股权分置改革对股票市场吸收冲击能力的影响分析

The Research on Shock Absorption Ability of Stock Market after Split-Share Reform

根据经济学理论,股权分置改革最主要的意义在于解决影响中国股市发展的委托—代理问题。从改革后市场的反应看,2005年开始的股权分置改革较为成功地解决了这一问题。如此,改革后市场的运作应该比之前更加规范和理性,消化冲击能力更强。然而运用GARCH模型对此进行分析,得到的实证结果与提出的观点却相反。最后,对此现象进行了分析。

Theoretically, the meaning of split- share reform lies in solving the principal - agent problems, which severely harm the healthy development of China＇ s stock market. Based on market reactions, the reform beginning at 2005 succeeded in mitigating one shareholder rules. As a result, the operation should be more rational than before and with stronger shock assimilation ability. This paper employs GARCH model to analyze this idea, but the outcome is against our supposition and we give our explanation at last.