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本文通过构建二元所有制结构下公司股价异质性的生成模型,从理论上分析了二元所有制结构下货币政策环境对公司股价异质性的助推效应;在此基础上,选取2006年1月至2015年6月中国证券市场月度数据,对二元所有制结构下货币政策环境对公司股价异质性的长期和短期助推效应进行实证分析。研究结果表明,二元所有制结构是公司股价异质性生成的根本原因,货币政策环境已成为公司股价异质性的外部助推器。作为货币政策环境重要替代变量的货币供给量,对公司股价异质性存在显著的长期和短期助推效应,但是作为货币政策环境另一替代变量的利率,对公司股价异质性的长期和短期助推效应均不显著。对于事先设定的货币政策环境,通货膨胀水平的变动短期内不会加剧公司股价异质性特征及程度,但是经济增长水平的变动短期内会加剧公司股价异质性特征及程度。本文的研究将为中国政府高效治理公司股价异质性以实现中国证券市场的健康稳定发展,提供重要的理论指导与决策参考。
This paper constructs the generation model of the company’s stock price heterogeneity under the dual ownership structure, and analyzes the boost effect of the monetary policy environment on the company’s stock price heterogeneity under the dual ownership structure. On this basis, Month to June 2015. The monthly data of China’s securities market are used to make an empirical analysis of the long-term and short-term boost effects of the monetary policy environment on the company’s stock price heterogeneity under the dual ownership structure. The results show that the dual ownership structure is the root cause of the heterogeneity of the company’s share price, and the monetary policy environment has become the external booster of the company’s share price heterogeneity. Monetary policy environment as an important alternative variable of the money supply, there is a significant long-term and short-term boost to the company’s stock price heterogeneity, but as an alternative variable of the monetary policy environment, interest rates on the company’s stock price heterogeneity of long-term and short-term Boosting effect is not significant. For the pre-set monetary policy environment, changes in the inflation level will not aggravate the heterogeneity of the share price in the short term. However, changes in the economic growth level will aggravate the characteristics and extent of the company’s stock price heterogeneity in the short term. The research in this paper will provide important theoretical guidance and decision-making reference for the Chinese government to effectively manage the heterogeneity of the stock price in order to realize the healthy and stable development of China’s securities market.