我国股票市场“政策市”现象的理论阐释

An Expatiation of the Policy Market Phenomenon in China's Stock Market

我国股票市场"政策市"现象由来已久,但一直缺乏规范的解释。"政策市"实质上是相关制度和政策变动引致的市场系统风险的体现,根本上取决于制度改革和政策制定的方式本身。我们将"摸着石头过河"式的制度改革和政策制定方式,描述为代理变量的随机过程,建立了其马尔可夫过程假说;再根据假说构造了股票定价和市盈率决定的随机Gordon模型,推导出我国股市强振荡性的几个命题。研究表明,"摸着石头过河"的政策方式必然引起"政策市",不利于发挥资本市场的基本功能;应逐步采用连贯和平稳的制度改革和政策制定方式,以消除系统性的政策不确定性造成的预期变动和股市的强烈振荡。

Chinese stock market has been exhibiting a feature of policy market for a long time, but which lacks a normative explanation. The authors argue that the phenomenon is essentially an outcome of systematical risks induced by relevant institutional and policy changes, caused fundamentally from the paradigm of institutional reformation and policy making. By conforming to the paradigm of‘cross the river by feeling its stones’, we model the evolution of institution or policy as a stochastic process and establish its Markov-process hypothesis. We set up accordingly a stochastic Gordon model and derive a formula for stock price and price-earning ratio to investigate market volatility issues. Several propositions are put forward and it is concluded that the paradigm of ‘cross the river by feeling its stones’may definitely incurs policy market, which depresses the functions of capital market, and that more consistent and stable paradigm of policy making are urgent, so as to smooth the expectation change and market volatility resulted from systematical policy uncertainty.