基于资本市场有效性的金融资产创新内在风险研究

论文摘要

几项关于金融风险管理领域的研究,以及美国2008年房地产抵押贷款危机产生的冲击,使财务风险管理已登上了学者以及政策制定者的研究的中心舞台。基于此种背景和动机,本文对中国和乌干达金融资产状况进行了比较。在这项研究中,作者探讨了金融资产创新和资本市场的效率两者之间存在的关系。通过研究这种关系,作者考察了股票价格对证券交易及其对价格敏感程度的序列相关性。为了测试市场效率,作者选择使用弱式水平效率,因为全球大多数市场往往表现出弱式倾向。即使是最发达的市场也并非完美,因为证券价格并没有真正反映市场信息。因此,在此基础上,作者讨论了乌干达和中国证券交易中的资产定价问题。个有效市场中,金融资产价格全面正确地反映所有可用的和相关的信息,证券价格能够随市场中最新信息即时作出调整。在所有股票投资行为中,投资者的决定主要基于两个方面。一是回报率,二是其准备投资的股票所包含的各种风险。然而现代证券投资市场交错复杂,相应也要求对所投资股票的风险系数和回报率的评估更为精到专业,由此一些评估投资风险和回报率的模式体系应运而生,例如已在使用中的对若干股票风险进行比较性预测的体系等。当股票本身与其市场价值有差异时,此其进行的投资就含有隐性的风险。人们都倾向于认为证券投资市场是良性可靠的(股价必然代表其实际价值),这种表面的有效性掩盖了某些隐性难题可能导致的泡沫交易的无效性,并会产生对股票产品自身价值造成伤害的风险利润。通过研究证券投资的本质,此项研究报告专注于比较分析中国金融证券市场(主要是深指和沪指)与乌干达证券交易市场的异同,发现中国证券市场的资金总额远远大于乌干达,两国证券市场均因其内部的大金额交易而受到冲击和波动,尤其是中国的深市和沪市,很多个股价值已受到影响,而乌干达由于总的份额小,相应对个股影响较小。有些公司在国内或国外多个交易所挂牌上市,这也会引起股价的波动并给股票市场内在和外在风险的滋生提供了便利条件。本研究报告也分析了金融证券价格与其他因素例如挂牌上士,交易分额,股市资本总额等之间的相互作用与关联,。对以上各因素之关系的比较分析亦是此文之价值所在。因此,本研究提出了一些创新的方法来处理市场,实现效率。但是必须指出,很大程度上由于其创新性,风险作为一个变量,只能尽可能降低,降低的水平因投资者而异。但是这项研究仍然提出三项主要发现;Ⅰ)每一个市场的主要目标都是要成为有效率的市场,但由于部分投资行为利用可乘之机以期领先市场,从而影响市场效率的达成。以此方式赢得市场收益的投资方,由于其业务性质的投机性,可称为噪音投资者。因此,通过这项研究,研究人员发现,一个高效率的市场需要有相应的标准衡量风险。这将确保市场上的所有金融资产能够对抗经济泡沫。Ⅱ)由于噪声交易者和投机商的存在,市场波动是当今市场上常见的现象之一。这种波动导致了投资组合品种的风险分析。但是本文揭示,随着更多的商家进入市场,在市场上必然有会有不稳定和不明朗因素。基于此,本研究通过自创风险分析模版,分析资产风险并对资产进行分类。这一创新可以使政策制定者关注滋生风险的战略投资资产。但要注意,这种创新是建立在风险价值(VaR)原则之上的。通过这个创新方法的实施,政策制定者可以监视和维护金融资产价格的稳定性。Ⅲ)由于投资风险是一个变量,它不能被完全消除只能减少为投资者可接受的水平。本文揭示出风险作为一个变量的必然性及其对在市场上处于不同位置的商家的市场回报的影响。基于以上背景,作者认为需要建立刺激型共同基金对可能蔓延的风险进行缓冲。这种共同基金也将用于稳定金融资产价格以保护和保障投资者利益,并保证投资者对市场的信心。这一基金的投入应作为对所有市场参与者的法律规定。因此,本研究已全部完成预期目标。本研究提出的新方法将帮助投资者,决策者和研究人员在金融风险管理方面用新的角度观察市场效率,拓展知识的前沿。

