中国股票市场资源配置效率的实证研究

An Empirical Study of China's Stock Market Resource Allocation Efficiency

提高效率是我国资本市场改革的核心问题。文章运用Jeffrey Wurgler(2000)首次从股票发行市场和交易市场两方面对中国股票市场的资源配置效率进行实证研究。结果表明:我国股票发行市场与交易市场的资源配置效率处于较低水平而且波动较大;而且股票交易市场的资源配置效率总体上低于发行市场的效率等重要结论。

This paper uses Jeffrey Wurgler＇s （2000） Dynamic Expansion Model to measure the resource allocation efficiency of Chinese stock issue and transaction markets during 1996-2007. The results show that the resource allocation efficiency of Chinese stock issue market and Chinese stock transaction market are at a relatively low level and volatile, and the resource allocation efficiency of Chinese stock issue market is higher than that of Chinese stock transaction market.