基于金融市场效率的美国金融监管有效性研究

发布时间：2018-03-05 23:34

本文选题：美国金融监管　切入点：金融监管有效性　出处：《预测》2011年06期 　论文类型：期刊论文

【摘要】：金融监管旨在减轻或者消除市场失灵,提高金融市场效率。基于此,通过比较金融市场效率的改善可以检验和评判金融监管改革的有效性。本文选取世界范围内最具典型意义的美国20世纪80年代效率优先和90年代后安全与效率并重的两个监管时期,通过对两个阶段股票收益率指数的R/S分析和Hurst指数计算,以价格信号检验金融市场效率,进而衡量不同阶段美国金融监管的有效性。实证结果显示,第二阶段的金融市场效率明显高于第一阶段,然而该时期却正是次贷危机爆发的前期,这说明金融市场效率仍需进一步改善,监管有效性有待加强。这一研究结果为金融危机后世界各国新一轮的金融监管改革和调整提供了重要的理论依据和参考价值。
[Abstract]:Financial supervision aims to mitigate or eliminate market failures and improve the efficiency of financial markets. The effectiveness of financial regulatory reform can be tested and evaluated by comparing the improvement of financial market efficiency. This paper selects the most typical American efficiency priority in 1980s and the safety and efficiency after 90s. Two important regulatory periods, Through the R / S analysis of two stage stock yield index and the calculation of Hurst index, the efficiency of financial market is tested by price signal, and then the effectiveness of American financial regulation in different stages is measured. The efficiency of financial market in the second stage is obviously higher than that in the first stage. However, this period is just the early stage of the outbreak of the subprime mortgage crisis, which indicates that the efficiency of the financial market still needs to be further improved. The research results provide important theoretical basis and reference value for the new round of financial supervision reform and adjustment in the world after the financial crisis.
【作者单位】：大连理工大学经济学院;
【基金】：教育部人文社会科学规划基金资助项目(10YJA790002) 辽宁省社会科学规划基金资助项目(L10BJY011) 中央高校基本科研业务费专项资金资助项目(DUT11RW201)
【分类号】：F837.12

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