中国证券市场的效率与风险研究

【作者】 李素明；

【导师】 王锡桐； 冉光和；

【作者基本信息】 西南农业大学 ， 农业经济及管理， 2001， 博士

【摘要】 中国证券市场作为中国经济体制改革的重要工具和载体，诞生于中国经济从计划体制向市场体制转轨的宏观背景之下，已经成为社会主义市场经济框架中一个不可或缺的组成部分。中国证券市场的产生和发展是经济改革的内在要求，在中国经济20年来的改革与发展中发挥了非常重要的作用。然而，由于中国的证券市场脱胎于计划经济体制，先天地带有一些计划经济所遗留下来的体制性缺陷，加之发展时间短，速度快，在各个层面上都存在一些较为突出的问题，严重制约了证券市场作用的充分发挥。迄今，中国证券市场仍然处于较低层次的发展阶段，其突出的特点是低效率和高风险。较低的效率影响了证券市场资源配置职能的发挥；而证券市场积累起来的较高风险如果不能得到有效的控制，必将对整个金融市场的稳定和宏观经济的发展构成威胁。 在国际证券市场研究中，对效率与风险的研究始终处于核心地位，因为证券市场的效率高低代表着证券市场不同的发展阶段，也决定着证券市场的风险性质和风险水平，而效率与风险又决定了证券市场上的投资者、发行者、交易中介以及监管者在市场上的行为方式，从而最终决定了证券市场的性质、功能、实践绩效和发展前景。同样，对中国证券市场效率与风险的研究是客观界定中国证券市场所处发展阶段和评价其风险水平，并在此基础上提出一系列提升效率和降低风险的改革策略所必须进行的一项基础性工作，具有重要的理论和实践价值。 本文试图从如下几方面研究中国证券市场的效率与风险问题：（1）分析中国证券市场制度变迁的过程，指出中国证券市场发展中存在的主要问题，着重分析这些问题背后的制度性根源，寻找当前中国证券市场效率与风险状态的制度性基础；（2）中国证券市场的效率分析，利用大量数据，实证分析上海和深圳两个证券市场的效率水平；（3）中国证券市场的风险分析。借助成熟的风险理论，对现阶段中国证券市场的微观风险和宏观风险进行具体分析；（4）分析证券市场效率与风险之间的关系，论证中国证券市场效率与风险之间的内在联系和理论内涵，根据当前中国证券市场效率与风险特殊的辨证关系，得出一系列提高效率和化解风险的举措，从而解决中国证券市场所面临的基于当前效率和风险状态的一系列问题。 在研究方法上，（1）运用系统分析法，把证券市场作为中国金融市场大系统的一个子系统来进行研究。从系统论的观点出发，立足于整体，着重从整体与部分、整体与外在环境之间相互联系、相互作用中有机地、综合地分析研究对象。并根据系统结构的多层次及其相互联系的原理，采用综合分析方法，从一个综合体的结构、功能、相互结合方式、形成和演变过程等方面，进行综合观察分析，根据最优化原理进行优化设计，提出科学的优化方案。（2）以定性分析和定量分析相结合、静态分析与动态分析相结合、宏观分析与微观分析相结合的方法对中国证券市场的风险和效率进行研究。最后，分别从投资者层面、监管者层面、发行者层面进行考察，以期全方位、多角度地提出中国证券市场效率提升的策略与方法。（3）本研究的另一个特点是追求理论与实践相结合。作者在证券市场多年的工作中，深刻地体会到中国证券的问题实质上就是效率与风险这一对密切相关的问题，而效率与风险的问题在中国的证券市场上有着与世界上任何其他国家的证券市场都不具备的极其鲜明的特征。因此，在研究中国证券市场的效率与风险的时候，本研究力求要把国际上成型的效率与风险的研究理论融合到中国的具体实践中，而不是照搬和拷贝。 借助于以上的研究方法，通过对上述问题的系统研究，其结论如下： 门）中国证券市场总体上呈现出规模偏低的特征同时，伴随着两个最明显的表象：一级市场在计划体制的藩篱下畸形发展，二级市场过度投机。这些问题背后的根源在于中国证券市场的三大制度性缺陷：上市制度上缺陷、发行定价制度缺陷和产权制度缺陷。中国证券市场的特征和表象反应了当前中国证券市场的效率水平和风险状态。 （2）本文分析了证券市场的三种效率，即资源配置效率、交易过程效率和信息效率三者之间的关系，着重指出信息效率在证券市场效率研究中的主导地位，之后简述了证券市场信息有效性研究的基础和核心内容，以及证券市场信息有效性从弱式有效、半强式有效性到强式有效的三个等级及其各自的检验方法。最后采用2000年上市公司年报中的最新数据，利用游程检验法、累积超常收益法分别对上海和深圳两个证券市场进行了弱式有效和半强式有效检验，实证分析得出结论：上海和深圳两个证券市场都已经达到了弱式有效阶段，但尚未达到半强式有效阶段。 （3）本研究从证券市场的一般风险分析入手，用风险理论论证了证券市场风险的三个层次——微观风险、证券市场本身的风险和宏观风险之间的关系，论证证券市场效率与风险之间的内在联系和理论内涵，说明处于不同发展阶段的证券市场风险研究的重点各有不同，处于较更多还原

