我国多层次资本市场资源配置效率测度——基于不同层次的视角

Measurement of Resource Allocation Efficiency in China’s Multi-Tiered Capital Market——Based on a Multi-Tiered Perspective

测度我国多层次资本市场各层次的资源配置效率并探究其影响因素。研究发现:(1)在金融危机前,中小板的价格有效性水平在多数情况下围绕主板上下波动并逐渐趋于一致,创业板在设立初期的价格有效性低于主板和中小板,其后创业板的预测性价格有效性(FPE)超过其他两板;(2)主板资源配置效率的下降趋势主要集中在中小板与创业板设立初期;(3)主板FPE在创业板设立前低于中小板,设立后趋于一致,而创业板FPE高于主板和中小板,且揭示性价格有效性(RPE)的层次差异不大,创业板资源配置效率最高、中小板次之、主板最低;(4)部分股权结构特征会影响各层次的资源配置效率。

This paper measured the resource allocation efficiency of each tier within China’s multi-tiered capital market and explored its influencing factors.The findings revealed that:(1)prior to the financial crisis,the level of price efficiency in the SME Board generally fluctuated around that of the main board and gradually converged.In the initial stage of its establishment,the price efficiency of the GEM was lower than that of both the main board and SME board,but subsequently,the GEM’s forecasting price efficiency(FPE)surpassed the other two boards.(2)The decline in resource allocation efficiency of the main board was primarily concentrated in the early stages of the establishment of the SME board and GEM.(3)Before the establishment of the GEM,the FPE of the main board was lower than that of the SME board,but afterward,they tended to align.The FPE of the GEM exceeded both the main board and SME board,while the revelatory price efficiency(RPE)showed minimal hierarchical differences.The GEM demonstrated the highest resource allocation efficiency,followed by the SME board,with the main board being the lowest.(4)Certain equity structure characteristics had an impact on the resource allocation efficiency across different tiers.