摘要
一个具有吸收态的状态转化模型表明国有股减持政策诱使股市状态转向所谓的“流动性黑洞”；同时，在股市行情大跌时追逐流动性的假说没有足够证据支持，因而股市大跌是整个市场的宏观现象。在这些实证结果的基础上，我们构建一个微观市场结构的理论模型来解释“国有股减持之谜”：它并非是一场简单的由消息所引发的股市行情大跌。其根源在于中国股市的功能缺陷，这进一步支持了我们先前关于“中国股票市场达不到弱式有效”的结论。
The empirical study on the ＂state-share paradox＂ finds evidence in two dimensions. First, a regime-switching model with an absorbing state suggests that government policy switches the regime to liquidity black holes. Second, there is no evidence of flight-to-liquidity during the crash, suggesting that the crash be modeled as an aggregate phenomenon of the whole market. A theoretical model is set up within the framework of market microstructure, which finds that the paradox is not a simple instance of news-driven crash but the consequence of irregularities of liquidity production and price discovery in the Chinese stock market.
出处
《经济学（季刊）》
2006年第2期379-402,共24页
China Economic Quarterly
