资金推动型投机市?基于新增开户数视角的A股市场实证检验

Is It a Funds-driven Speculative Market? An Empirical Research on Chinese A-share Market from the Perspective of the Number of New Accounts

本文通过协整检验、向量误差修正模型和VEC格兰杰因果检验,使用2005年6月20日至2008年1月11日的新增A股开户数和沪深300指数日交易数据,实证考察了新增开户数和股票价格及成交金额间的长短期关系,在此基础上,进一步探讨了我国股票市场的市场特点。研究结果表明:新增A股开户投资者在开户后10个左右的交易日开始介入市场;新增A股开户数与沪深300指数及其成交金额间存在协整关系,达到了长期均衡;新增A股开户数变化是沪深300指数及其成交金额变化的长期原因,沪深300指数及其成交金额变化是新增A股开户数变化的短期原因;A股市场仍具备资金推动型投机市的典型特征。

With the daily sample from June 20,2005 to January 11,2008,this study employed a cointegration test,vector error correction model and VEC Granger causality test to examine the long-run and short-run relationship among the number of new accounts,stock prices and turnovers,and further discussed the characteristics of China＇s stock market.The empirical results show that new accounts investors begin trading in around ten trading days;a cointegration relationship and long-run equilibrium exist among the three variables in China;there is a unidirectional long-run association from the number of new accounts to stock prices and turnovers,while a unidirectional short-run causality from stock prices and turnovers to the number of new accounts;summarily,A-share market is still featured as a typically funds-driven speculative market.