中国股票市场波动的影响因素研究
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摘要
金融是经济发展的血液和重要支撑。股票市场作为金融市场的重要组成部分,在拓宽融资渠道、促进资本形成、优化资源配置、分散市场风险等方面发挥了不可替代的重要作用,成为支持经济社会持续健康发展的重要平台。但股票市场具有明显的波动性、复杂性、不确定性等特点,适度的股价波动有利于增加市场的活跃度,提高市场的流动性,但剧烈频繁的波动不仅会严重破坏市场的价格发现和资源配置功能,而且会影响宏观经济的正常运行。因此,研究影响股票市场波动的因素,并就相关问题提出政策建议,对维护金融市场的稳定运行和保持宏观经济平稳健康发展具有重要意义。
我国股票市场具有“新兴加转轨”的特征,波动较大。从其发展历史及现实特征看,影响其波动的因素较为复杂,其中,最重要的两个因素是金融政策变动和市场投资者的行为：各类金融政策的变动会对经济环境、市场流动性、投资者心理预期等产生不同程度的影响,进而造成股票市场的波动；而投资者对市场的影响则更加直接,一方面,投资者的风险偏好和投资行为将直接影响相关资产的交易价格,另一方面,风险也会通过众多投资者行为的变动而广泛传递。本文主要通过对各种金融政策、市场参与者行为与股价指数之间的相互关系进行研究,判断各相关因素对股票市场波动的影响特征,并在结合实证研究结果的基础上,进一步探讨降低我国股票市场异常波动的措施及政策建议。
本文首先回顾了国内外学者在该领域的研究成果,相关成果证明了本文研究的理论基础,并为本文的实证检验提供了方法支持。在此基础上,本文实证研究了金融政策公告对股票市场波动的影响。从金融政策的实施主体、实施目的及属性来看,利率政策公告与法定存款准备金率政策公告对股票市场的影响属于衍生性影响,具有间接性特征；而中国证监会的相关政策公告属于针对股票市场的直接政策公告,具有直接性特征。本文利用事件分析法分别对这两类金融政策与股票市场波动的关系进行了研究。与此同时,本文利用相关实证结果,选择指数调整法对股票市场指数收益进行了重排,以控制利率政策、法定存款准备金政策和证监会政策公告的影响,形成一个更加适合时间序列分析的变量,并通过SVAR模型进一步研究了具有连续变动特征的流动性冲击对股票市场波动的影响,从而较全面地研究了各类金融政策对股票市场运行的影响。而在投资者对股票市场波动影响研究方面,本文利用截面数据模型、面板数据模型分别研究了个人投资者、机构投资者与股票市场波动性的相互关系。同时,本文还对机构投资者进行了细分,将其划分为基金投资者、一般法人投资者与其他类型的机构投资者,并分别研究了它们对股票市场波动的影响。此外,本文还利用分位数的检验方法证明了相关结果的稳定性以及不同类型机构投资者与股票市场之间的“双向”影响效应。
本文的实证结果表明：无论是利率、法定存款准备金等具有间接性影响特征的政策还是中国证监会直接调控政策,都对股票市场的波动具有显著影响,但前者的影响力度大于后者；利率政策、法定存款准备金政策虽然都属于货币政策,但它们对股票市场波动的影响不尽相同。本文研究还发现,货币供给政策、央行票据发行政策和汇率政策等影响市场流动性的政策,都会对股票市场产生影响,但影响程度和持续时间存在一定差异。在微观投资者研究部分,本文无法确定个人投资者对股票市场运行所产生的影响；而不同类型的机构投资者,在不同市场运行阶段对股票市场波动的影响存在差别。相关模型及检验结果也证明了本文实证结果具有一定的稳健性。最后,本文在总结相关研究结论的基础上,从健全政策配合机制、改进市场监管体制、完善市场制度建设、壮大机构投资者、加强投资者教育和保护等方面提出了政策建议。
Finance is the lifeblood of the economic development and important support. As one of the most important parts of the financial system, stock market plays an irreplaceable role on expanding the financing channels, promoting the capital formation, optimizing the allocation of resources, dispersed the market risk, etc., becoming an important platform that supports sustainable and healthy development for economy and society. But stock market has obvious characteristics, such as volatility, complexity and uncertainty, moderate share price volatility is beneficial to increase activity in the market and increase market liquidity, while severe frequent fluctuations will not only disrupt the market price discovery and the resource allocation function seriously, but also affect the normal operation of the macro economy. Therefore, studying factors that affecting stock market volatility and putting forward policy suggestions on related issues has great significance on maintaining the stable operation of financial markets and keeping stable and healthy development of macro economy.
