【摘要】 经济转轨时期的证券市场呈现政府导向型推动的特点,政府推动作为一种外生力量,助推新兴证券市场超越式发展。然而,这种发展模式存在一个内生缺陷,即政府推动与政府干预之间存在效率悖论,成为金融资产价格过度波动的制度性根源。在此,本文应用信息经济学和经济计量学的研究方法,对经济转轨时期中国股票市场的异常波动进行制度解析。通过研究发现,当前股票市场的异常波动程度比较显著,政策控制型均衡引发市场过度波动;同时,随着证券市场逐步深化,市场过度波动性渐次减弱,这表明中国股票市场既存在短期的时变波动性,又存在长期波动性的均值回归过程。更多还原

【Abstract】 During economic transition period the Securities market takes on government-oriented characteristic, and the emgering market was driven by state strength which as an exogenous force. However, this model of securities market development has a endogenetic flaw, namely there is a efficiency conflict between government driving and administrative interference, whichbecome the systemic springhead of financial asset price volatility. In this paper, we apply information economics and econometrics methods to analyze the abnormal volatility of systemic factors in China stock market during economic transition period. In the paper, We discover that its distinct of abnormal volatility in stock market, which is caused by the policy controlled equilibrium. At the same time, the abnormal volatility weakens gradually with China securities market deepening, which indicates China stock market has the changeable volatility in short tetm and has mean regression process in long term.更多还原