【作者】 陈静；

【导师】 宋玉华；

【作者基本信息】 浙江大学 ， 政治经济学， 2004， 博士

【摘要】 在全球金融自由化的大背景下，20世纪80年代末90年代初，新兴证券市场开放出现了明显的加速趋势。实践证明，新兴证券市场开放，一方面可以促进金融发展、繁荣投资，推动经济增长；另一方面，也容易加剧市场波动，传导外部冲击，引发金融危机。 现有的多数理论和实证研究认为，证券市场开放具有促进新兴市场国家(地区)实体经济增长的经济增长效应。本文对新兴证券市场开放增长效应的发生机制进行了分析，发现开放经济增长效应的80％来源于开放后证券市场的自身发展以及私人实际投资的增加。即新兴证券市场开放通过降低股权资本成本、促进自身发展和繁荣实际私人投资，间接作用于东道国国民经济增长。但是，开放对促进证券市场本身发展和投资繁荣的贡献是暂时的，一般在开放后的第三年或第四年就会消失，并进而导致开放增长效应随之消失。因此，新兴证券市场的开放增长效应是暂时的，不能永续存在。新兴证券市场开放只能促使东道国的国民经济在一个较高的水平重新实现均衡。与此同时，金融全球化的压力、国际组织的推动，以及技术进步和金融创新下“管不住的无奈”，也都推动着新兴市场国家(地区)不得不走上对外开放国内证券市场的道路。 由于新兴市场国家(地区)的经济实力相对弱小，在国际金融体系和国际资本流动中处于弱势地位，因此在开放过程中面临着巨大的风险。开放风险可以具体分为两类，一类是由国际短期资本自由流动引起的直接风险；另一类是间接风险，主要包括：政策约束加大的风险、国内金融脆弱性上升的风险、国外市场波动溢入的风险以及国内证券经营机构难以抵御国际竞争的风险。对外开放后，国际短期资本流动对新兴市场国家(地区)的影响最直接地表现在证券市场收益的波动性上。本文选择了14个有代表性的新兴市场开放国(地区)，在同一时间区间内(1984年12月至2000年3月)，实证考察开放前后收益波动性的变化，并以此计量开放风险。研究结果显示，新兴证券市场开放并不必然导致收益波动性上升。新兴证券市场开放后，收益的波动性可能上升，但也可能下降或维持不变，主要取决于样本国的市场基础设施。进一步的研究发现：与开放后收益波动性下降的样本组相比，开放后收益波动性上升的样本组存在低市场透明度、投资者保护力度不足和高市场退出壁垒等市场基础设施方面的缺陷。也就是说，新兴证券市场开放风险的大小最终取决于开放国国内的市场基础设施是否完善。因此，为了尽可能地减小开放风险，新兴市场国家(地区)就必须在对外开放国内证券市场前事先建成这些必备的市场基础设施，或满足这些必要的前提条件。既然开放趋势不可扭转，开放过程又充满风险性，作为新兴市场国家(地区)当务之急就是对风险防范制度作出详细安排。本文分别从开放前提条件、内部监管制度改进充实以及外部攻击防御三个方面展开详细论述。 本文在现有研究的基础上，将新兴证券市场开放的前提条件概括为三类：稳定的宏观经济环境、足够大的金融市场规模以及良好的社会制度环境，并构建了相应的前提条件指标。本文以1980-2000年间开放的20个国家和地区为样本，比较这些国家和地区开放前的初始宏观经济水平、金融市场规模以及制度建设情况。通过引入前提条件指标和基础控制变量，建立研究开放增长效应与开放前提条件间相互关系的多因素回归模型。回归结果显示:开放国或地区开放前国内证券市场规模的大小是决定开放增长效应是否存在的前提。合理的制度安排与良好的宏观经济环境，表现为高人均国民生产总值、高合同执行率、低通货膨胀与低国家信用风险，对证券市场开放的增长效应都有显著强化作用。 证券市场开放后，外国投资者和外国资本大量涌入，如何防止市场过度投机和过度波动己成为新兴市场国家(地区)政府面临的艰难课题。加强证券市场监管，无疑是解决这一难题的主要出路。证券市场的开放与国际化对新兴市场国家 (地区)的证券监管提出了更高的要求，新兴证券市场的监管制度应当及时改革以获得足够的资源和能力防范开放风险。证券监管制度改革的主要内容包括:建立市场风险预警系统、针对开放风险防范要求对监管方法和监管条例进行改进与充实以及积极主动地参与国际证券监管协作。 国际游资的逐利性和对冲基金的寻弱攻击策略是诱发新兴证券市场开放风险的外部冲击源。从理论上看，对国际游资和对冲基金的监管可以分为母国监管、东道国监管以及国际监管三个层次，而且母国监管和国际监管会相对更加有效。但是，在具体的监管实践中，由于各民族国家的利益相对分立，母国监管十分薄弱，国际监管也难以开展。新兴市场国家(地区)在防御外部冲击时，最终只能依靠自身东道国监管的强化。本文从新兴市场国家(地区)的角度出发，阐述了新兴市场国家(地区)对国际游资和对冲基金监管的主要方面，其中QFll作为一种创新的管制制度，对印度、韩国、台湾等国家与地区的证券市场开放起到了良好的推动作用，并能够依次带来投资理念引入、增量资金流入和国际化等方面的正向效应。 最后，本文转入对中国证券市场开放问题的研究，通过对中国证券市场发展水平和开放度更多还原

