全流通影响了市场波动性吗——基于沪深股市的实证研究  

Does Circulation Affect Market Volatility? An Empirical Analysis of Shanghai and Shenzhen Stock Markets

作　　者：陈晓红[1] 佘坚[2] 周颖[1] 

机构地区：[1]中南大学商学院 [2]深圳证券交易所,深圳518028

出　　处：《经济学（季刊）》2009年第1期659-678,共20页China Economic Quarterly

基　　金：国家软科学项目(052k5007);湖南省社科基金项目(05JD18)资助

摘　　要：股权分置已成为影响我国资本市场持续发展的一个重要因素。目前，我国的股权分置改革正全面铺开，以期实现资本市场的全流通。本文首先建立了考虑全流通预期的我国证券市场交易者策略模型，通过对波动性因素的分析得出了若干假设，从理论上推导出全流通对市场质量所可能产生的影响。然后以目前股权分置改革期中已完成股权分置改革的435家公司为样本对理论假设进行实证分析，发现全流通对市场波动性产生了一些影响。Non-traded share reform becomes one of the important factors affecting capital market development in China. This paper builds a theoretical model to study how making non-traded shares tradable affects market volatility. The model takes into account the expec-tations of market participants on the consequences of the circulation of the non-traded shares. The hypotheses deducted from the model are empirically tested using a sample of 435 companies that had finished the non-traded share reform. We find that the circulation of all shares affects the volatility of the market.

关 键 词：市场微观结构 股权分置改革 交易者策略模型 

分 类 号：F224[经济管理—国民经济] F832.51