股权分置改革、监管战略与中国股市波动性突变

发布时间：2018-02-26 09:17

本文关键词： 波动性突变监管战略股权分置改革　出处：《金融研究》2014年06期 　论文类型：期刊论文

【摘要】：本文运用ICSS法则对1992~2012年中国股市波动性突变进行了判别,考察了与股市波动性突变相联系的重大事件,并实证检验了股市波动性突变的影响因素。研究发现,股市调控政策事件对股市波动性突变产生了显著的影响,但主要分布在股权分置改革前期。股权分置改革之后没有出现与波动性突变对应的政府直接干预股市的政策事件,而制度完善、经济社会事件及海外市场波动溢出效应对中国股市波动性的影响逐渐增强。这表明股权分置改革之后,中国股市告别了传统的以社论、重要讲话等为典型特征的"政策市",短期性、临时性的相机决策型监管战略逐渐向长期、均衡、稳定发展型战略转变。本文也认为,股权分置改革并非"毕其功于一役",应继续深化改革、完善股市基础性制度。
[Abstract]:In this paper, the ICSS rule is used to judge the volatility mutation in Chinese stock market from 1992 to 2012. The major events associated with the volatility mutation in the stock market are examined, and the influencing factors of the volatility mutation in the stock market are empirically tested. The policy events of stock market regulation and control have a significant impact on the volatility of the stock market, but they are mainly distributed in the early stage of the split share structure reform. After the split share structure reform, there is no direct government intervention in the stock market corresponding to the volatility change. The impact of institutional perfection, economic and social events and spillover effects of volatility in overseas markets on the volatility of China's stock market has gradually increased. This indicates that after the split share structure reform, the Chinese stock market has said goodbye to the traditional editorials. Important speeches are typical characteristics of "policy city", short-term, temporary camera decision-making regulatory strategy gradually to long-term, balanced, stable development strategy. The reform of split share structure is not a battle. We should continue to deepen the reform and perfect the basic system of stock market.
【作者单位】：广东财经大学金融学院;上海证券交易所公司管理部;
【基金】：国家自然科学基金项目(71273066、71372040) 教育部人文社科基金项目(13YJA790145) 广东省哲学社会科学基金项目(GD11YYJ06)的阶段性成果
【分类号】：F832.51

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