China's stock market has the characteristics of "emerging and retracking" and big volatility. Looking from its development history and realistic characteristics, factors that affecting the fluctuation is complicated. The most two important factors are macro-economy policy and micro-investment behavior. Macro-economy policy has effect on the economic environment, market liquidity and investor expectations from different level, then leading the volatility of stock market. However, the effect of micro-investment behavior is more directly, on one hand, investors' appetite for risk and investment behavior will affect the trading prices of related assets directly; on the other hand, risk can transfer to other markets through the investors' behavior widespread. This article is carried on research mainly through to the various financial policies, market participants' behavior and the relationship between stock index, determining the effects of related factors on the stock market volatility characteristics, and exploring the measures of abnormal fluctuations in China's stock market and policy recommendations deeply in combination with empirical research results.
This paper firstly reviews the literatures of scholars at home and abroad in this research field, and gives theoretical foundation about this paper, some literatures provides motivation on the methodology of the empirical study. Then this paper makes studies on the relationship between policy announcement and the volatility of stock market with ESM. From implementation of the subject of financial policy, purpose and property, interest rate policy announcement and statutory reserve ratio policy announcement that effect on stock market is the derivative effect, which has indirect characteristics; and the policies that to the stock market directly of China Securities Regulatory Commission are the direct policies and have the characteristics of directness. This paper is studied on relationship between the two types of financial policy and stock market volatility respectively by using event analysis method. Meanwhile, based on the results, this paper re-arranges the index return by using indexation to control interest rate policy, legal deposit reserve and the securities and policy announcement and get a new time series data for the SVAR model to analysis the effect of continuity policy changing on the volatility. On the aspect of Micro investment behavior, this paper makes studies on the effect of the behavior changing of Institutional investors and individual investors with panel data. In order to show more confidence conclusions, this paper divides the institutional investors into mutual fund, Social Security Fund and other funds, and studies their effect on stock market volatility separately. Meanwhile, this paper provides the evidence of the robustness of the results and the interaction influence between institutional investors and stock market volatility.
The results show that macro-economy policy changing has great impact on stock market volatility and the expectation is the most important intermediary. The paper finds that the indirect policy announcement has more great impact on stock market volatility than direct one and the effect of continuity polices is robust and stationary. On the aspect of Micro investment behavior, this paper shows that the investor behavior has different effects on the volatility when the market is in different cycles, and this conclusion can be also indicated after dividing the. institutional investors into different parts. At last, following the conclusions, this paper provides the policy suggestions on the aspects of perfecting policy cooperation mechanism, improving market supervision system, completing the market system construction, strengthening institutional investors and increasing the investors' education and protection.
我国股票市场具有“新兴加转轨”的特征,波动较大。从其发展历史及现实特征看,影响其波动的因素较为复杂,其中,最重要的两个因素是金融政策变动和市场投资者的行为：各类金融政策的变动会对经济环境、市场流动性、投资者心理预期等产生不同程度的影响,进而造成股票市场的波动；而投资者对市场的影响则更加直接,一方面,投资者的风险偏好和投资行为将直接影响相关资产的交易价格,另一方面,风险也会通过众多投资者行为的变动而广泛传递。本文主要通过对各种金融政策、市场参与者行为与股价指数之间的相互关系进行研究,判断各相关因素对股票市场波动的影响特征,并在结合实证研究结果的基础上,进一步探讨降低我国股票市场异常波动的措施及政策建议。
本文首先回顾了国内外学者在该领域的研究成果,相关成果证明了本文研究的理论基础,并为本文的实证检验提供了方法支持。在此基础上,本文实证研究了金融政策公告对股票市场波动的影响。从金融政策的实施主体、实施目的及属性来看,利率政策公告与法定存款准备金率政策公告对股票市场的影响属于衍生性影响,具有间接性特征；而中国证监会的相关政策公告属于针对股票市场的直接政策公告,具有直接性特征。本文利用事件分析法分别对这两类金融政策与股票市场波动的关系进行了研究。与此同时,本文利用相关实证结果,选择指数调整法对股票市场指数收益进行了重排,以控制利率政策、法定存款准备金政策和证监会政策公告的影响,形成一个更加适合时间序列分析的变量,并通过SVAR模型进一步研究了具有连续变动特征的流动性冲击对股票市场波动的影响,从而较全面地研究了各类金融政策对股票市场运行的影响。而在投资者对股票市场波动影响研究方面,本文利用截面数据模型、面板数据模型分别研究了个人投资者、机构投资者与股票市场波动性的相互关系。同时,本文还对机构投资者进行了细分,将其划分为基金投资者、一般法人投资者与其他类型的机构投资者,并分别研究了它们对股票市场波动的影响。此外,本文还利用分位数的检验方法证明了相关结果的稳定性以及不同类型机构投资者与股票市场之间的“双向”影响效应。
本文的实证结果表明：无论是利率、法定存款准备金等具有间接性影响特征的政策还是中国证监会直接调控政策,都对股票市场的波动具有显著影响,但前者的影响力度大于后者；利率政策、法定存款准备金政策虽然都属于货币政策,但它们对股票市场波动的影响不尽相同。本文研究还发现,货币供给政策、央行票据发行政策和汇率政策等影响市场流动性的政策,都会对股票市场产生影响,但影响程度和持续时间存在一定差异。在微观投资者研究部分,本文无法确定个人投资者对股票市场运行所产生的影响；而不同类型的机构投资者,在不同市场运行阶段对股票市场波动的影响存在差别。相关模型及检验结果也证明了本文实证结果具有一定的稳健性。最后,本文在总结相关研究结论的基础上,从健全政策配合机制、改进市场监管体制、完善市场制度建设、壮大机构投资者、加强投资者教育和保护等方面提出了政策建议。
