中国股票市场分割与一体化演进问题研究
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摘要
经过近三十年的改革开放,中国经济的发展有了很大的改观,市场经济体制已基本建立,经济发展更加注重质量的提高。其中,金融市场的市场化改革与一体化演进问题尤为突出。中国金融市场的一个显著特点就是市场不完善、不完整,存在分割,无论是与理论上的完全竞争市场,还是与现实中已非常成熟的发达国家金融市场相比,都存在不小的差距。这种不完善性和分割性阻碍了信息流动,影响了金融市场资产定价的有效性,从而降低了金融市场的运行效率。国外对此问题研究始于上世纪70年代,研究的主题集中于分割性与一体化的检验、分割导致股价差异的原因探寻等两个方面。国内对此问题研究则相对不足,主要是分割性检验这一层次的分析,检验的方法和模型多有值得商榷的地方;对股价差异的原因也是仁者见仁,智者见智,没有统一的定论;更为重要的是,没有进一步研究股市一体化进程的这一核心问题。因此,探讨中国股票市场的分割与一体化演进问题,试图找到中国股市分割与一体的演进轨迹,进而探寻这一演进轨迹的内在推动力量,这对提高中国金融市场的资源配置效率,对当前股市诸多改革,如股权分置、QFII和QDII制度、股指期货等热点问题提供一理论化、系统化的分析框架和视角,无论是在理论上还是现实意义上都具有重大意义。
论文中所提到的中国股票市场“分割“与“一体化”概念,是从这一金融市场资本定价角度来定义的,即考察两个或多个市场的股票价格是否遵循统一的定价模式,如果遵循统一的定价模式则称市场是一体化的,否则称市场是分割的。
论文的总体思路是,首先简要回顾中国股票市场的基本发展情况,为论文的研究作必要的现实背景交待,是论文研究的现实逻辑起点。其次是对国内外研究成果进行系统的归纳和总结,为论文的理论阐述寻找借鉴和切入点,是论文研究的理论逻辑起点。然后是通过构建模型分析中国股市分割与一体化的演进轨迹,检验股市发展的重大举措对市场分割与一体化的影响,为进一步促进股市一体化而采取相应的政策和措施寻找理论和现实依据,是论文研究的具体展开和核心。最后是对全文进行总结。遵循这一研究思路,本文采用实证和规范分析方法,借助计量和数学分析工具,综合运用经济学、金融学、社会学等学科的基本原理来进行具体分析。
论文的基本结论是:(1)中国股票市场呈现两种不同的演进轨迹,沪市一体化程度有减弱的趋势,而深市一体化程度则有增强的趋势;沪市总体平均一体化程度相对较低,1999年1月至2007年2月期间平均值为0.47,而深市则相对较高,在此期间平均值为0.79;两市与完全一体化仍还有一定的距离。(2)B股对境内居民开放促进了沪市和深市一体化程度的提高;A股对外开放对深市一体化进程有促进作用,而对沪市作用则不显著。(3)随着B股的对内开放、A股对外开放以及股权分置改革的顺利实施和推进, A股与B股之间的收益溢出效应主要是由B股向A股的单向溢出,即B股市场的收益率对A股市场收益率具有先导作用。(4)沪市A、B股之间的波动溢出效应主要是A股向B股的单向溢出,信息是从A股向B股单向流动的;而深市则存在着明显的A股与B股之间的相互波动溢出效应,信息在A、B股市场之间相互传导。(5)信息是从红筹股向B股、从沪市B股向H股单向流动的;深市B股与H股相互间信息流动情况不明显;总体来看,红筹股始终处于信息领先的地位,红筹股比H股对B股有更强的信息引导作用,是市场信息的“风向标”。
论文的创新主要体现在如下几个方面:一是借鉴域变模型和信息滤波的思想,构建了适合中国股票市场实际情况的模型,对股票市场一体化程度进行了定量的刻画,而现有的研究则主要是对中国股票市场分割与一体化进行一般性分割与否的实证检验,分割与一体化的程度到底有多大则没有探讨。二是修改了现有的向量模型,采用向量GARCH-M模型同时从股票收益和波动两个方面统一地分析A、B股间的溢出效应,而现有的文献主要是从股票收益或波动单方面来探讨。此外,论文还进一步分析了B股与H股及红筹股之间的溢出效应与信息流动,而已有文献主要探讨的是A股与H股和红筹股之间的溢出效应与信息流动。三是拓展了传统的对股市分割与一体化问题研究层面,即不仅限于市场分割性检验和价格差异原因探寻等微观层面的探讨,而是重点从宏观层面研究了中国股市一体化进程这一根本性问题。
The Chinese economy has gained rapid development since the reform and open-up about 30 years ago. With the market economy system preliminarily established, more attentions are paid to the quality of economic growth and some prominent problems such as the reform of financial market and market integration process. Compared with either the perfect competitive markets in theory or the matured financial markets in developed countries, some problems still exist in China. The most remarkable disadvantages of Chinese financial markets include its imperfection, incompleteness and segmentation, which greatly hurt the effectiveness of asset pricing and the efficiency of market operation. A lot of foreign research has been done on this issue since 1970s; these include testing the segmentation and integration of a specified market and explaining the stock price difference existing in segmented markets.
However, this kind of research is relatively weak and limited in China. Most of the domestic studies focused on the segmentation test, and the methods and models used in them are inaccurate or inadequacy. This leads to widely different opinions in explaining the stock price difference existing in segmented markets. Moreover, the integration progress, as a key problem, has not been studied yet by domestic researchers. This thesis tries to investigate the problem of the segmentation and integration progress of China’s stock markets, and attempts to find out the trace of the segmentation and integration progress as well as explore its intrinsic impelling force. This study is very important and useful in helping improve the efficiency of resource allocation and address some hot topics in our stock markets such as the reform of share-splitting reform, QFII and QDII systems and stock index futures.
