股权分置改革后的大小非减持对股市的影响研究
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摘要
2005年开始的股权分置改革是我国资本市场的一次重大变革。它结束了过去股权分置的状态,真正意义上赋予了股票市场融资、定价和资源配置的功能。股票市场不但成为了实体经济的“晴雨表”,借助我国经济的快速发展掀起了一场如火如荼的大牛市,而且也可以更好的服务于实体经济,有效率的资本市场为优化企业治理结构、拓宽企业融资渠道、优化国有资本配置等一系列后续的改革提供了先决条件。
实际效果是检验政策的唯一标准,站在2009年初这个时点上,对股权分置改革的功过是非做一番评价应该是合适的。2008年,美国的次贷问题引爆了自上世纪30年代以来最严重的经济危机,世界经济由高通胀转变为大衰退,虽然我国经济的内在活力和特殊制度因素具有强大的抵抗力,但是作为一个经济对外依存度高达60%的大国,要想独善其身,也是不可能的。当股权分置改革带来的限售股解禁遇到现在国内外严峻的宏观经济形势,一些问题暴露了出来。限售股解禁数量在08年逐渐放大,股指在宏观经济下行的影响下持续下跌,最低位比2007年高点跌幅72%,位列全球主要股市跌幅之首。我们不禁怀疑,限售股解禁到底对股市有多大的影响,当年的股权分置改革是不是留下了漏洞。本文首先通过对比股改前后的市场变化,肯定股改是成功的,之后从大小非减持动机方面指出,小非的减持意愿要强于大非,是造成市场压力的主要来源;从股票供需理论方面,指出股票需求曲线与普通商品需求曲线的不同,短期内股票供给和需求不能像普通商品一样,存在一个通过价格调节自我平衡的机制;从非理性投资者的行为特点方面,明确了当前我国股票市场投资者主体是损失规避的、非理性的投资者,大小非也是非理性投资者的一部分,其行为加剧了股市的暴涨暴跌。运用计量分析,确定了目前影响股市的主要因素是国际经济形势、限售股解禁和国内宏观经济运行,得到2007年到2008年下半年的时间里限售股每解禁100亿股,股指平均下跌7%的粗略估计。
确定了限售股解禁对目前股市影响,下面的问题是采取怎样的措施来弥补股改政策的漏洞。吸取世界上其他国家和地区股市扩容的经验和教训,本文提出了政策设计上的漏洞——限售期的设置失误,另外也提出了在机构投资者建设方面的不足之处。当前最根本的任务还是要保持我国经济的长期、健康、高速的发展,只要能做到这一点,那么股市一定可以回到合理的水平。自2008年9月,证监会就无限期的暂停了IPO审核,创业板的推出也遥不可期,在中小企业最需要资金支持的时候,我们的资本市场融资却陷入瘫痪的状态。所以笔者建议直接采取措施改变目前股票市场的供求失衡,直接推出平准基金入市,并且具体设计了平准基金的方案。
Non-tradable share reform occurred in 2005 is a major change to China's capital market. It ends the state of share-splited, and grants the stock market functions of financing, pricing and allocation of resources. The stock market has become the "barometer" of real economy. And with rapid development of China's economy, there was a major bull market. At the same time, it can serve for the real economic better. The efficient capital market provides a prerequisite for a series of problems, such as optimizing the structure of corporate governance, broadening the financing channels for enterprises and optimizing the allocation of state-owned capital.
It is reasonable to evaluate the Non-tradable share reform in 2008, as the fact is the only criterion for testing policy. The sub-loan problem in USA has cause the most serious financial crisis since the 1930s. The world economy has transferred from high inflation into a major recession. Although China's economic vitality and the internal political system of special factors make our country has stronger resistance, it is also inevitable to get rid of affection. When the tradable shares after the non-tradable share reform encounter serious macro-economic situation, some problems are exposed. The stock indexes of China fell nearly 70% from the high-point in 2007, which is the widest range in the world.
