中国证券市场监管效率的实证分析

An Empirical Study of the Efficiency of China Securities Market Supervision

证券市场监管究竟是有效的还是无效的,在理论上存在着长期的争论,在目前,证券市场监管的有效性只能通过实证的方法来加以甄别。使用Hurst指数法检验中国证券市场的信息有效性,以此说明证券市场监管的现实目标的实现程度;运用非平稳变量的协整分析方法检验中国证券市场发展与经济增长的关系来说明资源配置效率,并以此表明证券市场监管的最终目标的实现程度。结果表明,我国证券市场是非信息有效的,证券市场对经济增长的作用不是很大,这说明我国证券市场监管的总体效率不高。

The efficiency of securities market supervision has long been a dispute in theory.In the current circumstance,the validity of securities market supervision can only be studied by empirical methods.This article examines the information efficiency in China's securities markets by Hurst Index method to illustrate the accomplishment of supervision objectives in securities markets;probes into the relationship between China's securities market development and economic growth by means of co-integration analysis of nonstationary variables to expound the efficiency of resources allocation and the final objectives of market supervision.Research results show that China's securities markets are characterised by non-information-efficiency,securities markets have little impact on the economic growth,which indicates the low efficiency of market supervision.These research results offer a basis for the improvement of securities market supervision efficiency.