摘要
针对我国股票市场的"高波动性"特征,采用我国1998年第一季度到2017年第二季度的有关季度数据,运用主成分分析法、协整分析法、向量误差修正模型等一系列实证检验方法,对制度变迁、金融发展与A股市场波动三者之间的长期与短期的互动关系进行分析。结果发现:制度变迁在短期内对股市波动没有影响,但长期内促进了股市的波动。金融发展在短期内对股市波动的抑制作用较为薄弱,但长期的抑制效果却很明显。股市短期波动主要是由于其自身的"自强化效应"产生的。据此,分别从长期层面的政策保障机制、短期层面的异常行为监管调控与投资者理念培育机制等方面提出了政策建议。
Regarding the“high volatility”of China’ s stock market, the paper analyzed relevantdata from the first quarter of 1998 to the second quarter of 2017 and used principal componentanalysis, co-integration analysis, Vector Error Correction Model and a series of empirical methodsto analyze of short-term and long-term interactive relation between institutional changes, financialdevelopment and A -share market volatility. The result shows that institutional changes had noinfluence on A-share market volatility in the short run, but it promoted A-share market volatility inthe long run. Financial development hada weak inhibitory impact on stock market volatility in theshort run, but an obvious inhibitory impact in the long run. The short -term fluctuation of stockmarket is mainly caused by its own“self-strengthening effect” . Accordingly, the paper proposedsome suggestions on the cultivation mechanism of investors’concept from the long -term policyguarantee mechanism and the short-term abnormal behavior regulation respectively.
出处
《金融理论探索》
2017年第6期35-42,共8页
Exploration of Financial Theory
关键词
制度变迁
金融发展
股市波动
协整分析
VEC模型
institutional changes
financial development
stock market volatility
Co -integrationAnalysis
VEC Model