We firstly discuss the basic development situations of China’s stock markets and introduce the background of our study, which gives a realistic logical beginning of this thesis. Secondly, we make a comprehensive literature review in related area to find the breakthrough point of our research, which provides a theoretical logical start point of this work. Thirdly, we construct models to analyze the trace of the segmentation and integration in China’s stock markets, and then test the influence of some significant actions in our market on the progress of market segmentation and integration. This facilitates us to find the theoretic and realistic basis for the corresponding policies for enhancing the market integration. Finally, we make some conclusions. Based on the fundamental principles in economics, finance and sociology, we carry out an empirical test and positive analysis for our problem by using some econometric and mathematic techniques.
The main results of this study include: (1) The China’s stock markets demonstrate two different progressing traces: the degree of integration becomes weaker and weaker in Shanghai stock market, while stronger and stronger in Shenzhen market. The average degree of integration from Jan. 1999 to Feb. 2007 in Shanghai market, 0.47, is relatively lower than that in Shenzhen stock market, which is 0.79. We conclude there is still a long way for the two markets to be fully integrated. (2) The degree of the integration of Shanghai and Shenzhen stock markets rose after the opening of the B-share market to domestic investors. The opening of the A-share market to foreign investors significantly improves the integration process of Shenzhen market, while has little effect on Shanghai market. (3) Along with the opening of the B-share market to domestic investors and the A-share market to foreign investors, and the implementation of the share-splitting reform, there is a one-side return spillover effect from the B-share to the A-share, that is, the return of the B-share market has an forecast effect on the return of the A-share market. (4) There is a one-side volatility spillover effect from the A-share to the B-share in Shanghai stock market; while a mutual volatility spillover effect between the A-share market and the B-share market in Shenzhen, which means information can flow from either market to the other. (5) There is a one-side information flow from red chips to B-share and from B-share to H-share in Shanghai market, the later of which, however, can not be observed in Shenzhen market. Since the Red Chips Stocks always play an overall leading role in the information flow, it functions as a wind-vane of the market information and has a stronger effect of information guide on B-share than H-share.
