中国股票市场非竞争均衡与制度变迁研究

【作者】 桂敏杰；

【导师】 张亦春；

【作者基本信息】 厦门大学 ， 金融学， 2002， 博士

【摘要】 本文研究中国股票市场的非竞争均衡及制度变迁问题。文章首先提出中国股票市场非均衡运行的本质特征是非竞争均衡，其表现为非市场因素和非竞争因素极大地影响着股票市场的运行。非竞争因素和非市场因素导致了非竞争性收益的存在，非竞争收益的存在使得市场信号扭曲。在此基础上本文提出了制度矫正均衡理论假说。制度矫正均衡理论假说是在综合了自由竞争均衡、政府干预均衡和制度供求均衡三种理论基础上建立起来的，强调制度与竞争的相互联系，追求制度与竞争之间的均衡(第二章)。以制度矫正均衡假说为基础，论文从如下一些方面研究了中国股票市场的非均衡问题：第一，通过对股票市场制度结构的典型问题棗“逆向选择”和“道德危险”问题及其缓解机制的讨论，强调了制度设计在实现股票市场从非竞争均衡到制度矫正均衡中的重要性(第三章)。第二，分别用计量经济学方法和统计分析方法研究中国股票市场价格的信息吸收效率和资本要素配置效率，揭示了我国股票市场非竞争均衡特性。分析表明，从市场机制看，在1994年初我国股票市场开始进入弱式有效区间，此后一直处于弱式有效状态(第四章)；从公司看，尽管上市公司总体而言是同行业佼佼者，但上市后频频出现业绩下滑，表明股票市场未能促进企业生产效率的持续提高，弱化了股票市场优化资源配置功能(第五章)。第三，尝试用制度经济学分析方法解释中国股票市场非竞争均衡与非竞争收益存在的原因，指出资产所有权不明晰和股票市场二元结构特征，是滋生市场非竞争均衡和非竞争收益的制度土壤。在股票市场上，不在公开市场流通的国有股与法人股协议转让以及相应的公司控制权转移，是市场操纵者谋求超额“非竞争收益”的主要手段。超额“非竞争收益”的存在，扭曲了股票市场价格信号，导致了资本要素低效率配置(第六章)。第四，从制度安排与变迁的角度，结合公共选择理论和博弈论方法，分析中国股票市场非竞争均衡的深层根源。文章指出，制度及其变迁是影响制度矫正均衡的内生变量，并且是一个集体决策过程，是政府在和市场博弈中实现的(第七章)。在理论分析的基础上，论文最后两章提出了促进实现股票市场强式有效的政策建议。既然非竞争均衡的原因在于制度变迁，则需要从制度安排上寻找实现均衡和强式有效市场的有效方法与途径，包括制度变迁路径的设计和具体的制度安排。第八章指出，在制度变迁路径上应该同时使用强制性制度变迁和诱致性制度变迁，但侧重点各有不同：以强制性制度变迁打破路径依赖，并为诱致性制度变迁制造合适的制度环境；以诱致性制度变迁促进股票市场的市场化。在确定了制度变迁的路一径后，第九章针对中国股票市场中存在的制度缺陷，从制度安排上提出了具体改进措施。 论文有以下几个方面的创新： 第一，论文提出了“制度矫正均衡假说”，并在这一假说框架下研究中国股票市场非竟争均衡和非竞争收益同股票市场制度设计间的关系。论文认为，“制度矫正均衡”是动态的、现实的市场均衡，而不是静态的、不可实现的理想状态的为衡，其核心是竞争均衡，是有合适的制度设计加以保障的均衡。在制度矫正均衡状态下，政府干预是通过制度安排实现的，而不是人为的随意干预。 第二，论文指出，中国股票市场显著存在的超额非正常收益，是一种非竞争的制度性收益，它是制度设计非均衡的结果。理论上，在制度矫正均衡状态下，通过制度设计实现制度供求均衡，这种非竞争的制度性收益将归于消失。 第三，论文在提出“制度矫正均衡假说”的基础上，采用计量经济学方法对中国股票市场效率进行实证检验，并对季节效应（月份效应）和小公司效应进行实证研究，不仅创新了经验研究的方法，更重要的是支持了中国股票市场非竞争均衡的制度分析理论。 第四，论文用统计分析方法较为全面地考察了中国股票市场资本要素配置效率，得出了资本要素低效率配置的结论，进一步说明了中国股票市场是一个弱式有效的市场。在此基础上，论文在“制度矫正均衡假说”框架下，重点考察了中国股票市场非竞争均衡以及存在超额非竟争收益的制度原因，并探讨了中国股票市场走向“制度矫正均衡”的路径及其制度设计建议。 第五，论文认为，不明晰的资产所有权、双重委托一代理结构和股票市场二元结构特征，是滋生非竟争均衡和超额非竞争收益的制度土壤。更多还原

