我国股票市场“投机主导”性质与治理研究
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摘要
我国股市自问世以来,经过20余年的发展,已取得了巨大的成就,截至2010年底,我国沪深两市总市值达26523亿元,位居全球第二,占GDP比高达66.16%,发展速度不可谓不快。但正是由于在发展过程中过于注重发展速度,而忽视了发展质量,致使股市积累了许多矛盾,这些矛盾已开始制约着我国股市长期健康的发展。理论上而言,股市与宏观经济之间有一定的正相关联系,近年来,我国一直保持着较高的经济增长速度,但股市却持续低迷,双方呈现出极为不协调的发展态势,股市因此饱受非议。对此,社会各界在评价、描述我国股市时,通常将其称之为波动剧烈的股市、严重泡沫化的股市以及投机泛滥的股市,那么,我国股市果真如此吗?
直观的绝对数据似乎表明,我国股市是一个波动异常剧烈的股市,然而立足国际视野,相对地看,我国股市是否仍属于剧烈波动呢?本文分别通过简单标准差和GARCH-M模型,对中国大陆、美国、德国、新加坡、中国台湾及印度这六个国家和地区股指收益率的波动性进行比较,比较中以QFⅡ制度的实行和股权分置改革的完成分别为时间节点将有关时间序列细分为三个阶段。通过计算不同阶段股指标准差可知我国股市波动性别非特别剧烈。同时,通过GARCH-M模型分析可知：相比于其他几个国家与地区,我国股市过去(第一阶段)的波动性的确很高,新信息给股市带来的冲击很强,波动系数α值达到了0.284,几乎是样本中其他国家与地区α值的2到3倍；然而自实行QFⅡ制度后(第二阶段),我国股市的波动性已经大幅下降,上证综指的α指降低到0.064,波动程度已与美国、德国、新加坡及中国台湾等国家与地区不相上下,远低于印度；股权分置改革基本完成后(第三阶段),我国股市波动性进一步降低,上证综指的α指降低到0.054,波动程度已低于样本中其他国家与地区。由此可见,与其他国家与地区相比,我国股市过去确实波动剧烈,但随着相关制度的实施和推进,股市也在不断趋于完善,其波动性不断有所收敛,当前我国并非波动剧烈的股市。
本文还对我国股市的泡沫化程度进行了分析。通过分析市盈率,这个学界公认的在分析股市泡沫时最有说服力的指标,可以发现：从股市整体趋势上看,我国股市市盈率明显呈下降趋势；从国际股市比较上看,我国股市市盈率也并非高的离谱；从股市市盈率本质上看,我国股市市盈率合理水平理应高于发达国家股市。这初步表明我国股市并不是严重泡沫化的股市。本文还运用剩余收益模型对我国股市泡沫程度进行了具体的测度,发现我国股市仅仅在若干年份泡沫过大,无论从股市的绝对泡沫程度还是相对泡沫程度上看,都不得出我国股市泡沫化严重的结论。
然而,虽然我国股市并不是波动剧烈的股市,也不是严重泡沫化的股市,但仍不能称之为正常、规范的股市。因为在我国股市中的主流行为是投机行为,而不是投资行为,即我国股市是“投机主导”的股市。本文通过理论分析和实证分析,从多角度对此予以了证明。首先,笔者对A股市场的投机性进行了分析,从派息率、股息率及融资分红比等指标来看,我国股市现金分红水平很低,股市缺乏投资价值；股市换手率超高,表明投资者更热衷于短期投机,而不是长期投资；同时我国股市财富效应与托宾Q效应都极其微弱,长期来看,我国城镇居民消费对流通股市值的弹性为负的0.014,严格的说存在轻微的“挤出效应”,粗略的说可以认为我国股市并不存在真正意义上的财富效应,我国固定资产投资对流通股市值的弹性为0.07,对金融机构贷款余额的弹性为1.01,相比于信贷对投资的拉动作用,股市对投资的拉动作用几乎可以忽略不计。这充分证明,当前我国A股是“投机主导”股市。其次,笔者还分析了我国创业板市场的投机性,发现我国创业板中同样严重存在重融资而轻回报的现象,与此同时,还存在资金使用效率低下以及公司高管争相减持等现象,这表明当前我国创业板同样是一个“投机主导”性股市。
进一步研究表明,我国股市之所以是“投机主导”的股市,是疯狂投机的股市,并不是由投资者造成,主要原因在于上市公司的不规范行为,也就是上市公司普遍热衷于“圈钱”,根本原因乃在于股市在一系列重要环节的制度安排上存在明显缺陷。“投机主导”的股市是非常危险的股市,会给投资者、上市公司和国民经济带来严重的危害。对此,本文以制度变迁理论为基础,提出了治理我国股市投机性,变我国“投机主导”股市为规范化股市的短期与中长期对策。笔者认为,在短期,应控制股市融资规模、强化上市公司分红制度、推出创业板退市制度以及加大违法违规成本；而在中长期,应实行股票发行注册制、健全主板退市制度、完善股东代表诉讼制度以及转变全社会发展融资模式,统筹发展资本市场。
Since China's stock market to be published, it has been developed for20years. During these times, it has made tremendous achievements. By the end of2010, Shanghai and Shenzhen's total market capitalization was2.6523trillion yuan, which was the second highest in the world, and the ratio to China's GDP was as high as66.16%. The pace of development is really fast. But it is too much emphasis on the pace of development, while ignoring the quality of development, resulting in the stock market has accumulated many contradictions, these contradictions have begun to restrict the long-term healthy development of China's stock market. In theory, there are some positive contacts between the stock market and macroeconomic. In recent years, China has maintained a high economic growth rate, but the stock market continues to slump. They are showing an uncoordinated development trend. Because of this, the stock market has been criticized. In this regard, when the community evaluate or describe China's stock market, usually call it a volatile stock market, serious bubblization stock market or the stock market full of speculation. Then, is China's stock market really so?
