我国证券市场执法活动对股市参与影响的实证研究

An Empirical Study on the Effect of Law Enforcement on Stock Market Participation

利用我国31个省(直辖市、自治区)2000～2006年的面板数据,采用一阶差分广义矩阵法(GMM)实证研究我国证券市场执法活动对股市参与的影响。研究发现:单就投资者利益保护而言,强化以法院为中心的执法活动更能达到保护中小股东利益的目的,而以监管机构为中心的执法活动对于引导公众的行为没有显著作用;投机性太强、对市场和公司缺乏正确解读是导致大量股民长期被深度套牢的重要原因。这些结论可以为我国股票市场现阶段的改革与发展提供一定的参考作用。

On the basis of panal data of 31 regions in China during 2000 - 2006 as sample, this paper researches the impact of law enforcement on stock market participation empirically by employing the GMM method. The main results are ： （ 1 ） the effect of the law enforcement by courts on the stock participation is significantly positive, while the law enforcement by CSRC doesn＇ t have significant effect on the stock participation. （2） some characters of investors are the main reasons of their losses. These results have important implications to the development of stock market in China.