【Abstract】 The securities market is playing a more and more important role in promoting the reform of economic system in China as a concernful implement and carrier. The profundity comprehensive reform of securities market has been a necessity while central plan system shunt to market-oriented economy. However, the securities market of China was born out of the central plan economical systems and owing to the restriction of economic and historical environment, there were some systemic limitations and extrusive problems stayed behind by the plan economy. As a result, there was a securities market that has low efficiency and high risk in China, which severity restricts the development of securities market and against the tropism of market economy. Both the efficiency and risk of a security market are central issues on studying on security market. Presently, there is not a consistent conclusion on whether the degree of efficiency of the China security market is weak or weak-semi-strong. Besides that, there is not a systemic research conclusion how severe the macro and micro risk level is. Based on an empirical study, the conclusion of this dissertation is that the degree of efficiency of Shanghai and Shezhen security market is Weak Efficiency but not Weak-semi-strong Efficiency so far. In the light of this conclusion, in order to improve the efficiency and decrease the risk, China should further strengthen management of the securities market and enhance the efficiency. We propose to enhance the quality of investors, improve the efficiency of supervision of the securities market and reform the management system of the list companies etc. In the first chapter, introduction based on the background of the reform and development of securities market in China, the objective and significance of this research work has been advanced. Then, several concepts were n defined. Correlation literatures were reviewed. At the end of this chapter, the author illuminates the research methodology. The vicissitude of securities market of China was studied in chapter two. The conclusion of this chapter is that the vicissitude of securities market in China was accordant to the vicissitude of social economy. The main problems of China securities market is that small scale market concomitance with some obvious phenomenon, i.e. the abnormality development in the bond issue market and immoderacy speculation in the second trade market. Chapter three is one of the kernel contents of this dissertation. Analysis on the efficiency of the Shanghai and Shenzhen securities market. Firstly, the author defined three kinds of efficiencies, i.e. the resource allocation efficiency, the procedural efficiency of trade and the information efficiency. The information efficiency is the main objective in majority researches and in this dissertation. According to the theory of E.Fama, which called Efficient Market Hypothesis, EMH, securities market can be distinguished to Weak-Form Efficiency Market, Semi-strong-Form Efficiency Market and Strong-Form Efficiency Market. For the empiric research, we adopted two suitable methods and annuity reports data, which issued by the list companies in 2000. The conclusion is that both Shanghai and Shezhen security market are Weak-Form Efficiency Markets but not Semi-Strong-Form Efficiency Market. Chapter four. Beginning with the analysis of general risks of securities market, the author defined three tiers risks, such as micro risk, the per se risk of securities risk and macro risk After that, discussed their rela更多还原