基于股价异常波动的中国股市监管效率实证分析  

The Empirical Analysis of the Regulation Efficiency in Chinese Stock Markets Based on the Abnormal Volatility of Stock Prices

作　　者：邹辉文[1] 黄明星[1] 

机构地区：[1]福州大学管理学院,福建福州350108

出　　处：《财经研究》2010年第1期134-143,共10页Journal of Finance and Economics

基　　金：福建省社会科学规划项目(2007B065);教育部人文社会科学规划基金项目(07JA790096)

摘　　要：证券市场监管究竟是有效的还是无效的,在理论上存在着长期争论。目前,证券市场监管的有效性只能通过实证的方法加以甄别。文章将监管股市的政策手段分为经济手段、法律手段、舆论手段和行政手段,并采用事件研究法对股价异常波动点对应的四种监管股市的政策事件产生的市场反应进行研究。研究结果表明:股价异常波动点的分布与监管政策事件存在着明显的对应关系,监管政策事件对中国股票市场波动的影响较大;近年来证券市场监管的力度在加强,监管的效率逐渐提高;相对于其他监管手段而言,经济手段的监管效率较高。In academia, there is some doubt about the efficiency of the supervision over stock markets. Currently, the efficiency of the supervision over stock markets can only be distinguished by empirical methods. The paper divides the policy tools about the supervision over stock markets into economic measures, legal ones, mass media ones and administrative ones, and studies the market reaction of the abnormal volatility point of stock prices to the appearance of the four policy issues aforementioned through the eventstudy analysis. The results show that there is an obvious corresponding relation between the points of abnormal volatility and the supervision policies on stock markets, and the supervision policies on stock markets have comparatively significant effects on the volatility of stock prices. In recent years, the supervision over stock markets is enhanced and its efficiency is gradually improved. Comparative to other measures, the supervision efficiency of economic measures is more efficient.

关 键 词：监管效率 事件研究法 异常波动 

分 类 号：F830.91[经济管理—金融学]