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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。
The securities market in the period of economic transition has the characteristics of government-oriented promotion. The government promotes it as an exogenous force to boost the over-development of emerging securities markets. However, there is an endogenous defect in this mode of development. That is, there exists an efficiency paradox between government promotion and government intervention, which has become an institutional root cause of excessive price fluctuations of financial assets. In this paper, we apply the methods of information economics and econometrics to analyze the institutional anomalies of the abnormal fluctuations in China’s stock market during the period of economic transition. Through the research, it is found that the current abnormal volatility of the stock market is significant, and the policy-controlled equilibrium leads to excessive volatility of the market. Meanwhile, with the gradual deepening of the securities market, the over-volatility of the market gradually declines, indicating that there are both short-term and time-varying changes in the Chinese stock market Volatility, but also the long-term volatility of the mean regression process.