摘要
市场流动性作为衡量资本市场效率和发展水平最重要的因素,基于其短期波动的事件分析法也被证明对我国市场制度效率的评价具有一定的适用性。但从长期趋势看,事件分析法和基于市场摩擦影响的理论很难对相似制度在不同时期的效率差异给出解释。本文放松了当前研究中关于货币冲击和制度变迁对资本市场流动性影响相互独立的假设,构建了起分析货币态势、信息披露制度和交易成本制度共同影响市场流动性的理论模型,并利用中国1998—2014年一季度的经济金融数据进行了实证检验。结果表明,在扩张的货币态势下,改善信息披露质量的制度对资本市场流动性的正向影响会增强,而降低市场交易成本的制度影响则会减弱;反之亦然。同时,货币冲击对市场流动性的影响也会随市场制度变迁发生显著变化。在不同货币态势下,相似的制度调整对市场长期效率的影响存在较大差异,因此充分考虑货币冲击与市场制度的相互作用,有助于改进我国资本市场制度改革的时机选择,提高制度长期效果评价的准确性。
Since market liquidity is considered as one of the most important factors in the measurement of capital market efficiency and development, the event-study method based on its short-term fluctuation has been justified as a proper method to evaluate the market performance. However, in the long run, the event-study and the theory based on market frictions are unable to explain the different performance of similar institutions in different periods. This paper relaxes the assumption that monetary shocks and institutional changes affect the capital market liquidity through separate channels, and develops a theoretical model that the liquidity is influenced by monetary conditions, the information disclosure system and trading costs. We then empirically test the model with China＇s macro and financial data between 1998 and the first quarter of 2014.The conclusion shows that the positive effects on market liquidity from the institutional change of improving the quality of information disclosure is larger at monetary expansion periods, and the effects from the institutional change of reducing the trading cost is weakened, and vice versa. Meanwhile, monetary shocks have time-varying effects on market liquidity. The effects of similar institutional adjustments on the long run efficiency have significant discrepancies with different monetary conditions. Taking into account the interactions between macro-monetary policies and micro-market institutions may contribute to optimizing the timing of our capital market institutional reform and improving the veracity of institution performance evaluations.
出处
《金融监管研究》
2014年第9期26-52,共27页
Financial Regulation Research
关键词
货币政策
制度变迁
市场流动性
Monetary Policy
Institutional Change
Market Liquidity
