摘要
处于后金融危机时代,资本市场的未来发展一直受到政策制定者、监管者和投资者的关注。我国资本市场未来风险的变化将对A股市场、债券市场走势产生重大的影响,而其对金融政策的反应敏感程度更加值得研究。本文以我国股票市场1998～2011年的相关月度数据和债券市场2003～2011年的相关月度数据为研究对象,从金融监管的视角对资本市场的风险变化进行了研究。结果表明:我国资本市场风险有一定的自我调节能力,其短期波动的非均衡状态会逐渐向长期的均衡状态趋近;金融监管的改变会显著影响资本市场的风险水平,并且其影响有一定的滞后期并通常为2个月。
We are now in an after-financial-crisis era, and the future development of capital market has been under policy makers＇ regulators＇ and investors＇ attention. This paper uses stock-market related month- ly data from 1998 to 2011 and bond-market related data from 2003 to 2011 to study the effect on China capital market risk under financial supervision and regula~ tion. And the empirical result shows that, China capi- tal market risk has certain self-adjustment ability, the unbalanced state of short -term volatility will gradually approach toward the long-term equilibrium, and improving the effectiveness of financial supervision can reduce the risk of capital market. But this effect doesn＇t appear immediately, which is with a lag of 2 months.
出处
《特区经济》
2012年第10期63-65,共3页
Special Zone Economy
基金
国家自然科学基金项目"公允价值
行为异化与经济后果"(70972055)资助
关键词
金融监管
资本市场
风险
协整分析
误差修正模型
financial supervision and regulation
ca-pital market
risk
cointegration analysis：error cor-rection model
