基于DEA的中国证券市场竞争力国际比较
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摘要
证券交易所作为市场经济的轴心,其高效运行是经济持续健康发展的必要条件。近年来,中国证券市场不断发展,规模和竞争力都不断进步,这与其在国际化层面的落后表现不符。在Lo(2013)对全球最大45个交易所的竞争力研究的基础上,本文拓展了交易所国际化程度的指标,并且采用面板数据,针对沪深两所的竞争力变化进行深入研究。首先,本文利用2008年至2016年的面板数据和DEA-Malmquist方法研究沪深两所上市和交易竞争力的动态演变,并且给出近五年来45个证券交易所竞争力发展速度的排名。其次,本文利用2016年的截面数据和context-dependent DEA方法研究沪深两所当前的上市和交易竞争力以及国际化程度排名,并且将2013年的国际化程度排名与2016年进行对比,研究近年来我国证券市场国际化程度的变化。结果表明,与Lo(2013)的评价结果相比,两个交易所的综合排名快速提升,上交所的上市竞争力和深交所的交易竞争力已经跻身前列,但两市的发展并不平衡,尤其是上市竞争力差距明显。相对于2013年,沪深两所的国际化程度均有所提升,说明沪港通、深港通和QFII等开放政策及市场规范建设措施成效显著,但总体处于落后水平,这是制约沪深交易所竞争力提升的关键要素。为了尽快打造世界一流的证券市场,实现资本强国目标,我们应该借鉴新加坡、香港、印度等市场的成功做法,重点做好去"政策市"和推进国际化两方面的工作,尤其是分红政策和股东保护监管,丰富交易品种,扩大互联互通,开设"国际板"等。相比国内外同类文献,本文创新引入了国际化程度指标,组合运用DEA-Malmquist和context-dependent DEA方法,并聚焦于国际情境下的沪深交易所竞争力动态演变和政策效应分析。
The securities market is the core of market economy.A securities market with high efficiency is necessary for the development of a country.The scale and competitiveness of the Chinese Securities Market is improving constantly in recent years,which is in accordance with the poor performance in the aspect of internationalization.Based on the research of Lo(2013)that analyzed the competitiveness and the ranking of the 45 main stock exchanges all over the world,internationalization indexes are introduced and the competitiveness of Shanghai and Shenzhen Stock Exchange is further studied with the panel data.First,the dynamic evolution of competitiveness of Shanghai and Shenzhen Stock Exchange is analyzed and the ranking of development speed of competitiveness of the 45 main stock exchanges is got with the DEAMalmquist model and the panel data of 2008-2016(except2011).Secondly,the latest ranking of competitiveness of the 45 main stock exchanges is obtained with the context-dependent DEA model and the cross-section data of 2016.Besides,the ranking of internationalization of Shanghai and Shenzhen Stock Exchange in 2013 and the ranking in 2016 are compared to study the change of internationalization of Chinese securities market.The results show that the listing competitiveness and the trading competitiveness of Shanghai and Shenzhen Stock Exchange are promoting rapidly.The listing competitiveness of Shanghai Stock Exchange and the trading competitiveness of Shenzhen Stock Exchange are both at forefront,but the development of these two exchanges is disequilibrium especially in listing competitiveness.Compared to2013,the degree of internationalization of Shanghai and Shenzhen Stock Exchange is both improved,which indicates that the open policies such as Shanghai-Hong Kong Stock Connect,Shenzhen-Hong Kong Stock Connect and QFII are positive to Chinese securities market.But they are still in a backward state,which might be the restraint of the improvement of competitiveness.For the sake of forging world-class securities market and achieving the goal of capital power,the successful experience of Singapore,Hong Kong and India should be learned,and the work of wiping off the policy-dependent stock market and internationalization especially the optimization dividend policy and shareholder protection,enriching the trade category,enlarging interconnection and establish"international market"and so on should be accomplished.Compared to similar past literature,internationalization indexes are introduced and the focus is put on dynamic evolution and policy effect of competitiveness of Shanghai and Shenzhen Stock Exchange from the view of international perspective.
