制度质量对金融市场表现的影响--来自跨国面板数据的实证分析  

Research on the Correlation between Institutional Quality and Finance Market Performance--Empirical Analysis from Multinational Panel Data Model

作　　者：万金石 周孝华[1] 刘斌[1] WAN Jin-shi;ZHOU Xiao-hua;LIU Bin(School of Economics and Business Administration,Chongqing University,Chongqing 400044,China)

机构地区：[1]重庆大学经济与工商管理学院,重庆400044

出　　处：《工程管理科技前沿》2022年第5期34-41,共8页Frontiers of Science and Technology of Engineering Management

基　　金：国家社会科学基金重点资助项目(18AGL009)。

摘　　要：制度作为社会经济系统工程的重要组成部分,对金融市场的健康发展有着关键性作用。本文建立面板数据模型,并将制度质量通过主成分分析法分解为制度完善指数和政治稳定指数以消除制度质量指标间存在的相互干扰,利用美国传统基金会发布的经济自由度指标作为工具变量解决了制度完善指数存在的内生性问题。研究结果表明:制度完善指数既减少了市场收益,也减少了市场波动水平。政治稳定指数提高了市场波动水平,而与市场收益不相关。本文的实证结果解释了为何中国这类兼具制度不完善和政治稳定特点的新兴经济体的金融市场价格波动极高,为我国金融市场管理体系和发展战略的优化提供了一些启示。As an important part of the social and economic system engineering,institutional quality plays a key role in healthy development of the finance market.This paper establishes the panel data model,and breaks down institutional quality into institutional improvement index and political stability index to eliminate the mutual interference between the institutional quality indicators.The economic freedom index released by the American Heritage Foundation is used as a tool variable to solve the endogenous problem of institutional improvement index.The results show that:institutional improvement index not only reduces the finance market return,but also reduces finance market volatility.Political stability index increases finance market volatility,but is unrelated to finance market return.The findings of this study explain why the finance markets of emerging economies,like China,which are characterized by both institutional imperfection and political stability,are extremely volatile.This paper provides some enlightenment for the optimization of management system and development strategy of finance market.

关 键 词：制度质量 金融市场表现 GMM模型 主成分分析法 工具变量法 

分 类 号：F275[经济管理—企业管理]