【作者】 张亦春； 周颖刚； 林海；

【机构】 厦门大学金融研究所； 美国康奈尔大学； 厦门大学金融系；

【摘要】 中国政府有关国有股减持的政策消息导致了中国股市的恐慌性下跌。即使在中国政府调整了政策行为之后,股票市场仍然低迷,被称为所谓的“国有股减持之谜”(statesharepuzzle)。本文利用合理性恐慌的概念,通过预期供给和需求的互相依赖对此问题进行了分析。这个分析框架得出了“倒S”型的真实需求曲线,并证明了多重均衡的存在。该模型的研究表明,双重定价体系以及配额制是导致中国股票市场无效的主要原因。更多还原

【Abstract】 A government policy regarding the reduction of state shares in state-owned enterprise (SOE) triggered a crash in the Chinese stock market. The sustained depression even after policy adjustment constitutes a puzzle-the so called “state-share paradox”. The explanation developed in this paper arises from the concept of rational panics, in which expected supply and demand turn out to be interdependent. This innovation generates an inverted-S actual demand curve and gives rise to potential multiple equilibria. The model in this paper suggests that the dual pricing system and quota on the overall stock market supply represent major forces to market inefficiency.更多还原