道德风险与中国证券市场均衡
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摘要
本文从信息经济学的道德风险概念出发,全面梳理了与道德风险相关的金融理论,剖析了现代金融理论中的道德风险缺陷,分析了中国证券市场中违法违规现象的主要特征,指出股市低迷、效率低下的根源在于中国资本市场产生基础不成熟、产权制度缺陷、监管制度缺陷、股权分置缺陷、政府干预机制缺陷、交易制度缺陷等制度缺陷。深刻分析了中国证券市场上各行为主体存在的道德风险现状和产生原因,指出中国证券市场的危机是一种复合危机,并提出了证券市场生态治理的基本方法。
运用博弈论方法分析了中国资本市场的博弈特征以及博弈行为的典型表现,指出中国证券市场正处于“柠檬”均衡状态,“劣币驱逐良币”的现象最终会使得该种均衡下的证券市场只能是一个弱小的证券市场;并建立了博弈基础上证券市场违规的动态监管均衡模型。
在宏观层面探讨了一个存在道德风险和制度缺陷的市场能否提高资本配置效率、促进经济发展的问题。通过协整分析、Granger因果检验等方法,对资本市场发展与经济增长均衡关系的因果关系、上市公司基本面与宏观经济变量之间的关系进行了实证检验。
实证结果表明,VAR模型反映了中国股市与经济增长长期波动的影响,误差修正模型的差分滞后项反映了股票价格指数与经济短期波动的影响,不论就长期还是短期而言,经济增长越强劲,股市反而越可能疲弱,这恰好印证了中国“宏观热,股市冷”的独特现象,且这些系数的绝对值较大,表明长期及短期负向因果的力度不可小视。根据这一怪异现象,提出了“股市逆转之迷”(Stock Reversion Puzzle)。进一步对资本市场发展与经济增长均衡关系进行的实证发现,不论是在整个考察期还是在第一阶段或第二阶段,交易率、换手率、资本化率等衡量股票市场发展的变量与宏观经济变量之间基本上都存在负向线性关系。上市公司基
Starting from the concept of moral hazard in information economics, the dissertation sorts out the financial theories related to moral hazard, anatomizes the moral hazard disfigurements of modern financial theories. After analyzing the main characteristics of irregularity, breach and crime in Chinese securities market, it points out that the fundamental reasons leading to the decline and low efficiency of stock market are the immature foundation to establish the Chinese capital market, systematical deficiencies lying in property right, supervision, separation of ownership right of shares, governmental intervention and transaction, etc... Further it deeply analyzes the status quo of moral hazard and its causes of all principal participants in the securities market, raising a point that the crisis of Chinese securities market is a complex one, and putting forward the basic methods to govern the ecology of securities market.
By using the methodology of game theory, it analyzes the major traits and typical behaviors of Chinese securities market in sense of game, indicating that Chinese securities market is at a status of“lemon”equilibrium, and the phenomenon of“bad money drives out good”will ultimately make the securities market in such equilibrium a very fragile and impotent one. Based on game theory, it sets up a dynamic model to supervise the violating behaviors in the securities market.
At the macroeconomic level, it discusses the issues whether a market with moral hazard and systematical deficiencies can improve the efficiency of capital allocation and enhance economic development. Through cointegration analysis and Granger causality test, it demonstrates the cause and effect relation between the capital market and economic development and that between fundamental variables of listed firms and macroeconomic variables.
运用博弈论方法分析了中国资本市场的博弈特征以及博弈行为的典型表现,指出中国证券市场正处于“柠檬”均衡状态,“劣币驱逐良币”的现象最终会使得该种均衡下的证券市场只能是一个弱小的证券市场;并建立了博弈基础上证券市场违规的动态监管均衡模型。
在宏观层面探讨了一个存在道德风险和制度缺陷的市场能否提高资本配置效率、促进经济发展的问题。通过协整分析、Granger因果检验等方法,对资本市场发展与经济增长均衡关系的因果关系、上市公司基本面与宏观经济变量之间的关系进行了实证检验。
实证结果表明,VAR模型反映了中国股市与经济增长长期波动的影响,误差修正模型的差分滞后项反映了股票价格指数与经济短期波动的影响,不论就长期还是短期而言,经济增长越强劲,股市反而越可能疲弱,这恰好印证了中国“宏观热,股市冷”的独特现象,且这些系数的绝对值较大,表明长期及短期负向因果的力度不可小视。根据这一怪异现象,提出了“股市逆转之迷”(Stock Reversion Puzzle)。进一步对资本市场发展与经济增长均衡关系进行的实证发现,不论是在整个考察期还是在第一阶段或第二阶段,交易率、换手率、资本化率等衡量股票市场发展的变量与宏观经济变量之间基本上都存在负向线性关系。上市公司基
Starting from the concept of moral hazard in information economics, the dissertation sorts out the financial theories related to moral hazard, anatomizes the moral hazard disfigurements of modern financial theories. After analyzing the main characteristics of irregularity, breach and crime in Chinese securities market, it points out that the fundamental reasons leading to the decline and low efficiency of stock market are the immature foundation to establish the Chinese capital market, systematical deficiencies lying in property right, supervision, separation of ownership right of shares, governmental intervention and transaction, etc... Further it deeply analyzes the status quo of moral hazard and its causes of all principal participants in the securities market, raising a point that the crisis of Chinese securities market is a complex one, and putting forward the basic methods to govern the ecology of securities market.
By using the methodology of game theory, it analyzes the major traits and typical behaviors of Chinese securities market in sense of game, indicating that Chinese securities market is at a status of“lemon”equilibrium, and the phenomenon of“bad money drives out good”will ultimately make the securities market in such equilibrium a very fragile and impotent one. Based on game theory, it sets up a dynamic model to supervise the violating behaviors in the securities market.
At the macroeconomic level, it discusses the issues whether a market with moral hazard and systematical deficiencies can improve the efficiency of capital allocation and enhance economic development. Through cointegration analysis and Granger causality test, it demonstrates the cause and effect relation between the capital market and economic development and that between fundamental variables of listed firms and macroeconomic variables.
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