中国股市波动有限竞争归因实证分析

An Empirical Analysis of the Limited Competition Attribution in the Volatility of China's Stock Market

中国股市的有限竞争是股市波动的一个重要因子。其中,尤其是机构投资者的有限培育限制了中国股市的完全竞争。文章从机构投资者培育的时序数据出发,构建中国机构投资者和上证指数超额涨跌幅之间的波动关系模型;并借助这些变量的时序数据进行计量分析,最后得出实证结论。

Limited competition is an important efficient of the volatility of China's stock market. The limitation in developing institutional investors especially restricts the perfect competition in China's stock market. Based on the time series data of developing institutional investors, this paper constructs a relational model of volatility between the institutional investors of China and the excess price limits of Shanghai Stock Exchange Index. Then, by dint of the quantitative analysis of the time series data of these variables, the paper draws several conclusions and analyzes them briefly.