A question emerges, whether there is a loophole in the Non-tradable share reform. In this paper, I claim that the Reform is a success by comparing the features of capital market before and after Non-tradable share reform. No-tradable shareholders of small size, whose wish to sold the shares is stronger than that of big size, is the source of pressure of the stock market. The demanding-curve for shares is different from that for normal goods. There is no mechanism to make the market in balance through conditioning price. Most investors, who are Irrational, always avoid any loss in the any minute. Non-tradable shareholders of small size are a kind of the above investors, whose behavior leads to the instability of the stock market. In this paper, I prove that the three factors affecting the stock market mostly are International economic situation, the sale of restricted shares and Domestic economic situation. With some econometrics Analysis, I get that there is approximately 7% falls of the stock index after 10 trillion no-tradable shares are out of ban.
How can we make up the loopholes left by non-tradable share reform? By the comparison with other countries' experience, I think the loopholes lies in the limited period and the failure in the construction of institutional investors. In this moment, the most important task is to keep our country's economy healthy and fast-developing. Then the stock index will also return to a reasonable level. But this process must be hardship and a long term. So I advise to launch a Stabilization Fund to balance the supply and the demand in the stock market. Also I devise the specific program for the Stabilization Fund.
实际效果是检验政策的唯一标准,站在2009年初这个时点上,对股权分置改革的功过是非做一番评价应该是合适的。2008年,美国的次贷问题引爆了自上世纪30年代以来最严重的经济危机,世界经济由高通胀转变为大衰退,虽然我国经济的内在活力和特殊制度因素具有强大的抵抗力,但是作为一个经济对外依存度高达60%的大国,要想独善其身,也是不可能的。当股权分置改革带来的限售股解禁遇到现在国内外严峻的宏观经济形势,一些问题暴露了出来。限售股解禁数量在08年逐渐放大,股指在宏观经济下行的影响下持续下跌,最低位比2007年高点跌幅72%,位列全球主要股市跌幅之首。我们不禁怀疑,限售股解禁到底对股市有多大的影响,当年的股权分置改革是不是留下了漏洞。本文首先通过对比股改前后的市场变化,肯定股改是成功的,之后从大小非减持动机方面指出,小非的减持意愿要强于大非,是造成市场压力的主要来源;从股票供需理论方面,指出股票需求曲线与普通商品需求曲线的不同,短期内股票供给和需求不能像普通商品一样,存在一个通过价格调节自我平衡的机制;从非理性投资者的行为特点方面,明确了当前我国股票市场投资者主体是损失规避的、非理性的投资者,大小非也是非理性投资者的一部分,其行为加剧了股市的暴涨暴跌。运用计量分析,确定了目前影响股市的主要因素是国际经济形势、限售股解禁和国内宏观经济运行,得到2007年到2008年下半年的时间里限售股每解禁100亿股,股指平均下跌7%的粗略估计。
确定了限售股解禁对目前股市影响,下面的问题是采取怎样的措施来弥补股改政策的漏洞。吸取世界上其他国家和地区股市扩容的经验和教训,本文提出了政策设计上的漏洞——限售期的设置失误,另外也提出了在机构投资者建设方面的不足之处。当前最根本的任务还是要保持我国经济的长期、健康、高速的发展,只要能做到这一点,那么股市一定可以回到合理的水平。自2008年9月,证监会就无限期的暂停了IPO审核,创业板的推出也遥不可期,在中小企业最需要资金支持的时候,我们的资本市场融资却陷入瘫痪的状态。所以笔者建议直接采取措施改变目前股票市场的供求失衡,直接推出平准基金入市,并且具体设计了平准基金的方案。
Non-tradable share reform occurred in 2005 is a major change to China's capital market. It ends the state of share-splited, and grants the stock market functions of financing, pricing and allocation of resources. The stock market has become the "barometer" of real economy. And with rapid development of China's economy, there was a major bull market. At the same time, it can serve for the real economic better. The efficient capital market provides a prerequisite for a series of problems, such as optimizing the structure of corporate governance, broadening the financing channels for enterprises and optimizing the allocation of state-owned capital.