【Abstract】 During the last two decades, many emerging markets have opened their domestic stock markets to foreign investors. Emerging stock markets opening inheres twoness: On one hand, emerging stock markets opening promotes financial development, therefore accelerate the economic growth; on the other hand, emerging stock markets opening aggravates market fluctuation, and triggers the crisis and depression.Empirical analysis confirms a positive temporary effect of stock markets opening on real GDP growth. And the regression result suggests that more than 80 percent of the opening effect should be attribute to the beneficial effects on real private investment and financial development. Furthermore,under the pressure of financial globalization, emerging stock markets opening is unavoidable.Emerging stock markets face large opening risk, which can be divided into two catalogs: direct risk and indirect risk. After opening, the influence of short-term capital movement can be measured by the stock return volatility. This paper uses an asymmetric GARCH methodology to examine the effect of stock market opening on stock return volatility for fourteen emerging markets for the period December 1984-March 2000. We find the volatility may decrease,increase, or remain unchanged due to opening. In addition, counties that experienced higher post-opening volatility can be different by market characteristics such as lower market transparency, lower investor protection, and higher market exit restrictions.Concerning preventing opening risk, this paper discussed it from three aspects: the precondition of opening, the advance of interior regulation system and the defensive of external attack.Using annual data from 1975 to 2000, we take a sample of 20 countries that opened their stock markets between 1980 and 2000. For comparison, we document their macroeconomic environment in the period leading up to the opening. We suppose there are three kinds of prerequisite of emerging stock opening: stable macroeconomic environment, big financial market and good social system. In the growth regression, we create the dummy variable, benchmark controls and special controls suggested by theory, using panel data estimation. In our study, we found that a large stock market captured by a high market capitalization ratio has an independent positive growth effect. The most significant institutional variables for the success of opening are thecontract enforceability and the nationalization risks. Results indicate that the benefits of opening are higher in countries that have improved their institutional framework prior to opening.For a mass of foreign investors and capital will swarm into the emerging stock markets after its opening, how to prevent excessive speculation became a critical task to these countries. Undoubtedly, strengthen the stock market regulation is the one and only resolution to solve this problem. The regulation system of emerging stock markets should timely advance to prevent opening risk, which includes: establishing alarm system, improving regulation system in detail and participating in international association of stock market regulation.Hot money and hedge fund are the two external shocks to induce opening risk of emerging stock markets. In this paper, standing for the benefits of the emerging markets, we introduce the primary content of the monitor of hot money and hedge fund. QFII, as a regulation innovation system, promote the stock market opening of India, Korea and Taiwan, and can bring rational investment conceptions, increment capital and internationalization ordinally.Finally, we concern about the opening of Chinese stock market. Through the international comparison of the development level of Chinese stock market, we found that Chinese stock market is provided with some opening prerequisites, but not all prerequisites, such as real market capitalization ratio,real GDP per capita. In addition, a few problems, such as equity partition, poor quality of listed companies and high fragility of financial system, may cause large更多还原