证券市场开放速度的影响和决定

The Influence and Decision of Opening Speed of Security Market

加速开放中的中国证券市场,有必要衡量进程加速的效应和最优速度。本文通过股市波动率分解,将波动分解为普通市场反应带来的连续型波动和过度反应带来的跳跃型波动,详细分析了加速开放对股市的影响,并权衡总波动的大小和结构以估算最优开放增速。实证发现加速引入国际机构资本可以有效降低波动性,但股市信息融解效率仍较低,体现在跳跃型方差占比高;市场状况会影响最优增速,估算现阶段适当的外国资本审批额度月增速约为12%。最后对利用境外资本健全证券市场提出建议。

It is necessary to evaluate the effect and optimal speed in the accelerated opening process of China＇s security market. It breaks up the volatility into continuous and jump component, analyses the influence of acceleration on stock market, and estimates the optimal growth pace based on the size and structure of total volatility. The empirical research finds that the accelerated introduction of foreign institutional capital could be good for decreasing the volatility. But the information efficiency is still low, which is evidenced by large proportion of jump in variance. The optimal speed is affected by different market conditions. The proper monthly growth in the approval of foreign capital could be about 12 percent monthly. Finally, it proposes the advice on introducing foreign capital to strengthen stock market.