摘要
文章对股改中股市的异常波动现象,通过协整检验和构建向量误差修正模型等方法的实证分析,得出本轮股改中股价下跌的真正原因并非是大小非解禁本身,而是由解禁所引起的市场中的恐慌心理。并经进一步的分析可得,股市中恐慌的来源是机构投资者,其由此产生的规避行为进一步加剧了市场恐慌。上述现象的深层原因在于股改中对价设计的不合理。
The abnormal fluctuations in the stock market during share-trading reform are analyzed. Through the co-integration test and the Vector Error Correction model analysis, it is implied that the cause of the fall in share prices in share-Wading reform is not the non-circulated shares itself, the panic in the stock market is the fundamental reason of the fall in share prices. The stock market panic is caused by institutional investors; their behavior to circumvent the result further aggravated the market panic. The root reason of the phenomenon above is that the design of consideration is unreasonable.
出处
《改革与战略》
北大核心
2010年第2期68-71,共4页
Reformation & Strategy
关键词
大小非
解禁
恐慌
向量误差修正模型
non-circulated shares
recirculation
panic
Vector Error Correction
