我国资本市场弱式有效性检验和市场波动的非对称性分析
摘要
我国的资本市场，特别是股票市场自90年进入了快速成长的时期，市场发展过程中，体现出一定的市场非效率和市场波动性，并出现了市场不确定性因素增多和市场风险性程度加剧的趋势；同时沪深两市收益率和波动性存在着显著的非线性及波动的非对称性，这是我国证券市场上呈现出的重要的典型特征。因此本文对于我国资本市场弱式有效性检验和市场波动的非对称性分析的研究，具有明确的针对性，对于分析发育中的证券的风险机制和运行机制是十分重要的。得到的一些实证结论，对于分析我国股票市场行为和特征以及政策建议具有一定的参考价值。
本文共计四章，第一章介绍了我国及全球资本市场的发展历程、特点、前景以及存在的若干问题；第二章介绍了有效市场假设理论，发展和对证券市场的启示，得到一些基本结论；第三章总结了我国学者对于证券市场弱式有效的一些基本结论的争议，并介绍了有效市场假说和随机游走特征的关系，实证检验了2004年3月前的我国股票收益率时间序列特征，得出无论是上海股票市场，还是深圳股票市场，都没有体现出显著的“弱市场有效”性质的结论。第四章首先利用协调关系检验发现沪深股指之间存在着显著的协调关系，两市之间具有长期的共同趋势；然后，通过ECM模型对于股票平均收益率的刻画，发现了沪市股指起到了“示范作用”以及利用几种GARCH模型对两市进行实证检验，得出两市之间存在显著的波动“溢出效应”和“杠杆效应”的结论；最后，利用非对称的EGARCH模型实证检验了我国证券市场波动的非对称性，“利好消息”的作用明显强于“利空消息”的作用；结论中结合我国证券市场信息不对称和股市的持续低迷现象，提出一些合理可行的政策建议。
市场有效性问题是证券市场的核心问题之一，它探讨了资本市场在证券价格形成中是否充分而准确地反映全部相关信息。通过对市场有效性和系统风险的实证检验，我们发现沪深股市处于弱式有效。市场风险与期望收益不存在如CAPM所表示的线性关系，投资者要求的是高风险高收益，增加了证券市场的投机气氛。加之市场上存在着严重的信息非对称现象，这些都严重地影响了我国证券市场效率的发挥。
另外，通过对我国证券市场的实证分析，本文得到一些比较有意义的结论：由于沪深股市同时受国家宏观经济政策产业结构调整方向以及上市公司业绩优劣等因素的共同影响，沪市对深市存在着显著的“溢出效应”，因而投资者不能通过两市的投资组合分散共同的市场风险。“杠杆效应”的存在使得市场上“利好消息”的作用显著强于“利空消息”的作用，这在一定程度上体现上出投资者不同的风险偏好和风险追逐意识以及证券市场监管机制的不完善，这种波动的非对称性增加了股市的投资风险，使得投机气氛浓于投资气氛，不利于股市的健康发展。
我国的证券市场与西方成熟的政权市场相比，依然存在着较大的差距，突出的表现是：证券市场处于非效率状态，筹资功能、优化资源配置的功能、相对薄弱；没有建立起符合国际惯例的上市公司的信息披露制度，市场上存在着严重的信息非对称现象；目前现存的股票分市机制对于分散市场风险，提高资本市场效率的作用十分有限；股市的波动呈现出非对称性，使得投机气氛明显浓于投资气氛；市场投资主体结构不合理，机构投资者数目较少，多数中小投资者素质底下；市场规模小，相应法规不健全，监管力度薄、监管滞后，政府对股市干预过多等。表明我国的证券市场虽然经历了十多年的快速发展，但依然处于不成熟阶段，存在着一定程度的信息非对称，降低了证券市场的效率，堆积了一定程度的泡沫成分，体现为市场的波动性加大及波动的非对称性。
最后，我们分析了近期股市持续下跌的原因，并从市场的波动性加大及波动的非对称性的角度加以分析。
一，建立合理的市场分市机制，提高资本市场的效率。由于沪深两市之间存在着“示范作用”和“溢出效应”，使现存的这种股票交易分市机制对提高资本市场的效率非常有限，使得投资者无法通过选取两市的股票合理地进行投资组合，分散市场风险，
二，政府在加大监管力度的同时，应避免过多的行政干预，让证券市场尽快规范化、市场化、法制化。不断完善证券发行、上市的审核制度，尽快修正证券市场相关的法律和法规，严格执法。通过法律的形式加强对过度投机，从事内幕交易，操纵市场，散布虚假消息等不法行为的监管。
三，建立完善的以规范会计制度为核心，符合国际惯例的上市公司信息
披露制度。对于证券公司的上市，证券交易所要有明确的要求和限制，这种要求和限制以上市公司的信息披露制度表现出来，同时，这种信息披露制度应该是上市规则的核心。
四，回路短路——解决股价的剧烈波动。回路短路就是指由于某种原因而暂时停止交易。一般情况下，股票价格的剧烈波动是由于信息不畅通所至，在价格剧烈波动的时刻，暂停交易可以帮助解决信息不畅通的问题，因而可缓和价格的波动。
五，增强上市公司和中介机构的信誉，建立信誉增强）机制和信誉评级制度，。市场经济下公司良好的信誉不但有利于消除投资者的种种顾虑，促进法律制度健全，同时也是促进资本市场发展的一种重要的社会?
Chinese Capital Market, especially the stock market, went to a rapid growing period after 1990’s. There appear some certain degree of inefficiency and volatility in the developing process, and appear the trend of the more uncertain factor and market risk in China’s security market. At the same time, the systematic risk is not positive correlation with the expected return in Shanghai and Shenzhen Stock Market. It shows some degree of asymmetry volatility, which is an important typical characteristic of our country stock. Therefore, our positive analysis of stock returns and volatilities in China’s stock markets is aimed, which is very important to the risk mechanism and circulate mechanism of the growing stock market developments.
