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论文编号：	5183
作者编号：	2120112798
上传时间：	2013/6/5 1:12:21
中文题目：	量化因素与非量化因素对我国银行股股价影响的实证研究—基于地产调控等因素的分析
英文题目：	An Empirical Study on Bank Stock Prices Affected by the Quantitative Factors and Non-quantifiable Factors—Analysis Based on The Control of Real Estate and Other Factors
指导老师：	齐岳
中文关键字：	银行股，房地产调控，汇金增持，A股月新增开户数，A、H股
英文关键字：	Banking Stocks,Control of Real Estate,Huijin Holdings,New Accounts of Shares of A market,A、H Shares
中文摘要：	本文从近年来中央汇金投资有限责任公司对工、农、中、建四家国有大型商业银行的股票增持公告的发布、重大房地产调控政策的颁布、A股月新增开户数与H股银行股股价（以香港恒生中国企业指数为近似指标）波动四个因素入手进行研究，探讨其分别对我国银行股股价影响的趋势与程度。本文首先采用事件研究法对汇金增持与房地产调控政策两个非量化因素对银行股股价带来的累积平均异常收益率进行计算和分析，并通过对样本离差率与置信水平为90%的t分布临界值进行比较来判断其影响趋势的显著性。接下来本文又以2009年1月至2012年9月的十家A股银行股的月均除权收盘价为研究样本，将样本、香港恒生中国企业指数（HSCEI）与沪深两市的A股月新增开户数三个量化因素进行VECM建模，分析其三者之间的长期协整关系，并用Granger因果检验判断其相互之间的可能的因果关系。通过以上对量化因素与非量化因素的实证分析，得出以下结论：汇金增持因素会带动我国银行股股价显著的上涨，重大房地产调控政策的颁布会带动我国银行股股价显著的下跌，但是受市场边际效应递减的影响并随着投资者投资判断趋于成熟和投资目的趋于理性，汇金增持因素和房地产调控政策因素对银行股的股价影响程度在逐渐减弱；A股月新增开户数与A股银行股股价之间存在长期的正相关关系，且A股月新增开户数与A股银行股股价相互影响；H股银行股股价（HSCEI指数）与A股银行股股价存在长期正相关关系，且从长期来看，H股银行股的股价相对于A股银行股的折价是致使A股银行股股价在过去几年中下跌的原因之一，而A股银行股的股价的短期波动又会明显的影响H股银行股的股价波动。最后本文基于汇金增持、房地产调控政策、A股月新增开户数和H股银行股股价（HSCEI指数）四因素建立了综合分析表，对2013年1月份与2月份银行股价进行了综合分析与验证，验证结果表明2013年1月份与2月份银行股股价的变化与综合分析表得到的结论相一致。基于以上四个因素的综合分析，预测A股银行股股价在2013年一季度末到三季度末之间下跌的预期比较强烈。
英文摘要：	In this paper, by researching the follow four factors: Central Huijin Investment Ltd. increasing its holding shares of Industrial and Commercial Bank of China, Agricultural Bank of China, Bank of China, China Construction Bank; the promulgating key regulation of the real estate control policy; the new monthly accounts of A share market and the stock price volatility of H share market. Explore the trend and extent of the price impact on the A-share banks. Firstly, by event study method, research the two Non-quantitative factors: Central Huijin increasing its holding factor and regulation of the real estate policy factor. Calculate and analyze the abnormal rate of return which caused by the two non-quantitative factors. By comparing the average variance of abnormal rate of return with a confidence level of 95% t-distribution to verify its significant. Next, by VECM model, research the two quantitative factors: the new monthly accounts of A share market and the stock price volatility of H share market. Analyze the long-term co-integration relationship and short-term dynamic relationship with bank stocks prices change. And in favor of Granger causality test to determine a causal relationship between them. Through the above empirical research to quantify factors and non-quantifiable factors, get the following conclusions:Central Huijin Investment Ltd. increasing its holding shares of Four state-owned banks will lead to significant price rise of A-share banks. But because of the impact of the market of diminishing marginal effect and the investors’ mature and rational judgment and purposes, the price impact of the Huijin increasing factor on the A-share banks gradually weakened;The promulgation of the major real estate control policies will lead to the price of the A-share banks fell significantly. But because of the impact of the market of diminishing marginal effect and the investors’ mature and rational judgment and purposes, the price impact of the real estate control policies factor on the A-share banks gradually weakened;There is a long-term positive correlation between the new monthly accounts of A share market and the A shares of bank stock prices. And they influence and be the causations of each other;There is a long-term positive correlation between H shares of bank stock prices （HSCEI Index） and the A shares of bank stock prices. And in the long run, the price of the H-share banks relative to the A-share discount. And A-share banks short-term price fluctuations will significantly affect the price fluctuations of the H-share banks prices. Finally, based on Huijin increasing its holding, real estate control policies, A shares market’s new accounts, and H-share banks volatility （HSCEI Index）, set up a comprehensive analysis table of the four factors . And by compared with January 2013 and February Bank prices to verify the table results. The verification show that bank stocks prices changes and comprehensive analysis of the table conclusion are consistent. Based on the above four factors analysis, forecasting A shares of bank stock prices may likely fall between the end of the first quarter of 2013 to the end of the third quarter.
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