中国股票市场质量:内涵、度量与监测  

China's Stock Market Quality:Definition,Measurement and Monitoring

作　　者：南开大学中国市场质量研究中心课题组 李志辉[2,3] 梁琪[3] Michael J.Aitken China Market Quality Research Center Research Group(School of Economics,Nankai University,Tianjin 300071,China)

机构地区：[1]不详 [2]南开大学中国市场质量研究中心 [3]南开大学经济学院,300071

出　　处：《南开经济研究》2020年第6期201-220,共20页Nankai Economic Studies

基　　金：国家自然科学基金面上项目(71973070);国家社会科学基金重大项目(项目编号17ZDA071);中国工程院咨询研究项目(2017-XZ-43)的资助。

摘　　要：在深入推进金融供给侧结构性改革的关键时期,促进我国股票市场高质量发展意义重大。本文在国内外学术界与监管界对股票市场质量研究的基础上,结合我国股票市场实际,提出了股票市场质量的内涵及评估框架,从微观的视角构建了股票市场质量度量指标体系,并利用金融交易大数据实现了中国股票市场质量指数的测度。实证结果表明,我国股票市场质量总体上呈现明显改善趋势,但股票市场质量各维度的改善程度存在一定差异,其中市场公正得到持续改善,市场效率在2012年之前表现出显著改善趋势,但之后呈现一定的下降趋势,而系统性风险呈现明显的周期性变化特征。As China is sticking to the crucial period for the structural reform of its financial supply side,it is significant to promote the high-quality development of the stock market.Referring to the domestic and overseas research of stock market's quality by academic circle and regulatory institutions,this paper mentions the stock market quality's intension and evaluation framework,and constructs stock market quality measuring system from the micro perspective,which are combined with the actual situation of China's stock market.Moreover,this paper measures China's stock market quality index by the big data of financial transactions.The empirical results show that the quality of China's stock market shows a general improvement trend,but there are some structural differences in it.Specifically,market integrity has been continuously improved,and market efficiency has shown a significant improvement trend before 2012,but then there is a certain downward trend,while systemic risk shows obvious cyclical changes.

关 键 词：股票市场质量 市场效率 市场公正 系统性风险 指数 

分 类 号：F832.51[经济管理—金融学]