This thesis is divided into four chapters. The first chapter introduces Chinese Capital Market’s development, characteristic, future and some problems. In the second chapter we introduce efficient market hypothesis, development and significance to our country’s capital market. The third chapter gives some conclusions of efficient market hypothesis from literates in China, and introduces the relationship of weak form efficient of stock market with random travel. We also tested the time sequence of stock yield before March, 2004, and concluded that there are no evident characteristic of weak-form efficient market no matter in the stock of Shanghai or Shenzhen. In the four chapter, we introduce co-integration relationship testing model, ECM (error correct model) and some kinds of GARCH (Generalized Autoregressive Conditional Heteroscedasticity). We find that there is long run co-integration relationship in Shanghai and Shenzhen Stock Markets. By using the asymmetric GARCH models we also find that there are significant spillover effects and leverage effects in these two markets. Finally, by using EGAECH model, we find that there exists the asymmetric volatility in our stock market. The impact of “good news” is obviously stronger than that “bad news”. In fourth chapter, combining the inefficient phenomenon of China’s stock markets and using the conclusion drawn from above analysis, we
put forward to some reasonable and valuable policy suggestions.
Efficiency of security market is one of the core problems. Based on the positive study of efficient market hypothesis and systematic risk, we examine the current information asymmetry in China’s security market. At the same time, our positive studies show that the systematic risk is not positive correlative with the expected return of security as the CAPM. That is to say, the attentions of investors don’t focus on the time value of capital but high return with risk. Those bring investors more risk. It is imperative to further open our stock market, enhance transparency and build a regular and fair information disclosure system and market environment.
There are interactions and influences of returns and volatilities between Shanghai and Shenzhen Stock Exchange Centers in China. We find that there is long run co-integration relationship in these two stock markets. So the two stock markets have similar cyclical components and trends. Using the asymmetric GARCH model, we also find that there are significant spillover efforts and leverage efforts in the two markets. The capital liquidity constraints are very low in these two stock markets, and show some degrees of integrations and correlate each other closely. Using EGARCH model, we find the asymmetric of volatility in our stock market. The function of the “good news” is obviously stronger than that of “bad news”.