The innovations of the dissertation are listed as the following: Firstly, a regime-switching model is created to qualitatively portray the degree of the integration progress of the Chinese stock market. Secondly, a vector GARCH-M model is adoptted to analyze the spillover effects between A-shares and B-shares, which is based on the integration of analyzing retains and volatility of stock prices. Moreover, the thesis discusses the spillover effects and information flow among B- shares, H-shares, and Red Chip Stocks. Finally we study the problem of integration progress of Chinese stock markets from a macroscopical point of view, but not from a microcosmic vision as most existing research did, in which the discussion is limited in testing the segmentation and integration and explaining the stock price difference existing in segmented markets.
论文中所提到的中国股票市场“分割“与“一体化”概念,是从这一金融市场资本定价角度来定义的,即考察两个或多个市场的股票价格是否遵循统一的定价模式,如果遵循统一的定价模式则称市场是一体化的,否则称市场是分割的。
论文的总体思路是,首先简要回顾中国股票市场的基本发展情况,为论文的研究作必要的现实背景交待,是论文研究的现实逻辑起点。其次是对国内外研究成果进行系统的归纳和总结,为论文的理论阐述寻找借鉴和切入点,是论文研究的理论逻辑起点。然后是通过构建模型分析中国股市分割与一体化的演进轨迹,检验股市发展的重大举措对市场分割与一体化的影响,为进一步促进股市一体化而采取相应的政策和措施寻找理论和现实依据,是论文研究的具体展开和核心。最后是对全文进行总结。遵循这一研究思路,本文采用实证和规范分析方法,借助计量和数学分析工具,综合运用经济学、金融学、社会学等学科的基本原理来进行具体分析。
论文的基本结论是:(1)中国股票市场呈现两种不同的演进轨迹,沪市一体化程度有减弱的趋势,而深市一体化程度则有增强的趋势;沪市总体平均一体化程度相对较低,1999年1月至2007年2月期间平均值为0.47,而深市则相对较高,在此期间平均值为0.79;两市与完全一体化仍还有一定的距离。(2)B股对境内居民开放促进了沪市和深市一体化程度的提高;A股对外开放对深市一体化进程有促进作用,而对沪市作用则不显著。(3)随着B股的对内开放、A股对外开放以及股权分置改革的顺利实施和推进, A股与B股之间的收益溢出效应主要是由B股向A股的单向溢出,即B股市场的收益率对A股市场收益率具有先导作用。(4)沪市A、B股之间的波动溢出效应主要是A股向B股的单向溢出,信息是从A股向B股单向流动的;而深市则存在着明显的A股与B股之间的相互波动溢出效应,信息在A、B股市场之间相互传导。(5)信息是从红筹股向B股、从沪市B股向H股单向流动的;深市B股与H股相互间信息流动情况不明显;总体来看,红筹股始终处于信息领先的地位,红筹股比H股对B股有更强的信息引导作用,是市场信息的“风向标”。
论文的创新主要体现在如下几个方面:一是借鉴域变模型和信息滤波的思想,构建了适合中国股票市场实际情况的模型,对股票市场一体化程度进行了定量的刻画,而现有的研究则主要是对中国股票市场分割与一体化进行一般性分割与否的实证检验,分割与一体化的程度到底有多大则没有探讨。二是修改了现有的向量模型,采用向量GARCH-M模型同时从股票收益和波动两个方面统一地分析A、B股间的溢出效应,而现有的文献主要是从股票收益或波动单方面来探讨。此外,论文还进一步分析了B股与H股及红筹股之间的溢出效应与信息流动,而已有文献主要探讨的是A股与H股和红筹股之间的溢出效应与信息流动。三是拓展了传统的对股市分割与一体化问题研究层面,即不仅限于市场分割性检验和价格差异原因探寻等微观层面的探讨,而是重点从宏观层面研究了中国股市一体化进程这一根本性问题。
The Chinese economy has gained rapid development since the reform and open-up about 30 years ago. With the market economy system preliminarily established, more attentions are paid to the quality of economic growth and some prominent problems such as the reform of financial market and market integration process. Compared with either the perfect competitive markets in theory or the matured financial markets in developed countries, some problems still exist in China. The most remarkable disadvantages of Chinese financial markets include its imperfection, incompleteness and segmentation, which greatly hurt the effectiveness of asset pricing and the efficiency of market operation. A lot of foreign research has been done on this issue since 1970s; these include testing the segmentation and integration of a specified market and explaining the stock price difference existing in segmented markets.