Finance is the lifeblood of the economic development and important support. As one of the most important parts of the financial system, stock market plays an irreplaceable role on expanding the financing channels, promoting the capital formation, optimizing the allocation of resources, dispersed the market risk, etc., becoming an important platform that supports sustainable and healthy development for economy and society. But stock market has obvious characteristics, such as volatility, complexity and uncertainty, moderate share price volatility is beneficial to increase activity in the market and increase market liquidity, while severe frequent fluctuations will not only disrupt the market price discovery and the resource allocation function seriously, but also affect the normal operation of the macro economy. Therefore, studying factors that affecting stock market volatility and putting forward policy suggestions on related issues has great significance on maintaining the stable operation of financial markets and keeping stable and healthy development of macro economy.
China's stock market has the characteristics of "emerging and retracking" and big volatility. Looking from its development history and realistic characteristics, factors that affecting the fluctuation is complicated. The most two important factors are macro-economy policy and micro-investment behavior. Macro-economy policy has effect on the economic environment, market liquidity and investor expectations from different level, then leading the volatility of stock market. However, the effect of micro-investment behavior is more directly, on one hand, investors' appetite for risk and investment behavior will affect the trading prices of related assets directly; on the other hand, risk can transfer to other markets through the investors' behavior widespread. This article is carried on research mainly through to the various financial policies, market participants' behavior and the relationship between stock index, determining the effects of related factors on the stock market volatility characteristics, and exploring the measures of abnormal fluctuations in China's stock market and policy recommendations deeply in combination with empirical research results.
This paper firstly reviews the literatures of scholars at home and abroad in this research field, and gives theoretical foundation about this paper, some literatures provides motivation on the methodology of the empirical study. Then this paper makes studies on the relationship between policy announcement and the volatility of stock market with ESM. From implementation of the subject of financial policy, purpose and property, interest rate policy announcement and statutory reserve ratio policy announcement that effect on stock market is the derivative effect, which has indirect characteristics; and the policies that to the stock market directly of China Securities Regulatory Commission are the direct policies and have the characteristics of directness. This paper is studied on relationship between the two types of financial policy and stock market volatility respectively by using event analysis method. Meanwhile, based on the results, this paper re-arranges the index return by using indexation to control interest rate policy, legal deposit reserve and the securities and policy announcement and get a new time series data for the SVAR model to analysis the effect of continuity policy changing on the volatility. On the aspect of Micro investment behavior, this paper makes studies on the effect of the behavior changing of Institutional investors and individual investors with panel data. In order to show more confidence conclusions, this paper divides the institutional investors into mutual fund, Social Security Fund and other funds, and studies their effect on stock market volatility separately. Meanwhile, this paper provides the evidence of the robustness of the results and the interaction influence between institutional investors and stock market volatility.
The results show that macro-economy policy changing has great impact on stock market volatility and the expectation is the most important intermediary. The paper finds that the indirect policy announcement has more great impact on stock market volatility than direct one and the effect of continuity polices is robust and stationary. On the aspect of Micro investment behavior, this paper shows that the investor behavior has different effects on the volatility when the market is in different cycles, and this conclusion can be also indicated after dividing the. institutional investors into different parts. At last, following the conclusions, this paper provides the policy suggestions on the aspects of perfecting policy cooperation mechanism, improving market supervision system, completing the market system construction, strengthening institutional investors and increasing the investors' education and protection.
引文
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