Compared with mature stock market in west, the stock market of our country still exits more problems to be solved. So we put forward the following suggestions:
1. The government should supervise more seriously, avid the excessive administration. Stock market should be legalization be as soon as possible.
2. Regarding norm according system as the core factor, we should establish perfect information disclosure system, which should be fit to the international tradition
本文共计四章，第一章介绍了我国及全球资本市场的发展历程、特点、前景以及存在的若干问题；第二章介绍了有效市场假设理论，发展和对证券市场的启示，得到一些基本结论；第三章总结了我国学者对于证券市场弱式有效的一些基本结论的争议，并介绍了有效市场假说和随机游走特征的关系，实证检验了2004年3月前的我国股票收益率时间序列特征，得出无论是上海股票市场，还是深圳股票市场，都没有体现出显著的“弱市场有效”性质的结论。第四章首先利用协调关系检验发现沪深股指之间存在着显著的协调关系，两市之间具有长期的共同趋势；然后，通过ECM模型对于股票平均收益率的刻画，发现了沪市股指起到了“示范作用”以及利用几种GARCH模型对两市进行实证检验，得出两市之间存在显著的波动“溢出效应”和“杠杆效应”的结论；最后，利用非对称的EGARCH模型实证检验了我国证券市场波动的非对称性，“利好消息”的作用明显强于“利空消息”的作用；结论中结合我国证券市场信息不对称和股市的持续低迷现象，提出一些合理可行的政策建议。
市场有效性问题是证券市场的核心问题之一，它探讨了资本市场在证券价格形成中是否充分而准确地反映全部相关信息。通过对市场有效性和系统风险的实证检验，我们发现沪深股市处于弱式有效。市场风险与期望收益不存在如CAPM所表示的线性关系，投资者要求的是高风险高收益，增加了证券市场的投机气氛。加之市场上存在着严重的信息非对称现象，这些都严重地影响了我国证券市场效率的发挥。
另外，通过对我国证券市场的实证分析，本文得到一些比较有意义的结论：由于沪深股市同时受国家宏观经济政策产业结构调整方向以及上市公司业绩优劣等因素的共同影响，沪市对深市存在着显著的“溢出效应”，因而投资者不能通过两市的投资组合分散共同的市场风险。“杠杆效应”的存在使得市场上“利好消息”的作用显著强于“利空消息”的作用，这在一定程度上体现上出投资者不同的风险偏好和风险追逐意识以及证券市场监管机制的不完善，这种波动的非对称性增加了股市的投资风险，使得投机气氛浓于投资气氛，不利于股市的健康发展。
我国的证券市场与西方成熟的政权市场相比，依然存在着较大的差距，突出的表现是：证券市场处于非效率状态，筹资功能、优化资源配置的功能、相对薄弱；没有建立起符合国际惯例的上市公司的信息披露制度，市场上存在着严重的信息非对称现象；目前现存的股票分市机制对于分散市场风险，提高资本市场效率的作用十分有限；股市的波动呈现出非对称性，使得投机气氛明显浓于投资气氛；市场投资主体结构不合理，机构投资者数目较少，多数中小投资者素质底下；市场规模小，相应法规不健全，监管力度薄、监管滞后，政府对股市干预过多等。表明我国的证券市场虽然经历了十多年的快速发展，但依然处于不成熟阶段，存在着一定程度的信息非对称，降低了证券市场的效率，堆积了一定程度的泡沫成分，体现为市场的波动性加大及波动的非对称性。
最后，我们分析了近期股市持续下跌的原因，并从市场的波动性加大及波动的非对称性的角度加以分析。
一，建立合理的市场分市机制，提高资本市场的效率。由于沪深两市之间存在着“示范作用”和“溢出效应”，使现存的这种股票交易分市机制对提高资本市场的效率非常有限，使得投资者无法通过选取两市的股票合理地进行投资组合，分散市场风险，
二，政府在加大监管力度的同时，应避免过多的行政干预，让证券市场尽快规范化、市场化、法制化。不断完善证券发行、上市的审核制度，尽快修正证券市场相关的法律和法规，严格执法。通过法律的形式加强对过度投机，从事内幕交易，操纵市场，散布虚假消息等不法行为的监管。
三，建立完善的以规范会计制度为核心，符合国际惯例的上市公司信息
披露制度。对于证券公司的上市，证券交易所要有明确的要求和限制，这种要求和限制以上市公司的信息披露制度表现出来，同时，这种信息披露制度应该是上市规则的核心。
四，回路短路——解决股价的剧烈波动。回路短路就是指由于某种原因而暂时停止交易。一般情况下，股票价格的剧烈波动是由于信息不畅通所至，在价格剧烈波动的时刻，暂停交易可以帮助解决信息不畅通的问题，因而可缓和价格的波动。
五，增强上市公司和中介机构的信誉，建立信誉增强）机制和信誉评级制度，。市场经济下公司良好的信誉不但有利于消除投资者的种种顾虑，促进法律制度健全，同时也是促进资本市场发展的一种重要的社会?