It is reasonable to evaluate the Non-tradable share reform in 2008, as the fact is the only criterion for testing policy. The sub-loan problem in USA has cause the most serious financial crisis since the 1930s. The world economy has transferred from high inflation into a major recession. Although China's economic vitality and the internal political system of special factors make our country has stronger resistance, it is also inevitable to get rid of affection. When the tradable shares after the non-tradable share reform encounter serious macro-economic situation, some problems are exposed. The stock indexes of China fell nearly 70% from the high-point in 2007, which is the widest range in the world.
A question emerges, whether there is a loophole in the Non-tradable share reform. In this paper, I claim that the Reform is a success by comparing the features of capital market before and after Non-tradable share reform. No-tradable shareholders of small size, whose wish to sold the shares is stronger than that of big size, is the source of pressure of the stock market. The demanding-curve for shares is different from that for normal goods. There is no mechanism to make the market in balance through conditioning price. Most investors, who are Irrational, always avoid any loss in the any minute. Non-tradable shareholders of small size are a kind of the above investors, whose behavior leads to the instability of the stock market. In this paper, I prove that the three factors affecting the stock market mostly are International economic situation, the sale of restricted shares and Domestic economic situation. With some econometrics Analysis, I get that there is approximately 7% falls of the stock index after 10 trillion no-tradable shares are out of ban.
How can we make up the loopholes left by non-tradable share reform? By the comparison with other countries' experience, I think the loopholes lies in the limited period and the failure in the construction of institutional investors. In this moment, the most important task is to keep our country's economy healthy and fast-developing. Then the stock index will also return to a reasonable level. But this process must be hardship and a long term. So I advise to launch a Stabilization Fund to balance the supply and the demand in the stock market. Also I devise the specific program for the Stabilization Fund.
引文
1 傅子恒,股权分置改革全接触,经济管理出版社,2006.3
2 刘俊民,伍超明,虚拟经济和实体经济关系模型经济研究,上海经济研究,2004(4)
3 伍志文,周建军,股经背离的存在性之争及其实证检验财经研究,2005(3)
4 李礼,洪源,我国上市公司业绩与股票价格之间关系的实证研究.经济问题探索,2005(9)
5 李青原,不能以股价来判断股权分置改的成败,上海证券报,2005.7.25
6 刘纪鹏,要以股价论成败,国际金融报,2005.7.26
7 李红艳,江涛,中国股市价格与货币供应量关系的实证分析预测,经济研究2000(3)
8 刘晃松,货币供应量对股票市场的影响研究,上海经济研究,2004(10)
9 余明桂等,我国股票市场与货币政策互动关系的实证分析,金融与经济,2003(9)
10 奈学雷,国有股流通对股市影响的数量分析,上海经济研究 2000.10
11 綦缚鹏,股权分置改革后的非流通股减持行为及减持压力研究,华林证券有限责任公司,2005
12 Daniel Kahneman and Amos Tversky:"Prospect theory:An Analysis of Decision under Risk" Econometrica,Vol.47,No.2(Mar.,1979),pp.263-291
13 Matthew Rabin and Richard H.Thaler:"Risk Aversion" The Journal of Economic Perspectives,Vol.15,No.1(Winter,2001),pp.219-232
14 Shlomo Benartzi and Richard H.Thaler:"Myopic Loss Aversion and the Equity Premium Puzzle" The Quarterly Journal of Economics,Vol.110,No.1(Feb,1995),pp.73-92
15 Nicholas Barberis,Ming Huang,Tano Santos:"Prospect Theory and Asset Prices" The Quarterly Journal of Economics,Vol.116,No.1(Feb,2000),pp.1-53
16 Shlomo Benartzi and Richard H.Thaler:"Myopic Loss Aversion and the Equity Premium Puzzle" The Quarterly Journal of Economics,Vol.110,No.1(Feb,1995),pp.73-92
17 贺京同,霍焰,投资者行为、实物经济与资产价格(J),财经问题研究,2005.11
18 参照王一萱,国际经验减持国有股 上海证券报2001.11.13
19 方星海,曾刚,利用ETF降低股权分置解决后市场的不确定性(R),上海:上海证券交易所,2005
张鸿羽.从盈富基金模式看国有股流通IRI.广东(R),广发证券股份有限公司,2003
[1]Daniel Kahneman and Amos Tversky:"Prospect theory:An Analysis of Decision under Risk" Econometrica,Voi.47,No.2(Mar.,1979),pp.263-291
[2]Matthew Rabin and Richard H.Thaler:"Risk Aversion" The Journal of Economic Perspectives,Vol.15,No.1(Winter,2001),pp.219-232
[3]Shlomo Benartzi and Richard H.Thaler:"Myopic Loss Aversion and the Equity Premium Puzzle"The Quarterly Journal of Economics,Vol.110,No.1(Feb,1995),pp.73-92
[4]Nicholas Barberis,Ming Huang,Tano Santos:"Prospect Theory and Asset Prices"The Quarterly Journal of Economics,Vol.116,No.1(Feb,2000),pp.1-53
[5]Tversky,Amos and Daniel Kahneman,1981:"The Framing of Decisions and the Psychology of Choice" Science.211,pp.453-58.
