论文标题:中国股票市场收益率季节性效应的实证研究
Evaluation of the Effect Induced by the Regulation of Accounting Information Disclosure in 1999
论文作者 黄震
论文导师 吴世农,论文学位 硕士,论文专业 工商管理
论文单位 厦门大学,点击次数 184,论文页数 60页File Size2073k
2001-09-01论文网 http://www.lw23.com/lunwen_793154212/ 季节效应,市场效率,实证研究
Life insurance company;Investment;Duration management
假设世界是这样的：(1)所有投资者都可免费获得当前有关未来的所有可能的信息；(2)所有投资者都是优秀的分析家；(3)所有投资者都密切关注市场价格并相应恰当地调整他们的持有比例。在这样一个市场中，证券价格将是投资价值的准确的估计值，这就是有效市场。 自从新中国重新开放股票市场以来，中国以及海外的学者对其有效性的研究就从来没有间断过，并且已取得了初步的成果。资本市场季节性效应是有效市场研究的一个特殊领域，它在西方已经得到了较为普遍的认同，但在中国目前还没有经过实证检验。本文就是在这样的背景下进行的一个尝试。 本文试图借鉴国外较为成熟的对资本市场季节性研究的方法，对中国股票市场是否存在季节性进行实证研究。本文以上海股票市场的90家股票为样本，按照流通市值、净资产收益率、负债比率和行业分成不同的组合，运用参数检验和非参数检验两种方法对1995年1月1日到2000年12月31日期间的收益率进行研究。结果表明：(1)中国股市存在季节性效应；(2)不同股票的季节性效应程度不同：流通市值小的股票的季节性效应比流通市值大的股票明显，净资产收益率高的股票比挣资产收益率低的股票明显，公用事业类股票比商业类股票明显。 全文分为四章。 第一章：资本市场效率的研究和存在的问题。这一章首先按信息集将有效市场分成弱型、半强型和强型三个层次，回顾了有效市场的理论和实证检验的发展。然后阐述了在实证检验中出现的对有效市场理论形成巨大冲击的四大“异象”。 第二章：证券市场季节性效应的研究和原因。这一章结合本文研究的重点，对四大“异象”之一的季节性效应在国外的研究做了一个较为全面的综述。同时总结了国外学者对存在季节性效应提出的五种解释。 第三章：研究设计。这一章首先将国外对季节性效应的研究方法分为两类：参数检验和非参数检验，并分别对它们做了详细的介绍。之后，对本文的实证检验进行了具体的规划，其中包括样本的选择、收益率的计算、组合的构造、季节的划分以及运用参数检验和非参数检验的具体步骤。 第四章：研究结果与分析。按照前一章的设计对数据的处理结果表明，中国股市确实存在季节性效应，但不同的股票的季节性效应程度也不同。笔者在这一章中还提出了几种可能造成中国股市季节性效应的解释。同时在最后，针对提高中国股票市场的有效性，提出了几个政策性的建议。
The West Development has become one popular topic discussed by present theoretical circle and departments of practical affairs. This article was written in order to research, discuss the significance, difficulties and acting point of financial policy support to the West Development strategy from financial policy angle. And accordingly, the financial policy that can be chosen and policy measure will be proposed so that it is expected to produce some enlightment to implement the West Development strategy.The thesis is divided into four parts:The first part: The theoretical pivot of the West DevelopmentIt is summarized the economical development survey in western region, economical development difference between the east and the west and the proposal of the West Development strategy by the Central Party Committee and the State Council. The vital significance and function of the West Development strategy will be demonstrated from the aspects such as: the influence of implementation of the West Development on the balance development of our country"s economy, deep level development of market economy, constant development of national economy, the realization of being wealthy together and so on.The second part: The main difficulty faced by the implementation of the West DevelopmentThe overall economical development level of western region falls behind. The economical development faces many difficulties:funds shortage, deficiency of talented person, unreasonable economical structure, backward infrastructure construction. All of them seriously restrict the implementation of the West Development strategy.The third part: The West Development and the financial policy supportThe problem of disparity between the east and the west is mainly caused by the national policy. And the importance of national policy support to the West Development is expounded from the limit of market mechanism itself and international experience used for reference. The financial policy, as the national major economical policy, plays extremely important roles in the national policy support. Therefore, combining the actual difficulties of western region~ the financial policy that can be chosen and policy measure are proposed.The fourth part: Several noticable problems in the financial poiicy support to the West DevelopmentIn view of the implementation of the financial policy support to the West Development, several noticeble problems are pointed out and corresponding solution countermeasures are put forward.
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