| 市场效力是古代金融学剖析与思想的主线，是股票市场成长的焦点成绩，权衡股票市场好坏水平的重要尺度就是市场效力的高下。股票市场的效力反应了市场介入者能否能获得全体真实的市场信息，从而反应市场公正的水平。同时，准确研究和断定股票市场效力，有助于当局实行准确有度的干涉政策，也有助于投资者制订和调剂本身的投资战略。自90年月我国证券生意业务所树立以来，股票市场取得了长足成长，获得了环球注视的成就，曾经生长为国度经济生涯中主要的构成部门。但最近几年来，我国股票市场涌现了年夜起年夜落的新情形、新成绩，股票市场机制能否完美、有用，可否完成资本的优化设置装备摆设，与新兴本钱主义国度的股票市场比拟，存在着多年夜差距，惹起了学术界的普遍思虑。本文在对质券市场效力实际停止简略回想以后，经由过程收集中国上证指数和韩国KOSPI综合指数相邻营业日逐日开盘价作为统计数据材料，韩语论文范文，韩语论文题目，构建EGARCH模子来磨练中韩两国股票市场的效力性成绩。经由过程模子的构建和实证剖析，得出了我国股票市场尚不标准的现实，即我国股票市场效力较低。在摸索招致低效力状态深条理本源的基本上，有针对性的提出了完美股票市场股权构造；改良投资者构造，年夜力成长机构投资者；标准监管系统，出力施展自律组织的感化；完美上市企业信息表露系统；完美司法学例，并增强司法学例的宣扬力度；树立和完美有用企业法人管理构造完美QFII轨制，推动股票市场国际化过程等七个方面的办法，从实际上提出了进步我国股票市场效力运转的建议，为我国股票市场朝加倍高效力的偏向成长提出扶植性的不雅点。 Abstract: Market effectiveness is the main line of ancient financial analysis and thinking, is the focus of the growth of the stock market performance, weigh the level of the stock market is an important measure of the level of market efficiency. The effectiveness of the stock market reflects whether the market participants can get all the real market information, thus to reflect the level of market justice. At the same time, accurate research and determine the effectiveness of the stock market, help the authorities to implement an accurate degree of interference in the policy, but also help investors to develop and adjust their own investment strategy. Since the establishment of the securities business in our country in 90 years, the stock market has made great progress and gained the achievement of global attention. It has grown into the main part of the country's economic life. But in recent years, China's stock market has emerged the eve of the eve of the fall of the new situation and new achievements and stock market mechanism is perfect or not, useful, could be completed capital optimization settings and equipment display, compared with the emerging capitalist countries of the stock market, there is a night for many years gap, cause the academia generally consider. In the securities market efficiency theory briefly recall later, through the process of collecting China's Shanghai Composite Index and South Korea's Kospi index adjacent business daily opening price as the statistical data material to construct EGARCH model to hone and efficiency performance of the stock market of China and South Korea. Through the construction of the process model and empirical analysis, it is concluded that China's stock market is not the standard of reality, that is, the effectiveness of China's stock market is low. In the dark state effect led to low deep origin basically, puts forward the equity structure of the perfect stock market; improving investor structure, strong growth of institutional investors; standard supervision system, the output display self-discipline organization role; perfect listing Corporation information disclosure system; perfect laws and regulations, and strengthen judicial decrees to promote the efforts; corporate governance structure is to establish and perfect the useful company perfect QFII system, promote the process of internationalization of the stock market in seven aspects from the way, actually put forward progress in China's stock market the effectiveness of operation suggestions for China's stock market to double high potency biased growth constructive point of view. 目录: 摘要 5-6 ABSTRACT 6-7 第一章 绪论 11-18 1.1 探讨目的与意义 11-12 1.2 本文探讨内容、措施及构成 12-13 1.3 论文的创新和不足点 13 1.4 文献综述 13-18 1.4.1 国外相关理论及文献回顾 13-15 1.4.2 国内的相关文献回顾 15-18 第二章 股票市场效率性理论探讨措施综述 18-26 2.1 证券市场效率理论的回顾 18-23 2.1.1 市场效率理论的产生与发展 18-21 2.1.2 有效资本市场理论面临的挑战 21-23 2.2 有效性理论探讨的略论措施 23-26 2.2.1 随机游走检验 23 2.2.2 由资本资产定价模型导出的市场效率性检验 23-24 2.2.3 游程检验(runs tests) 24-25 2.2.4 单位根检验 25 2.2.5 统计措施比较 25-26 第三章 中韩两国股票市场效率性实证略论 26-36 3.1 主要ARCH类模型介绍 26-29 3.1.1 ARCH模型 26 3.1.2 GARCH模型 26-27 3.1.3 TGARCH模型 27 3.1.4 成分 ARCH模型 27-28 3.1.5 EGARCH模型 28-29 3.2 实证略论过程 29-36 3.2.1 资料的选择和确定 29-30 3.2.2 ARCH模型的各模型比较 30-32 3.2.3 模型的识别 32-36 第四章 中国股票市场存在的问题及建议 36-50 4.1 存在问题及原因略论 36-43 4.1.1 当前中国上市企业信息披露存在着问题 36-38 4.1.2 中国股票市场监管机制不健全 38-39 4.1.3 中国上市企业治理上的缺陷 39-40 4.1.4 中国证券市场法学体制不健全 40-41 4.1.5 中国股票市场股权结构上存在一定问题 41-42 4.1.6 中国股票市场投资者结构不甚合理 42-43 4.2 完善中国股票市场的对策建议 43-50 4.2.1 完善上市企业信息披露体系 43-44 4.2.2 规范监管体系，着力发挥自律组织的影响 44-45 4.2.3 建立和完善有效的企业法人治理结构 45-46 4.2.4 完善法学法规，并加强法学法规的宣传力度 46-47 4.2.5 完善中国股票市场股权结构 47 4.2.6 改善投资者结构，大力发展机构投资者 47-48 4.2.7 进一步完善QFII制度，推进股票市场国际化进程 48-50 第五章 结论 50-51 参考文献 51-54 致谢 54-55 附录 (攻读硕士学位期间所发表的学术论文目录) 55 |
