制度变迁、金融发展对A股市场影响的实证分析

The Impact of Institutional Changes and Financial Development on the Volatility of A Stock Market

根据我国1998年一季度到2016年四季度的有关季度数据,运用向量误差修正模型(VECM)对制度变迁、金融发展与A股市场波动三者之间的互动关系进行实证分析,结果发现:制度变迁、金融发展在短期内对A股波动没有影响,但长期来看会起到一定的抑制作用。股市波动对其自身的运行影响极大,远远强于制度变迁、金融发展对股市波动的影响。因此,应深化制度改革,促进金融市场稳定发展,降低股市波幅。加强资本市场监管,切实保护中小投资者利益。改革新股发行制度,完善退市制度,实现依法治市。

Based on the quarterly data from the first quarter of 1998 to the fourth quarter of 2016 in China,Uses vector error correction model(VECM)to empirically analyze the interaction between institutional changes,financial development and A stock market volatility.The results show that the institutional changes and financial development have no effect on the volatility of A share market in the short term,but in the long run it will play a certain inhibitory effect.The volatility of the A share market has a great influence on its own,and is far stronger than the influence of institutional changes and financial development on the volatility of the stock market.Therefore,we should deepen the reform of the system,promote the stable development of the financial market and reduce the volatility of the stock market.The supervision of the capital market should be strengthened so as to effectively protect the interests of small and medium investors.Reform the new issue system,perfect the delisting system and realize the rule of law in accordance with the law.