中国股票市场制度变迁与投资者行为研究

【作者】 卢华；

【导师】 谢百三；

【作者基本信息】 复旦大学 ， 产业经济学， 2004， 博士

【摘要】 中国股票市场的形成是中国股份制改革与金融体制改革相结合的产物。经过十余年的发展，中国股市已成为国民经济的重要组成部分。投资者是股票市场的重要微观主体之一，庞大的投资者队伍已成为中国经济生活中特殊和重要的参与群体。本文基于制度—行为互动的理论模型，运用行为金融理论、新制度经济学、社会学理论全面系统地研究了中国股票市场制度变迁过程与投资者行为间的互动关系。 居民部门是中国股市的主要资金供应者，也是股市扩容和发展的最直接推动力，金融市场中投资者对金融产品的选择是决定金融市场发展和结构变化的基础力量。从股票市场本身的运行特性来看，其波动性不仅可能由于股票所表征的特定企业未来盈利能力的波动，还可能由投资者间的互动所引发，投资者在不确定的环境中进行投资决策将受到其自身认知缺陷、情绪等因素的影响，不可能达到完全理性。因此，股票市场本身是一种具有内生脆弱性的制度安排。但中国股票市场投资者行为特征既有与其他国家投资者相同或相似之处，也有在中国特殊的市场背景下所形成的独特行为模式，如过度频繁交易、政策依赖心理等。这些行为特征的形成的根本原因在于股权分裂的市场结构和政府不符合市场精神的行政方式。因此，政府行为与政策本身往往成为引发中国股市脆弱性的因素。这种分割的市场结构在使中国股票市场快速成长起来的同时，也成为市场进一步规范发展的桎梏。 然而，从已进行的改革及其停滞的过程来看，中国股票市场的制度变迁有着与其他领域已进行的变革不尽相同的逻辑。在不改变市场结构的前题下进行的增量改革先行的市场化改革非但未能起到应有的效果，反而为进一步改革设置了障碍。政府作为公共政策制定者和国有资产所有者之间的角色冲突以及传统的行政思维严重干扰了改革措施的制定。投资者的“用脚投票”表明，作为有自身利益追求的个体其对改革方案的接受将制约着改革的进程和股市功能的发挥。改革的停滞没有带来市场运行的改观，投资者信心的丧失及离场，反而使中国股市的融资功能、资源配置功能、价值发现功能及投资增值功能等都处于全面紊乱和退化之中。严峻的现实昭示着中国股票市场面临着艰巨而又紧迫的制度变迁进程。在市场经济中，政府的功能在于增进秩序，因此，要通过股市的结构性变革、制度安排的完善、行政逻辑的转换、完善投资者保护机制来消除中国股票市场制度性风险的根源。更多还原

【Abstract】 China’s stock market is the outcome of the reform of SOEs and financial system. It has become an important part of national economy. Investor is one of the most important principal parts in stock market. This paper is based on the model of interaction between institution and behavior. The author analyzes the interaction between the evolution of institution of China’s stock market and investors behavior by using the thinking of Behavioral Finance, new institutional economics and sociology.Household is the main capital provider in China’s stock market. It also promotes the stock market’s development. The investors’ selection of financial products decides the development of financial market and its structure’s change. The volatility of stock market is probably due to the change of the ability of enterprises’ payoff in the future, and it is also probably due to investors behavior. The investors’ decision-making is influenced by their defect of cognize , mood , etc. Stock market has endogenesis frangibility. Some behavior character of investors in China’s stock market is the same as foreign countries’, and some is special, such as excess frequently trades, psychology of relying on policy , etc. The character of investors behavior is due to the stock segmentation and the defect of the manner of administration. Government’s behavior and policy make the market frangibility sometimes. The stock segmentation becomes the shackle of the stock market development.But the logic of the evolution of China’s stock market institution is not the same as other fields. Government has conflict as a constitutor of common policy or as an owner of state capital. The traditional administration thoughts disturb the reform. The investors have their individual interests. Whether they can accept the reform project restricts the process of the reform and the function of stock market. Thepause of reform is not benefit to the market. On the contrary, the investors lose confidence and leave the market. The function of China’s stock market is turbulence. The reality makes clear to all that China’s stock market is facing of the hard and necessitous process of the evolutionof institution.更多还原