【Abstract】 This thesis studies non-competitive equilibrium and institutional change at stock market in China.It is claimed that stock market unequilibrium in China is essentially non-competitive equilibrium,in which non-market factors and non-competition factors extremely influence activities of stock market. Non-competitive and non-market factors create non-market return,which distorts market signal. Based on this claim,the hypothesis of institution-correction equilibrium is developed. It is built up through combining theories of freely competitive equilibrium,government intervention equilibrium and equilibrium of institution supply and demand. And it emphasizes links between institutions and competition and seeks balance of institution and competition.Based on hypothesis of institution-correction equilibrium,this thesis analyzes unequilibrium of stock market in China as following:First,by discussing adverse selection and moral hazard in stock market,this thesis emphasizes the importance of institutional design in turning of non-competitive equilibrium of stock market into institution-correction equilibrium (the third chapter).Second,by applying econometrics and statistics to the study of signal assimilation efficiency and allocation efficiency of capital factors,this thesis discloses the unequilibrium features of stock market in China. This analysis produces two results:as far as market mechanism is concerned,stock market in China has stepped into the zone of weak form efficient market since 1994;as far as listed companies are concerned,the worsening performance of listed companies after listing indicates that stock market does not create continuous increase in productive efficiency and hence weakens stock market’s function of optimizing resource allocation (the fifth chapter).Third,this thesis tries to explain why non-competitive equilibrium and non-competitive return exist by institutional economics and suggests that indefinite capital ownership and dual structure of stock market are the institutional basis of non-competitive equilibrium and non-competitive return. The negotiation transfer of state owned stock and legal person owned stock,which can not be traded in stock market,and the transfer of corporate control are main methods for market manipulator to seek super non-market return. And the existence of non-competitive return distorts signal at stock market,which results in inefficient allocation of capital factors (the sixth chapter).Fourth,applying approach of public choice and game theory at an angle of institutional arrangement and institutional change,this thesis analyzes the root of non-competitive equilibrium at stock market in China. It is indicated that institution and its change are endogenous variables influencing institution-correction equilibrium and they also are a process of collective decision,which the government makes by playing game against market participants (the seventh chapter).Supported by the theoretical analysis,the last two chapters suggest policies which help achieve strong form efficient market. Since institution unequilibrium is caused by institutional change,we need to find efficient way and workable path via institutional arrangement,which includes designing the path of institutional change andconcrete institutional arrangement,to carry out institution-correct equilibrium and strong form efficient market. The eighth chapter indicates that we make use of forced institutional change and induced institutional change simultaneously but with different focuses:forced institutional change is used to broke path dependence and to provide appropriate institutional environment for induced institutional change;and induced institutional change to enhance marketization of our stock market. After the path of institutional change is fixed,the ninth chapter makes some specific practical suggestions to improve institutional arrangements and correct institutional failure at stock market in China.Innovations in this thesis include:First,by combining freely competitive equil更多还原