However, this kind of research is relatively weak and limited in China. Most of the domestic studies focused on the segmentation test, and the methods and models used in them are inaccurate or inadequacy. This leads to widely different opinions in explaining the stock price difference existing in segmented markets. Moreover, the integration progress, as a key problem, has not been studied yet by domestic researchers. This thesis tries to investigate the problem of the segmentation and integration progress of China’s stock markets, and attempts to find out the trace of the segmentation and integration progress as well as explore its intrinsic impelling force. This study is very important and useful in helping improve the efficiency of resource allocation and address some hot topics in our stock markets such as the reform of share-splitting reform, QFII and QDII systems and stock index futures.
We firstly discuss the basic development situations of China’s stock markets and introduce the background of our study, which gives a realistic logical beginning of this thesis. Secondly, we make a comprehensive literature review in related area to find the breakthrough point of our research, which provides a theoretical logical start point of this work. Thirdly, we construct models to analyze the trace of the segmentation and integration in China’s stock markets, and then test the influence of some significant actions in our market on the progress of market segmentation and integration. This facilitates us to find the theoretic and realistic basis for the corresponding policies for enhancing the market integration. Finally, we make some conclusions. Based on the fundamental principles in economics, finance and sociology, we carry out an empirical test and positive analysis for our problem by using some econometric and mathematic techniques.
The main results of this study include: (1) The China’s stock markets demonstrate two different progressing traces: the degree of integration becomes weaker and weaker in Shanghai stock market, while stronger and stronger in Shenzhen market. The average degree of integration from Jan. 1999 to Feb. 2007 in Shanghai market, 0.47, is relatively lower than that in Shenzhen stock market, which is 0.79. We conclude there is still a long way for the two markets to be fully integrated. (2) The degree of the integration of Shanghai and Shenzhen stock markets rose after the opening of the B-share market to domestic investors. The opening of the A-share market to foreign investors significantly improves the integration process of Shenzhen market, while has little effect on Shanghai market. (3) Along with the opening of the B-share market to domestic investors and the A-share market to foreign investors, and the implementation of the share-splitting reform, there is a one-side return spillover effect from the B-share to the A-share, that is, the return of the B-share market has an forecast effect on the return of the A-share market. (4) There is a one-side volatility spillover effect from the A-share to the B-share in Shanghai stock market; while a mutual volatility spillover effect between the A-share market and the B-share market in Shenzhen, which means information can flow from either market to the other. (5) There is a one-side information flow from red chips to B-share and from B-share to H-share in Shanghai market, the later of which, however, can not be observed in Shenzhen market. Since the Red Chips Stocks always play an overall leading role in the information flow, it functions as a wind-vane of the market information and has a stronger effect of information guide on B-share than H-share.
The innovations of the dissertation are listed as the following: Firstly, a regime-switching model is created to qualitatively portray the degree of the integration progress of the Chinese stock market. Secondly, a vector GARCH-M model is adoptted to analyze the spillover effects between A-shares and B-shares, which is based on the integration of analyzing retains and volatility of stock prices. Moreover, the thesis discusses the spillover effects and information flow among B- shares, H-shares, and Red Chip Stocks. Finally we study the problem of integration progress of Chinese stock markets from a macroscopical point of view, but not from a microcosmic vision as most existing research did, in which the discussion is limited in testing the segmentation and integration and explaining the stock price difference existing in segmented markets.
引文
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