论文目录

• ACKNONVLEDGMENT
• ABSTRACT
• 摘要
• List of Tables
• List of figures
• List of formulae
• List of Appendices
• 1. CHAPTER ONE-INTRODUCTION
• 1.1 Introduction
• 1.2 Problem Statement
• 1.3 Objectives of the study
• 1.3.1 General Objective
• 1.3.2 Specific Objectives
• 1.4 Research scope
• 1.5 Research Methodology
• 1.5.1 Research approach and strategy
• 1.5.2 Research Data collection
• 1.5.2.1 Primary Data
• 1.5.2.2 Secondary data
• 1.5.3 Sampling methodology, Instrumentation and procedures
• 1.5.3.1 Focus Groups
• 1.5.3.2 Carrying out surveys and observations
• 1.5.3.3 Key informant Interview
• 1.5.3.4 Questionnaires
• 1.5.4 Data Analysis and Interpretation
• 1.5.4.1 SPSS Data Analysis package
• 1.5.4.2 STATA and Excel
• 1.5.4.3 Graphical Analysis
• 1.5.4.4 Frequency Tables
• 1.5.4.5 Cross Tabulation
• 1.5.4.6 Filtering
• 2. CHAPTER TWO-LITERATURE REVIEW
• 2.1 Theoretical developments in financial risk management process
• 2.2 An active three point financial risk management matrix
• 2.3 The theory of financial risk management innovation in capital markets
• 2.4 Financial Speculative theory and capital market efficiency
• 2.5 Review of financial Derivative innovations on the capital market
• 2.6 Theoretical evaluation of risk management approaches and applicability
• 3. CHAPTER THREE-FINANCIAL ASSET RISK MANAGEMENT
• 3.1 The features of current financial risk management practice
• 3.2 Financial risk appetite and management behavior patterns
• 3.3 Policy response and financial risk exposure
• 3.3.1 Attraction of international capital flows
• 3.3.2 Emulating the Performance of Developed Capital Markets
• 3.3.3 Managing market risk in Volatile Capital Flows
• 3.4 Corporate governance risk and capital markets efficiency
• 3.5 Capital market imperfections and financial risk exposures
• 3.6 Standard pricing of capital asset with embodiment of financial risk
• 3.7 Regulatory and Legal framework in mitigation of capital market risk
• 4. CHAPTER FOUR-FINANCIAL RISK MEASUREMENTS AND MANAGEMNET EVOLUTION
• 4.1 Financial risk definition and classifications
• 4.2 Measuring predictive ability and management of financial risk
• 4.2.1 Value at Risk （VaR） approach through calculation
• 4.2.2 Variance-Covariance
• 4.2.3 Historical simulation
• 4.2.4 Monte Carlo
• 4.3 The application of risk metrics approach to financial risk management
• 4.4 Financial innovation patterns of risk metrics approach
• 4.5 Estimation of left tail measures by quantile regression
• 5 CHAPTER FIVE-MECHANISM OF FINANCIAL RISK MANAGEMENT PATTERN
• 5.1 Financial risk perceptions and investment patterns
• 5.2 Environmental influence on financial risk and investment patterns
• 5.3 Financial risk implications of International cross listings
• 5.3.1 Cross-listings on Chinese Capital Market
• 5.3.2 Cross listing on the Uganda Securities Exchange
• 5.4 Financial risk resilience of listed corporations
• 5.4.1 Financial risk resilience of Chinese listed companies
• 5.4.2 Financial risk resilience on the Uganda Securities Exchange
• 5.5 Financial assets' risk mitigation and market dynamics
• 5.5.1 Chinese capital market risk mitigation and new direction
• 5.5.2 Risk mitigation at the Uganda Securities Exchange
• 6 CHAPTER SIX-APPROACH TO FINANCIAL RISK MANAGEMENT
• 6.1 The snapshot of financial risk dimensions observed
• 6.2 Measures to be undertaken to mitigate financial risk exposures
• 6.3 Matching mitigation measures against financial risk needs
• 6.4 Implementation of financial risk metrics approach on capital markets
• 6.5 Loopholes between financial risk measures and risk management needs
• 6.6 Eminent financial innovations required to mitigate financial risk
• 7. CHAPTER SEVEN-MODELLING VOLATILITY SHIFTS AND INDEX TIME SERIES
• 7.1 Endogenous volatility shifts and market index time series
• 7.2 Financial Asset pricing characteristic Model
• 7.2.1 Serial correlation
• 7.2.2 Non-Parametric runs
• 7.3 Financial asset risk from index systems in different capital markets
• 7.3.1 Broad-Form efficiency of Chinese Capital market index
• 7.3.2 The broad efficiency of Ugandan stock market
• 7.4 Harmonization of financial index systems to mitigate financial risk
• 8. CHAPTER EIGHT-EMPERICAL ANALYSIS
• 8.1 Performance of financial securities at the Uganda Securities Exchange
• 8.2 Valuation of securities' exchange market and IPO performance
• 8.3 Financial inter period trading in terms of risk and returns expected
• 8.4 Analysis of inter period volatility and correlations in financial securities
• 8.5 The proportion of cross listed trade volumes
• 9. CHAPTER NINE-CONCLUSION AND PROSPECTIVE RESEARCH AREA
• 9.1 General conclusion on the study
• 9.3 Recommended areas for prospective research
• REFERENCES
• Appendix A:Risk and return for minimum variance portfolio for 08/2003-08/2004
• Appendix B:Risk and return for minimum variance portfolio for 01/2005-01/2006
• Appendix C:Risk and return for minimum variance portfolio for 02/2006-03/2007
• Appendix D:Descriptive statistics for Chinese A, B, and H share performance
• Appendix E:Regression results for Chinese listed companies for A and B shares （PA）
• Appendix F:Regression results for Chinese listed companies for A and B shares （P.B）
• PhD Research Projects and Publications
• RESEARCHPUBLICATION