[6]Manldw,N.G.and S.Zeldes,1991:"The Consumption of Stockholders and Nonstockholders." Journal of Financial Economics 29:1,pp.97-112.
[7]傅子恒,股权分置改革全接触,经济管理出版社,2006.3
[8]刘俊民,伍超明,虚拟经济和实体经济关系模型经济研究,上海经济研究,2004(4)
[9]伍志文,周建军,股经背离的存在性之争及其实证检验财经研究,2005(3)
[10]李礼,洪源,我国上市公司业绩与股票价格之间关系的实证研究.经济问题探索,2005(9)
[11]李青原,不能以股价来判断股权分置改的成败,上海证券报,2005.7.25
[12]刘纪鹏,要以股价论成败,国际金融报,2005.7.26
[13]吴晓求,股权分置改后的中国资本市场,中国人民大学出版社,2006(1)
[14]李红艳,江涛,中国股市价格与货币供应量关系的实证分析预测,经济研究2000(3)
[15]孙华好,马跃,中国货币政策与股票市场的关系,经济研究,2003(7)
[16]刘晃松,货币供应量对股票市场的影响研究,上海经济研究,2004(10)
[17]余明桂等,我国股票市场与货币政策互动关系的实证分析,金融与经济, 2003(9)
[18]刘慧勇,国有股流通化探讨,金融研究,2002.2
[19]奈学雷,国有股流通对股市影响的数量分析,上海经济研究2000.10
[20]王一萱,参照国际经验减持国有股 上海证券报2001.11.13
[21]周华敏,股权分置改革的回顾与反思,限售股解禁对股票市场的影响 资本市场2008.5
[22]倪克勤,大小非解禁时机选择问题的探讨,西南金融,2008/03
[23]袁丽胜,从供求关系解读股票交易价格,经济问题探索,2005(4)
[24]綦缚鹏,股权分置改革后的非流通股减持行为及减持压力研究,华林证券有限责任公司,2005
[25]吴淑瑶,部峰,全流通预期下的股改扩容与价格压力实证研究,海通证券股份有限公司,2006:
[26]赵俊强,李湛,股权分置改革与股票全流通:一个基于需求价格理论的分析 生产力研究,2007.11
[27]方星海,曾刚,利用ETF降低股权分置解决后市场的不确定性(R),上海:上海证券交易所,2005
[28]张鸿羽,从盈富基金模式看国有股流通IRI.广东(R),广发证券股份有限公司,2003
[29]贺京同,霍焰,投资者行为、实物经济与资产价格(J),财经问题研究,2005.11
[30]中国人民银行网站,www.pbc.gov.cn
[31]中国证券登记结算有限责任公司网站,www.chinaclear.cn
[32]中国海关网站,www.customs.gov.cn [33]中国证监会网站,www.csrc.gov.cn
[34]证券之星网站,www.stockstar.com
2 刘俊民,伍超明,虚拟经济和实体经济关系模型经济研究,上海经济研究,2004(4)
3 伍志文,周建军,股经背离的存在性之争及其实证检验财经研究,2005(3)
4 李礼,洪源,我国上市公司业绩与股票价格之间关系的实证研究.经济问题探索,2005(9)
5 李青原,不能以股价来判断股权分置改的成败,上海证券报,2005.7.25
6 刘纪鹏,要以股价论成败,国际金融报,2005.7.26
7 李红艳,江涛,中国股市价格与货币供应量关系的实证分析预测,经济研究2000(3)
8 刘晃松,货币供应量对股票市场的影响研究,上海经济研究,2004(10)
9 余明桂等,我国股票市场与货币政策互动关系的实证分析,金融与经济,2003(9)
10 奈学雷,国有股流通对股市影响的数量分析,上海经济研究 2000.10
11 綦缚鹏,股权分置改革后的非流通股减持行为及减持压力研究,华林证券有限责任公司,2005
12 Daniel Kahneman and Amos Tversky:"Prospect theory:An Analysis of Decision under Risk" Econometrica,Vol.47,No.2(Mar.,1979),pp.263-291
