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本文研究表明,我国股市的定价基础在2005年后发生了结构性迁移,国内经济基本面因素对我国股指价格变化的解释力大幅增加,国际金融市场波动对我国股市的溢出效应加大。在人民币汇率制度改革后,国内外资金的套利空间对股价变化的影响显著增强。我国股指走势还具有较强的趋势性特征。研究股市价格变化因素的来源有助于监管层防范和应对股市大幅波动的风险。
This study shows that the pricing basis of China’s stock market has undergone a structural shift since 2005. The explanatory power of the domestic economic fundamentals on the price changes of China’s stock indices has risen sharply, and the spillover effect of the fluctuations of international financial markets on China’s stock markets has increased. After the reform of RMB exchange rate system, the arbitrage space of domestic and foreign funds has significantly increased the impact on the stock price. The trend of China’s stock index also has strong trend characteristics. Studying the source of the stock market price changes helps the regulators to guard against and deal with the risk of large stock market volatility.