证券市场危机预警研究
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摘要
随着经济金融自由化、全球化步伐的不断加快,证券市场在国民经济中的地位显著上升,正日益成为投融资和实现社会资源优化配置的最重要场所,维护证券市场平稳健康发展对促进国民经济又好又快发展具有重要意义。然而,中国证券市场目前还处于发展阶段,存在诸多引发不稳定乃至危机的风险因素,如何建立科学系统的证券市场危机预警体系,从而防范和化解证券市场危机正日益引起学界和业界的广泛关注。
本文阐述了证券市场危机预警的概念内涵,探讨了证券市场危机的内外来源及传导机制,在此基础上描述和分析了中国证券市场的发展概况和风险现状。接着从危机界定、指标选取和方法选择三个方面对证券市场危机预警模型进行了指标和方法设计,一方面将证券市场平均市盈率与标准平均市盈率之比作为判断危机状态的标准,并从宏观、市场本身和微观三个层面选取了预警指标,另一方面构建了基于Logistic回归的证券市场危机预警模型,并提出了防范和化解证券市场危机的若干对策建议。
实证分析结果表明,所构建的危机预警模型判别准确率达到了94.7%,模型通过了有效性检验,通货膨胀率变动、市场利率、汇率变化幅度、香港证券市场指数收益率变化、市场平均市盈率、市场平均换手率、IPO平均抑价水平和特别处理企业数占上市公司总数之比与危机发生的可能性显著相关,证券市场危机是宏观因素、市场因素和微观因素等多方面因素共同作用的结果。
As the pace of liberalization and globalization of economy and finance is accelerating, security market, which is the principal place for investment, financing and optimal allocation of social resources, becomes much more important in the national economy. It is of significance to maintain stable and healthy development of security market for a good and rapid development of national economy. However, Chinese security market is under development where there are many risk factors causing instability and even crisis. How to establish a scientific and systematic crisis early warning system for security market so as to prevent and resolve security market crisis is increasingly arousing academic and industrial attention.
The concept of crisis early warning for security market is elaborated, and the internal and external sources as well as the transmission mechanism of security market crisis are discussed, while the status of risk in chinese security market is described and analyzed. Then the indicators and method of crisis early warning model for security market are designed from three aspects such as defining security market crisis, selecting indicators and determining the methods. On the one hand, the ratio of the average price-earnings ratio and the normal average price-earnings ratio is taken as the standard for judging crisis, and early warning indicators are selected from the three perspectives.On the other hand, Logistic method is chosen to establish crisis early warning model for security market, and a number of countermeasures are proposed from the three perspectives to prevent and resolve security market crisis.
The empirical results of crisis early warning model for security market based on Logistic regression show that the identification accuracy of the model is 94.7%, and model validation is then testified. Changes in inflation rates and exchange rates, market interest rates, returns of Hong Kong Hang Seng Index, average price-earnings ratio of market, average turnover of market, average IPO underpricing and the the proportion of special-treated enterprises are significantly related to the possibility of security market crisis. Security market crisis is the joint activation by factors from the macro, market and micro perspectives.
本文阐述了证券市场危机预警的概念内涵,探讨了证券市场危机的内外来源及传导机制,在此基础上描述和分析了中国证券市场的发展概况和风险现状。接着从危机界定、指标选取和方法选择三个方面对证券市场危机预警模型进行了指标和方法设计,一方面将证券市场平均市盈率与标准平均市盈率之比作为判断危机状态的标准,并从宏观、市场本身和微观三个层面选取了预警指标,另一方面构建了基于Logistic回归的证券市场危机预警模型,并提出了防范和化解证券市场危机的若干对策建议。
实证分析结果表明,所构建的危机预警模型判别准确率达到了94.7%,模型通过了有效性检验,通货膨胀率变动、市场利率、汇率变化幅度、香港证券市场指数收益率变化、市场平均市盈率、市场平均换手率、IPO平均抑价水平和特别处理企业数占上市公司总数之比与危机发生的可能性显著相关,证券市场危机是宏观因素、市场因素和微观因素等多方面因素共同作用的结果。
As the pace of liberalization and globalization of economy and finance is accelerating, security market, which is the principal place for investment, financing and optimal allocation of social resources, becomes much more important in the national economy. It is of significance to maintain stable and healthy development of security market for a good and rapid development of national economy. However, Chinese security market is under development where there are many risk factors causing instability and even crisis. How to establish a scientific and systematic crisis early warning system for security market so as to prevent and resolve security market crisis is increasingly arousing academic and industrial attention.
The concept of crisis early warning for security market is elaborated, and the internal and external sources as well as the transmission mechanism of security market crisis are discussed, while the status of risk in chinese security market is described and analyzed. Then the indicators and method of crisis early warning model for security market are designed from three aspects such as defining security market crisis, selecting indicators and determining the methods. On the one hand, the ratio of the average price-earnings ratio and the normal average price-earnings ratio is taken as the standard for judging crisis, and early warning indicators are selected from the three perspectives.On the other hand, Logistic method is chosen to establish crisis early warning model for security market, and a number of countermeasures are proposed from the three perspectives to prevent and resolve security market crisis.
The empirical results of crisis early warning model for security market based on Logistic regression show that the identification accuracy of the model is 94.7%, and model validation is then testified. Changes in inflation rates and exchange rates, market interest rates, returns of Hong Kong Hang Seng Index, average price-earnings ratio of market, average turnover of market, average IPO underpricing and the the proportion of special-treated enterprises are significantly related to the possibility of security market crisis. Security market crisis is the joint activation by factors from the macro, market and micro perspectives.
引文
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