股市有效和非有效性.docVIP

违规资金、股市的内在脆弱性和政府的作用 －－兼论国有股减持对近期市场的影响 The illegal Money, Inner Vulnerability of The Stock Market and The Government’s Role --Some Comments on The Big Crash of Chinese Stock Market after the Reduction of SOEs 吴 华（北京大学中国经济研究中心）100871 李淑萍（北京大学经济学院） 【摘要】 本文采用了世代交迭的模型（Overlapping Generation Model）的分析框架，捕捉了我国股市受违规资金影响重大的特征，对股票市场的内在运行机制进行理论探讨。发现：一个没有套期保值机制（期权和期货和衍生工具）的股票市场具有内在的“脆弱性”（一旦原有市场均衡被打破，市场有持续下跌和持续上涨的倾向）。而在有套期保值机制的股票市场中，这种脆弱性仍然存在。因此政府应该对受违规资金影响很大的股市实行“锁定”的政策。最后本文在模型的基础上对近期国有股减持使股市大跌的事件进行了分析。认为国有股减持只是在刺破了股市的泡沫时稍微矫枉过正，由于股市内在的脆弱性，这个下跌的“第一推动力”使股市出现了大跌。 【Abstract】 Under the framework of the Overlapping Generation model, we have analyzed theoretically the inner mechanism of a stock market under heavy influence of the illegal money without any hedge tools (option, futures and derivatives). We have found that a likewise stock market with stocks being the major means to save for the future and gain capital accruement also has the inner vulnerability—that is, if the former market equilibrium has been disturbed, the market has the inclination to fall down or go up continuously). While it reveals that the capital market with a hedging system could also have the inner vulnerability. So the government should play an active role in maintain the stability of the market by “locking” it at the equilibrium. Based on our models, we step further to explain why the Chinese stock market has undergone a big crash after the government’s reduction of its SOEs recently. We conclude that while the reduction has gotten rid of the bubbles in the stock market, it has also cast a little negative influence on the market. But this negative influence can only account for a very small part of the big crash. It has acted as the “first push” of the crash, and then the inner vulnerability pushed the market to its trough. 【关键词】 违规资金；市场内在脆弱性；勤勉投资；投资惰性；国有股减持； 【Key Words】he Inner Vulnerability of the Market; Investment Diligence; Investment Inertia; the Government’s Reduction of Its SOEs; 一、