The securities market is the core of market economy.A securities market with high efficiency is necessary for the development of a country.The scale and competitiveness of the Chinese Securities Market is improving constantly in recent years,which is in accordance with the poor performance in the aspect of internationalization.Based on the research of Lo(2013)that analyzed the competitiveness and the ranking of the 45 main stock exchanges all over the world,internationalization indexes are introduced and the competitiveness of Shanghai and Shenzhen Stock Exchange is further studied with the panel data.First,the dynamic evolution of competitiveness of Shanghai and Shenzhen Stock Exchange is analyzed and the ranking of development speed of competitiveness of the 45 main stock exchanges is got with the DEAMalmquist model and the panel data of 2008-2016(except2011).Secondly,the latest ranking of competitiveness of the 45 main stock exchanges is obtained with the context-dependent DEA model and the cross-section data of 2016.Besides,the ranking of internationalization of Shanghai and Shenzhen Stock Exchange in 2013 and the ranking in 2016 are compared to study the change of internationalization of Chinese securities market.The results show that the listing competitiveness and the trading competitiveness of Shanghai and Shenzhen Stock Exchange are promoting rapidly.The listing competitiveness of Shanghai Stock Exchange and the trading competitiveness of Shenzhen Stock Exchange are both at forefront,but the development of these two exchanges is disequilibrium especially in listing competitiveness.Compared to2013,the degree of internationalization of Shanghai and Shenzhen Stock Exchange is both improved,which indicates that the open policies such as Shanghai-Hong Kong Stock Connect,Shenzhen-Hong Kong Stock Connect and QFII are positive to Chinese securities market.But they are still in a backward state,which might be the restraint of the improvement of competitiveness.For the sake of forging world-class securities market and achieving the goal of capital power,the successful experience of Singapore,Hong Kong and India should be learned,and the work of wiping off the policy-dependent stock market and internationalization especially the optimization dividend policy and shareholder protection,enriching the trade category,enlarging interconnection and establish"international market"and so on should be accomplished.Compared to similar past literature,internationalization indexes are introduced and the focus is put on dynamic evolution and policy effect of competitiveness of Shanghai and Shenzhen Stock Exchange from the view of international perspective.
引文
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[5]Lo S F.Which stock exchanges are more attractive?The competition analysis of listing and trading performance[J].Economic Modelling,2013,30(1):501-509.
[6]闫红蕾,赵胜民.沪港通能否促进A股与香港股票市场一体化[J].中国管理科学,2016,24(11):1-10.
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[9]Seiford L M,Zhu J.Context-dependent data envelopment analysis—measuring attractiveness and progress[J].Omega,2003,31(5):397-408.
[10]Karreman B,van der Knaap B.The financial centres of Shanghai and Hong Kong:Competition or complementarity?[J].Environment and Planning A,2009,41(3):563-580.
[11]Baker H K,Nofsinger J R,Weaver D G.International cross-listing and visibility[J].Journal of Financial&Quantitative Analysis,2002,37(3):495-521.
[12]Klein E.Stock exchanges,IPO's and mutual funds[M].New York:Nova Science Publishers,2005.
[13]Thaler R H,Shefrin H M.An economic theory of self-control[J].Journal of Political Economy,1981,89(2):392-406.
[14]Sheu H J,Lo S F,Lin H H.Linking diversification strategy to performance:A case for financial holding companies in Taiwan[J].Journal of Transnational Management,2006,11(3):61-79.
[15]刘克峰.国际资本流动与中国证券市场国际化[D].北京:中国社会科学院,2003.
[16]Chinn M D,Ito H.A new measure of financial openness[J].Journal of Comparative Policy Analysis Research&Practice,2008,10(3):309-322.
[17]杨子晖,陈创练.金融深化条件下的跨境资本流动效应研究[J].金融研究,2015,(5):34-49.
[2]Wang C A.What makes some stock markets more attractive?An international cross-listing analysis[J].Working Paper,National Chi-Nan University,2008.
[3]Thaddenb R E L V.Stock exchange competition in a simple model of capital market equilibrium[J].Journal of Financial Markets,2008,11(3):284-307.
[4]Amira K,Muzere M L.Competition among stock exchanges for equity[J].Journal of Banking&Finance,2011,35(9):2355-2373.
[5]Lo S F.Which stock exchanges are more attractive?The competition analysis of listing and trading performance[J].Economic Modelling,2013,30(1):501-509.
[6]闫红蕾,赵胜民.沪港通能否促进A股与香港股票市场一体化[J].中国管理科学,2016,24(11):1-10.
[7]Banker R D,Charnes A,Cooper W W.Some models for estimating technical and scale inefficiencies in data envelopment analysis[J].Management Science,1984,30(9):1078-1092.
[8]Lovell C A K,Pastor J T.Radial DEA models without inputs or without outputs[J].European Journal of Operational Research,1999,118(1):46-51.
[9]Seiford L M,Zhu J.Context-dependent data envelopment analysis—measuring attractiveness and progress[J].Omega,2003,31(5):397-408.
[10]Karreman B,van der Knaap B.The financial centres of Shanghai and Hong Kong:Competition or complementarity?[J].Environment and Planning A,2009,41(3):563-580.
[11]Baker H K,Nofsinger J R,Weaver D G.International cross-listing and visibility[J].Journal of Financial&Quantitative Analysis,2002,37(3):495-521.
[12]Klein E.Stock exchanges,IPO's and mutual funds[M].New York:Nova Science Publishers,2005.
[13]Thaler R H,Shefrin H M.An economic theory of self-control[J].Journal of Political Economy,1981,89(2):392-406.
[14]Sheu H J,Lo S F,Lin H H.Linking diversification strategy to performance:A case for financial holding companies in Taiwan[J].Journal of Transnational Management,2006,11(3):61-79.
[15]刘克峰.国际资本流动与中国证券市场国际化[D].北京:中国社会科学院,2003.
[16]Chinn M D,Ito H.A new measure of financial openness[J].Journal of Comparative Policy Analysis Research&Practice,2008,10(3):309-322.
[17]杨子晖,陈创练.金融深化条件下的跨境资本流动效应研究[J].金融研究,2015,(5):34-49.