13 Matthew Rabin and Richard H.Thaler:"Risk Aversion" The Journal of Economic Perspectives,Vol.15,No.1(Winter,2001),pp.219-232
14 Shlomo Benartzi and Richard H.Thaler:"Myopic Loss Aversion and the Equity Premium Puzzle" The Quarterly Journal of Economics,Vol.110,No.1(Feb,1995),pp.73-92
15 Nicholas Barberis,Ming Huang,Tano Santos:"Prospect Theory and Asset Prices" The Quarterly Journal of Economics,Vol.116,No.1(Feb,2000),pp.1-53
16 Shlomo Benartzi and Richard H.Thaler:"Myopic Loss Aversion and the Equity Premium Puzzle" The Quarterly Journal of Economics,Vol.110,No.1(Feb,1995),pp.73-92
17 贺京同,霍焰,投资者行为、实物经济与资产价格(J),财经问题研究,2005.11
18 参照王一萱,国际经验减持国有股 上海证券报2001.11.13
19 方星海,曾刚,利用ETF降低股权分置解决后市场的不确定性(R),上海:上海证券交易所,2005
张鸿羽.从盈富基金模式看国有股流通IRI.广东(R),广发证券股份有限公司,2003
[1]Daniel Kahneman and Amos Tversky:"Prospect theory:An Analysis of Decision under Risk" Econometrica,Voi.47,No.2(Mar.,1979),pp.263-291
[2]Matthew Rabin and Richard H.Thaler:"Risk Aversion" The Journal of Economic Perspectives,Vol.15,No.1(Winter,2001),pp.219-232
[3]Shlomo Benartzi and Richard H.Thaler:"Myopic Loss Aversion and the Equity Premium Puzzle"The Quarterly Journal of Economics,Vol.110,No.1(Feb,1995),pp.73-92
[4]Nicholas Barberis,Ming Huang,Tano Santos:"Prospect Theory and Asset Prices"The Quarterly Journal of Economics,Vol.116,No.1(Feb,2000),pp.1-53
[5]Tversky,Amos and Daniel Kahneman,1981:"The Framing of Decisions and the Psychology of Choice" Science.211,pp.453-58.
[6]Manldw,N.G.and S.Zeldes,1991:"The Consumption of Stockholders and Nonstockholders." Journal of Financial Economics 29:1,pp.97-112.
[7]傅子恒,股权分置改革全接触,经济管理出版社,2006.3
[8]刘俊民,伍超明,虚拟经济和实体经济关系模型经济研究,上海经济研究,2004(4)
[9]伍志文,周建军,股经背离的存在性之争及其实证检验财经研究,2005(3)
[10]李礼,洪源,我国上市公司业绩与股票价格之间关系的实证研究.经济问题探索,2005(9)
[11]李青原,不能以股价来判断股权分置改的成败,上海证券报,2005.7.25
[12]刘纪鹏,要以股价论成败,国际金融报,2005.7.26
[13]吴晓求,股权分置改后的中国资本市场,中国人民大学出版社,2006(1)
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