Chinese Capital Market, especially the stock market, went to a rapid growing period after 1990’s. There appear some certain degree of inefficiency and volatility in the developing process, and appear the trend of the more uncertain factor and market risk in China’s security market. At the same time, the systematic risk is not positive correlation with the expected return in Shanghai and Shenzhen Stock Market. It shows some degree of asymmetry volatility, which is an important typical characteristic of our country stock. Therefore, our positive analysis of stock returns and volatilities in China’s stock markets is aimed, which is very important to the risk mechanism and circulate mechanism of the growing stock market developments.
This thesis is divided into four chapters. The first chapter introduces Chinese Capital Market’s development, characteristic, future and some problems. In the second chapter we introduce efficient market hypothesis, development and significance to our country’s capital market. The third chapter gives some conclusions of efficient market hypothesis from literates in China, and introduces the relationship of weak form efficient of stock market with random travel. We also tested the time sequence of stock yield before March, 2004, and concluded that there are no evident characteristic of weak-form efficient market no matter in the stock of Shanghai or Shenzhen. In the four chapter, we introduce co-integration relationship testing model, ECM (error correct model) and some kinds of GARCH (Generalized Autoregressive Conditional Heteroscedasticity). We find that there is long run co-integration relationship in Shanghai and Shenzhen Stock Markets. By using the asymmetric GARCH models we also find that there are significant spillover effects and leverage effects in these two markets. Finally, by using EGAECH model, we find that there exists the asymmetric volatility in our stock market. The impact of “good news” is obviously stronger than that “bad news”. In fourth chapter, combining the inefficient phenomenon of China’s stock markets and using the conclusion drawn from above analysis, we
put forward to some reasonable and valuable policy suggestions.
Efficiency of security market is one of the core problems. Based on the positive study of efficient market hypothesis and systematic risk, we examine the current information asymmetry in China’s security market. At the same time, our positive studies show that the systematic risk is not positive correlative with the expected return of security as the CAPM. That is to say, the attentions of investors don’t focus on the time value of capital but high return with risk. Those bring investors more risk. It is imperative to further open our stock market, enhance transparency and build a regular and fair information disclosure system and market environment.
There are interactions and influences of returns and volatilities between Shanghai and Shenzhen Stock Exchange Centers in China. We find that there is long run co-integration relationship in these two stock markets. So the two stock markets have similar cyclical components and trends. Using the asymmetric GARCH model, we also find that there are significant spillover efforts and leverage efforts in the two markets. The capital liquidity constraints are very low in these two stock markets, and show some degrees of integrations and correlate each other closely. Using EGARCH model, we find the asymmetric of volatility in our stock market. The function of the “good news” is obviously stronger than that of “bad news”.
Compared with mature stock market in west, the stock market of our country still exits more problems to be solved. So we put forward the following suggestions:
1. The government should supervise more seriously, avid the excessive administration. Stock market should be legalization be as soon as possible.
2. Regarding norm according system as the core factor, we should establish perfect information disclosure system, which should be fit to the international tradition
引文
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