Intuitive absolute data seems to indicate that the volatility of China's stock market is unusual dramatic. However, based on the international perspective, is the volatility of China's stock market still so dramatic? In this paper, we use simple standard deviation and GARCH-M model to compare the volatility of China, the United States, Germany, Singapore, Taiwan and India. In the analysis, we divide to three stages by the implementation of the QFII system and the completion of equity division reform. Calculating the different stages of the stock index standard deviation shows the volatility of China'Meanwhile, GARCH-M model shows:compared to several other countries and regions, the volatility of China's stock market is high indeed in the past, new information would bring a strong impact to the stock market, the volatility coefficient a is0.284, almost2or3times larger than the other countries and regions in the sample; however, since the implementation of the QFII system, the volatility of our stock has dropped significantly, the a of Shanghai stock is0.064, as much as U.S, Germany, Singapore and Taiwan, and much lower than India; after the split share structure reform is basically completed, the volatility of China's stock market has been further reduced, a is only0.054, which is the lowest of all the countries and regions in the sample. Thus, compared with other countries and regions, China's stock market is indeed volatile in the past, but with the implementation of the system, the stock market is constantly tend to improve, its volatility continue to show restraint, the current situation is not really so volatile.
This paper also analysis the degree of China's stock market bubbles. By analyzing the price-earning ratio, which is recognized as the most convincing indicators on analyzing bubbles in the stock market, we can find:from the view of the overall stock market trend, China's stock market price-earning ratio was a downward trend; from the view of compare to the international stock markets, China's stock market price-earning ratio is not ridiculously high; from the view of the essence of stock market price-earning ratio, a reasonable level of China's stock market price-earning ratio should be higher than the developed markets. This preliminary indicate that China's stock market is not full of bubbles. This article also uses the residual income model to measure the degree of China's stock market bubbles. We find that China's stock market is just too much foam in the number of years. Weather in terms of absolute stock market bubbles or relative stock market bubbles, we can't come out the conclusion that China's stock market is full of bubbles.
While China's stock market is not volatile stock market or serious bubble stock market, but we still can't call it normal, specification market. Because the mainstream behavior in China's stock market is speculation, but not investment. We can call it speculative-led stock market, which we have used theoretical analysis and empirical analysis to prove so. First of all, we analysis the speculative of A-share market, we see the indicators such as dividend payout ratio, dividend yield and financing dividend ratio, China's stock market cash dividend level is low, this means it lacks of
Investment value; the high stock market turnover indicate that investors are more interested in short-term speculation rather than long-term investment; at same time, wealth effect and invest effect in China's stock market are extremely weak, in the long run, the elasticity of Chinese urban residents'consumption to the value of flow share is-0.014. Strictly speaking, there is a slight "crowding effect", roughly speaking, it means that China's stock market does not exist any ture sense wealth effect. The elasticity of fix assets investment to the value of flow share is0.07, while to the loans from financial institutions is1.01. Compared to the pulling of credit for investment, the pulling effect of stock market is almost negligible. This is fully proved that China's A-shares market is a really speculative-led stock market. Secondly, we also analysis the speculative of the GEM market in China, we find the GEM market is still serious in financing and light in return, at the same time, we find that funds are inefficient used and company executives willing to sell shares, these shows that the GEM market in China is also a speculative-led market.
