General Theory Study On Securities Market In China

The securities market has become a crucial part of the national economy of China through tens years of development. However, some shortcomings and problems have presented themselves, which have badly damaged the confidence of the investors and the function of optimizing the resource allocation. Practical theoretic study is one of the most important preconditions for the deeper reform of the securities market in China. Nevertheless, the current study on securities market in China is far from sufficient. First of all, no much in deep theoretic study, but in general countermeasure study. Second, no much advanced and new theory about securities market in China, but immediate application of mature theories about securities market in developed countries. Third, no much applicable case study, but academic study. So, based on the analysis of the structure and feature of the securities market in China, the theoretic study is carried out from the following aspects. In the first Chapter, tens years of development process of securities market in China is reviewed. The structure, feature and effecting factor of the market is analyzed and the major problem of the current market is also proposed.In the second Chapter, the empirical study on the feature of securities market in China with range analysis method is given and the long-run memory feature of the market is proved. Then the movement feature of the market is analyzed with the GARCH model, and whether the market return follows non-linear and leptokurtic heavy tail feature is validated.In the third Chapter, a new form of input-output efficiency evaluation model is formulated based on the analysis of the general theories of the efficiency evaluation of securities markets, combined with the basic idea of efficiency evaluation in DEA method. The model evaluates the efficiency of the securities market from a macroscopical angle. In the model, the number of securities companies and the sum of assets are defined as two inputs, and the sum of trading stock and rising capital by A stock from market are defined as two outputs. Then the efficiency, named input-output efficiency of the securities market, of which the securities market transformed input resources into output, can be calculated by the comparison of the input and output of the market in different years. Moreover, the consistency between the movement trends of input-output efficiency and general index of the market is discussed. In the forth Chapter, the formulation for calculating average weekly risk of the entire securities market is constructed and the results are given after the brief introduction of the general classification system of the risk in the securities market. Furthermore, through the multiple regression analysis among the risk of entire securities market and macroeconomic factors, the three major economic factors that affect securities market mostly are given. The classification standard system of performance of the listed companies is proposed in the fifth Chapter. Based on this, the performance change of the listed companies is regarded as a Markov process. Through Markov analysis, the state transition matrix is calculated and the performance distribution of the listed companies in China is forecasted. After that, the hypothesis that the number of the population is constant in a Markov process is changed, and an advanced Markov model is addressed with running an empirical study based on the securities market.Currently, the securities market has played an important role in various aspects of the national economic system. In the sixth Chapter, the securities market's contribution to the national economy is studies with a huge number of data. And the relation between the securities market and national economy is calculated with an econometric method. The causes and mechanisms, by which securities market affects the conduction system of monetary policies, are listed. A general equilibrium model is also formulated and the corresponding countermeasures are given. Regulation and develop...