股权分置改革、监管战略与中国股市波动性突变

Reform of Non- tradable Shares,Regulatory Strategy and Sudden Changes in the Volatility of China Stock Markets

本文运用ICSS法则对1992—2012年中国股市波动性突变进行了判别，考察了与股市波动性突变相联系的重大事件，并实证检验了股市波动性突变的影响因素。研究发现，股市调控政策事件对股市波动性突变产生了显著的影响，但主要分布在股权分置改革前期。股权分置改革之后没有出现与波动性突变对应的政府直接干预股市的政策事件，而制度完善、经济社会事件及海外市场波动溢出效应对中国股市波动性的影响逐渐增强。这表明股权分置改革之后，中国股市告别了传统的以社论、重要讲话等为典型特征的“政策市”，短期性、临时性的相机决策型监管战略逐渐向长期、均衡、稳定发展型战略转变。本文也认为，股权分置改革并非“毕其功于一役”，应继续深化改革、完善股市基础性制度。

Using ICSS algorithm to identify sudden changes in the volatility of China stock markets between 1992 and 2012, this article examines the major events and factors affecting volatility. Results showed that no sudden changes of volatility correspond to the policy of the government that intervenes directly in the stock market after non - tradable share reform, but the influence of institution perfection, social events and spontaneous market factors is increasing. This indicates that China＇s security regulation which was a typical ＂policy market＂, has undergone fundamental changes, which has transformed from a short - term, temporary decision - making strategy to a long term, sustainable and balanced strategy.