Further studies revealed that the reason why China's stock market is led by speculative behaviors. That is not caused by the investors, the main reason is the irregularities of the listed companies, or we can say that the listed companies generally keen to misappropriating. The fundamental reason is that there are some obvious defects in the system arrangements. The speculative-led stock market is a very dangerous market, it will bring serious harm to the investors, listed companies and the national economy. In this regard, base on the institutional change theory, we give some short-term and long-term countermeasures to change China's speculative-led stock market to the standardization one. We believe that in the short-term, the government should control the scale of equity, strengthen the bonus system of listed companies, introduce the delisting system of the GEM market and increasing the amount of illegal cost; while in the long-term, stock issue registration system should be implemented, improve main board delisting system and shareholder derivative suit system. At last, the government needs to transform the financing model of the whole society to co-ordinate the development of capital markets.
直观的绝对数据似乎表明,我国股市是一个波动异常剧烈的股市,然而立足国际视野,相对地看,我国股市是否仍属于剧烈波动呢?本文分别通过简单标准差和GARCH-M模型,对中国大陆、美国、德国、新加坡、中国台湾及印度这六个国家和地区股指收益率的波动性进行比较,比较中以QFⅡ制度的实行和股权分置改革的完成分别为时间节点将有关时间序列细分为三个阶段。通过计算不同阶段股指标准差可知我国股市波动性别非特别剧烈。同时,通过GARCH-M模型分析可知：相比于其他几个国家与地区,我国股市过去(第一阶段)的波动性的确很高,新信息给股市带来的冲击很强,波动系数α值达到了0.284,几乎是样本中其他国家与地区α值的2到3倍；然而自实行QFⅡ制度后(第二阶段),我国股市的波动性已经大幅下降,上证综指的α指降低到0.064,波动程度已与美国、德国、新加坡及中国台湾等国家与地区不相上下,远低于印度；股权分置改革基本完成后(第三阶段),我国股市波动性进一步降低,上证综指的α指降低到0.054,波动程度已低于样本中其他国家与地区。由此可见,与其他国家与地区相比,我国股市过去确实波动剧烈,但随着相关制度的实施和推进,股市也在不断趋于完善,其波动性不断有所收敛,当前我国并非波动剧烈的股市。
本文还对我国股市的泡沫化程度进行了分析。通过分析市盈率,这个学界公认的在分析股市泡沫时最有说服力的指标,可以发现：从股市整体趋势上看,我国股市市盈率明显呈下降趋势；从国际股市比较上看,我国股市市盈率也并非高的离谱；从股市市盈率本质上看,我国股市市盈率合理水平理应高于发达国家股市。这初步表明我国股市并不是严重泡沫化的股市。本文还运用剩余收益模型对我国股市泡沫程度进行了具体的测度,发现我国股市仅仅在若干年份泡沫过大,无论从股市的绝对泡沫程度还是相对泡沫程度上看,都不得出我国股市泡沫化严重的结论。
然而,虽然我国股市并不是波动剧烈的股市,也不是严重泡沫化的股市,但仍不能称之为正常、规范的股市。因为在我国股市中的主流行为是投机行为,而不是投资行为,即我国股市是“投机主导”的股市。本文通过理论分析和实证分析,从多角度对此予以了证明。首先,笔者对A股市场的投机性进行了分析,从派息率、股息率及融资分红比等指标来看,我国股市现金分红水平很低,股市缺乏投资价值；股市换手率超高,表明投资者更热衷于短期投机,而不是长期投资；同时我国股市财富效应与托宾Q效应都极其微弱,长期来看,我国城镇居民消费对流通股市值的弹性为负的0.014,严格的说存在轻微的“挤出效应”,粗略的说可以认为我国股市并不存在真正意义上的财富效应,我国固定资产投资对流通股市值的弹性为0.07,对金融机构贷款余额的弹性为1.01,相比于信贷对投资的拉动作用,股市对投资的拉动作用几乎可以忽略不计。这充分证明,当前我国A股是“投机主导”股市。其次,笔者还分析了我国创业板市场的投机性,发现我国创业板中同样严重存在重融资而轻回报的现象,与此同时,还存在资金使用效率低下以及公司高管争相减持等现象,这表明当前我国创业板同样是一个“投机主导”性股市。
进一步研究表明,我国股市之所以是“投机主导”的股市,是疯狂投机的股市,并不是由投资者造成,主要原因在于上市公司的不规范行为,也就是上市公司普遍热衷于“圈钱”,根本原因乃在于股市在一系列重要环节的制度安排上存在明显缺陷。“投机主导”的股市是非常危险的股市,会给投资者、上市公司和国民经济带来严重的危害。对此,本文以制度变迁理论为基础,提出了治理我国股市投机性,变我国“投机主导”股市为规范化股市的短期与中长期对策。笔者认为,在短期,应控制股市融资规模、强化上市公司分红制度、推出创业板退市制度以及加大违法违规成本；而在中长期,应实行股票发行注册制、健全主板退市制度、完善股东代表诉讼制度以及转变全社会发展融资模式,统筹发展资本市场。
Since China's stock market to be published, it has been developed for20years. During these times, it has made tremendous achievements. By the end of2010, Shanghai and Shenzhen's total market capitalization was2.6523trillion yuan, which was the second highest in the world, and the ratio to China's GDP was as high as66.16%. The pace of development is really fast. But it is too much emphasis on the pace of development, while ignoring the quality of development, resulting in the stock market has accumulated many contradictions, these contradictions have begun to restrict the long-term healthy development of China's stock market. In theory, there are some positive contacts between the stock market and macroeconomic. In recent years, China has maintained a high economic growth rate, but the stock market continues to slump. They are showing an uncoordinated development trend. Because of this, the stock market has been criticized. In this regard, when the community evaluate or describe China's stock market, usually call it a volatile stock market, serious bubblization stock market or the stock market full of speculation. Then, is China's stock market really so?
