我国资本市场监管研究

湘潭大学硕士学位论文我国资本市场监管研究姓名：戴永平申请学位级别：硕士专业：区域经济学指导教师：谢罗奇20070401IIIAbstractTheexertivedemandofourcountrysocialismmarketeconomysystemsuperioritybuildsuptheperfectcapitalmarketfunctionmechanism.Thisneedtobeadaptedwithitmutuallythecapitalmarketsupervisionsystemandguardagainstsystem,underthecurrentsystemthatistakechargeofwithself-disciplineandunifytotakechargeofwithgovernment,howbetterdevelopthegoodcapitalmarketfunctionmechanism,onlydeveloptheviewtogetoverallsituationbyscience,fromthetheories,practiceupdevelopmentsciencetheories,thencanhaveinnovationonthesystemandhaveachievementonpractice.Chinesecapitalmarkethasgrownfor20years.Thecurrentcapitalmarketregulationvindicating,promotingtheourcountrycapitalmarketcirculatingnormallyinthemeantime,alsoisexposedmanyproblems:thecapitalmarketsupervisorysystemconstructionnoperfectefficiencyofChinesestockregulationcommitteeisnotstrong;Thecapitalmarketsupervisorytheoriesisinnovatingnotenough,themarketgovernorcan'tcarryonthesystemtheoriesconstructioneffectively;Thecapitalmarketself-disciplineregulationisshortage,havingnowellexertivemarketself-disciplinetosupervisorymechanismfunction;Thecapitalmarketlegalsystemconstructionisn'tsound,themarketmainbodyrealizesnostrongetc.Guardingagainstthecapitalmarketrisk,protectingtheinvestorbenefits,raisingthecapitalmarketefficiency,isthepurposethatthecapitalmarketsupervisoryauthoritiesplace.Withourcountrystockmarketforsample,passingtoourcountrythecapitalmarketefficiencydemonstrationtodetect,ourcountrythecapitalmarketregulationmanifestsasweaktypeusefulness.ItistheinitialmissionofStrengtheningourcountrycapitalmarketsupervisorypresentconditionanalysis,perfectourcountrycapitalmarketsupervisorysystemconstruction,growingfurtherwiththedevelopmentourcountrycapitalmarketmainlybe:Settingupearly-warningindexsignsystemoftheourcountrycapitalmarketrisk;Guaranteethemarketparticipantfair,publiccompetition,enhancingthecapitalmarketinformationtopublishsystem;activelyandsteadilypushingownershipofastockdifferencefatherreforming;Settingupthecapitalmarketsupervisoryorganizationauthority,givingtheourcountrycapitalmarketsupervisoryorganizationanenoughpowerandtheresourcesCurrentourcountrythecapitalmarketsupervisorysystemtoourcountrythecapitalmarketdevelopmenthaveanimportantfunction,Alongwithourcountrymarketeconomyofperfect,ourcountrycapitalmarketsupervisorylevelwillalsohaveanewstep.Keywords:Capitalmarket;Regulation;Risk;Effect;Early-warningsystem11.120701.21.2.1(Stigler,1971;BeckerStigler,1974)[1](Gerschenkron,1962)[2](Chatov.R,1971)[3];(1982)[4]:,(.2,1970[5]Arnott,Greenwald,Stiglitz1971Baley.E.E,1959[7]Shefrin,1964[8]),(Kendall,1953[9]Bachelier,1900[10]Loss,Louis,1933[11])(B.BMandelbrot,1975[12];Mandelbrot,1982[13];Peters,1991[14]),1.2.2(1994)[15]19944(1995)[16]19931(1997)[17]19911992,1993(1999[18]2001[19]2005[20],1999[21],2003[22])(,2001[23],2001[24],1997[25],2004[26])(,2002[27],1998[28],2005[29];,2003[30],2002[31],2000[32],2004[33],,2004[34]),(,2005[35],1997[36]2006[37],2004[38],2005[39]2006[40])(,2005[41],2000[42]2006[43],1998[44])(,2005[45],2005[46]2006[47]2006[48]2006[49])1.3()31.442.12.1.12.1.252.1.32.1.3.12.1.3.22.1.3.3()2.1.42.1.4.162.1.4.22.1.4.32.1.512.1.5.1()()2.1.5.21,,.[M].2001.72.1.5.32.1.5.42.222.2.12G.J.Stigler.TheTheoryofEconomicRegulation,BellJournalofEconomicsandManagementScience.Volume2.1983.8(1)(2)2.2.220702.2.392080,(1)(),(2),,(3),,2.32.3.132.3.1.113F.J.FabozziandF.Modigliani,CapitalMarketds(InstitutionsAndInstruments).TheDrydenPress,1997102()2.3.1.211964()()()1999112208080200063199841998(1)(2)(3)[3]2.3.2122.3.2.119862.3.2.2(SEC)2.3.2.31975133.1208043.1.119781985,3.1.2198619921986869()()199012199171991146110431986174,[G].1999.14198732751990199181988199183.1.31993199719921019988511950024.52%,2345199219934145:,1998.151997819963.1.41998101998199971200120022004613.220903.2.13.2.1.116(1)(2)(3)(4)(5)(6)(7)(8)3.2.1.23.2.2[41]117()2005149240.8%1061.2%2019964455200620075603300202199491052199651219964500199751500200162245121645.9720031366.751725.7120061291200754200360%318()0.01A0.520.40()2313(3.1)3.1199321996220002200522005122006.12%47840138935734633.7%214276238218203198%70865064363561859.6%29235035736538241.73.2.3199531819303.33.3.13.3.1.120(1)(2)(3)3.3.1.23.3.1.3()3.3.2213.3.3:3.3.43.3.4.14963.3.4.23.3.4.3?63???6.[G].1998.224.14.1.14.1.27,:7...200223,1969,,,,,4.290WTO4.2.150180(000010)(000003)(399001)(399106)(399003)200511252006428994.2.2,JB)4)3((6n22−+=KSJB1.1∑=431sxnSi0ixsn0=S∑=441sxnKi24303JBJB2JB50180(000010)(000003)(399001)(399106)(399003)JB4.1180048121620-0.02-0.010.000.010.02Series:ASample9/21/20054/28/2006Observations99Mean0.002745Median0.003300Maximum0.021400Minimum-0.021700Std.Dev.0.008971Skewness-0.404008Kurtosis3.601033Jarque-Bera4.183292Probability0.1234844.1JBJB5%1800.0033000.008971-0.4040083.6010334.183292500.0028000.009301-0.3174263.3862722.2780000.0020000.0216230.86356410.11824221.31560.0047000.011914-0.0692793.7125402.1735080.0033000.009812-0.4705824.0714068.3890130.0014000.0174261.0143206.07553255.99390255%JB5.9914718050JBJB200601199.26%20