efficiency. There is great practical significance to study this issue.Firstly, basing on the time-varying of the circulated amount, this article researched the volatility of Shanghai Stock Index, and judged that if index changes were caused by restricted stock circulation. The result is volatility always be impacted by news. In order to understanding the change of volatility in this process, Autoregressive Conditional Heteroscedasticity Model is used to study of a series of stocks’volatility character whose restricted stock have circulated, and writer tries to verify the volatility of stock is impacted by restricted stock circulation. The empirical results show that stock price volatility has significantly long memory, non-normality, accumulative effect and leverage effect, except for risk premium. By comparing the data before and after, the results showed that restricted stock circulation could weaken the volatility of stock to a certain degree, and the influences over stock price fluctuations which come from short-term factors have decreased, but these changes are not notably. Basing on the empirical study, this paper summarized the actual performance of the volatility character changes, researched the reasons of Chinese stock market inefficiency, and proposed some supporting reform measures.更多还原