Intuitive absolute data seems to indicate that the volatility of China's stock market is unusual dramatic. However, based on the international perspective, is the volatility of China's stock market still so dramatic? In this paper, we use simple standard deviation and GARCH-M model to compare the volatility of China, the United States, Germany, Singapore, Taiwan and India. In the analysis, we divide to three stages by the implementation of the QFII system and the completion of equity division reform. Calculating the different stages of the stock index standard deviation shows the volatility of China'Meanwhile, GARCH-M model shows:compared to several other countries and regions, the volatility of China's stock market is high indeed in the past, new information would bring a strong impact to the stock market, the volatility coefficient a is0.284, almost2or3times larger than the other countries and regions in the sample; however, since the implementation of the QFII system, the volatility of our stock has dropped significantly, the a of Shanghai stock is0.064, as much as U.S, Germany, Singapore and Taiwan, and much lower than India; after the split share structure reform is basically completed, the volatility of China's stock market has been further reduced, a is only0.054, which is the lowest of all the countries and regions in the sample. Thus, compared with other countries and regions, China's stock market is indeed volatile in the past, but with the implementation of the system, the stock market is constantly tend to improve, its volatility continue to show restraint, the current situation is not really so volatile.
This paper also analysis the degree of China's stock market bubbles. By analyzing the price-earning ratio, which is recognized as the most convincing indicators on analyzing bubbles in the stock market, we can find:from the view of the overall stock market trend, China's stock market price-earning ratio was a downward trend; from the view of compare to the international stock markets, China's stock market price-earning ratio is not ridiculously high; from the view of the essence of stock market price-earning ratio, a reasonable level of China's stock market price-earning ratio should be higher than the developed markets. This preliminary indicate that China's stock market is not full of bubbles. This article also uses the residual income model to measure the degree of China's stock market bubbles. We find that China's stock market is just too much foam in the number of years. Weather in terms of absolute stock market bubbles or relative stock market bubbles, we can't come out the conclusion that China's stock market is full of bubbles.
While China's stock market is not volatile stock market or serious bubble stock market, but we still can't call it normal, specification market. Because the mainstream behavior in China's stock market is speculation, but not investment. We can call it speculative-led stock market, which we have used theoretical analysis and empirical analysis to prove so. First of all, we analysis the speculative of A-share market, we see the indicators such as dividend payout ratio, dividend yield and financing dividend ratio, China's stock market cash dividend level is low, this means it lacks of
Investment value; the high stock market turnover indicate that investors are more interested in short-term speculation rather than long-term investment; at same time, wealth effect and invest effect in China's stock market are extremely weak, in the long run, the elasticity of Chinese urban residents'consumption to the value of flow share is-0.014. Strictly speaking, there is a slight "crowding effect", roughly speaking, it means that China's stock market does not exist any ture sense wealth effect. The elasticity of fix assets investment to the value of flow share is0.07, while to the loans from financial institutions is1.01. Compared to the pulling of credit for investment, the pulling effect of stock market is almost negligible. This is fully proved that China's A-shares market is a really speculative-led stock market. Secondly, we also analysis the speculative of the GEM market in China, we find the GEM market is still serious in financing and light in return, at the same time, we find that funds are inefficient used and company executives willing to sell shares, these shows that the GEM market in China is also a speculative-led market.
Further studies revealed that the reason why China's stock market is led by speculative behaviors. That is not caused by the investors, the main reason is the irregularities of the listed companies, or we can say that the listed companies generally keen to misappropriating. The fundamental reason is that there are some obvious defects in the system arrangements. The speculative-led stock market is a very dangerous market, it will bring serious harm to the investors, listed companies and the national economy. In this regard, base on the institutional change theory, we give some short-term and long-term countermeasures to change China's speculative-led stock market to the standardization one. We believe that in the short-term, the government should control the scale of equity, strengthen the bonus system of listed companies, introduce the delisting system of the GEM market and increasing the amount of illegal cost; while in the long-term, stock issue registration system should be implemented, improve main board delisting system and shareholder derivative suit system. At last, the government needs to transform the financing model of the whole society to co-ordinate the development of capital markets.
引文
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