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苏谚杜
9 years ago
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1 : Ξ ( ) :,,,, ;,,,, ;,, :,,,,, ;,,, ;,,,, ;, 11,,,,, : (1) ; (2) ; (3) ; (4), ; (5),,p i i = a i Π n j = 1 a j, Ξ, 12

2 : p = i p i 21, 1991,,,, M 0 M 1 M 2 ;, 1990, : (1990,2000) 2001 (1996, ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (1999) , x - 11,, ( ),, : INDEX = C(1) 3 I + C(2) 3 LOAN + C(3) 3 M 1 + C(4) 3 PFC + C(5) 3 PFI + C(6) 3 S (1) INDEX, I,LOAN,M 1,PFC,PFI,S Eviews ( ), : INDEX = I LOAN M PFC PFI S (2) (2. 09) (1. 253) ( ) (3. 36) (1. 36) ( ) R2 = DW = ,, (2), 1, (2),,, 1 PS 13

C(4) 3 PFC + C(5) 3 PFI + C(6) 3 S (1) INDEX, I,LOAN,M 1,PFC,PFI,S Eviews ( ), : INDEX = 0. 498I + 1. 084LOAN - 1. 145M1 + 1.

3 : , 1, 2, 3 2 Index 41 3 PS Index, : INDEX = C(1) + C(2) 3 PS (3) INDEX,PS : INDEX = PS (4) (0. 442) (3. 168) R 2 = DW = ,,, :, 14

4 1999. 1 1999. 2 1999. 3 1999. 4 2000. 1-0. 009 0. 0396 0. 0516 0. 0766 0. 0126 0. 1393 2000. 2 2222. 3 2000. 4-0. 138 0. 0255 0.

4 2001 9,,( ) ;,, ;,,,,,, ( ), : (1999) ;2000,,,, 11, : (1),, () (, ), (2),,,,,,,, ;,, 21,,, (Wichern, 1976) (Miller, 1976),,,, 5 20,, : P t t, P t - 1 t - 1 ; R t t, : R t = Ln ( P t ) - Ln ( P t - 1 ) (5) 0, n ( R t - n,..., R t - 1 ) ( R t,..., R t + n - 1 ),: Q t - = t - 1 t - n R 2 i, Q t + = t + n - 1 t R 2 i (6) Q t - t ; Q t + t : V t = Q t + ΠQ t - (7) 15

5 : V t ( n, n) F, : P r { F aπ2 ( n, n) < V t < F 1 - aπ2 ( n, n) } = 1 - a (8), F aπ2 ( n, n) F 1 - aπ2 ( n, n) a ( n, n) F a, V t < F aπ2 ( n, n) V t > F 1 - aπ2 ( n, n), a, n = 20, a = 0. 05, , , , ,,1996,, : ,, ( ),, ( ),,, 5 20,, , 17 : , 25 %, 16

75,,1996,,1996 2 : 1991 3 2 3 1 1992 5 5 6 3 1993 4 5 8 1 1994 5 4 8 2 1995 4 5 9 3 1996 3 3 14 2 1997 5 4 9 2 1998 4 4 9 1 1999 4 3 15 0

6 % ; , 10 %, % 3 : V t % 1 % T ( : ) , ( : ) ( ),, i ( t i ) m 2 m + 1 (m = 5) ( AR i ) ( AQ i ) : AR i = t i + m t = t - m i R t Π(2 m + 1) (9) AQ i = t i + m t = t - m i R 2 tπ(2 m + 1) (10) T K, (AAR T : ) ( AAQ T :) : AAR T = K i = 1 AR i ΠK AAQ T = K i = 1 AQ i ΠK t i T (11) T L T ( AR T ) ( AQ T ) : AR T = t T R tπl T AQ T = t T R2 tπl T (12) (13) 17

93652 19961511 1996111121 4. 874934 1996112116 ( :1996112116 ) 199714129 8. 279245 199715121 199719112 6. 321266 199719124, 199813127 3. 205073 199813125 20001114 9. 2442 200012114 2000112129 6.

7 :, ( AR T ) ( AAR T ) ( AAR T ) 4 4, : AAR T = r 3 AR T + (14) : r, 0, 4 4 : r t - Statistic ( AR T ) ( AAR T ) ( AAR T ),,, 1996, , () 5 11, (3. 92) ( AQ T ) ( AAQ T ) ( AAQ T ) 5,, : 18

843289 5. 846890 1991. 1-1996. 4 3. 923248 4. 856887 1997. 1-2001. 1 2. 487512 2.

8 AAQ T = q 3 AQ T + (15) : q, 0, 5 5 : q t - Statistic , ( AQ T ) ( AAQ T ) ( AAQ T ),, 1996, , () (4. 54) ,, : ( ) (), ( ) 6 19

518967 12. 63774 1991. 1-1996. 4 4. 539030 10. 45154 1997. 1-2001. 1 2. 194806 11.

9 : 6 : % % % % % ( ) (28) (4) (14. 3 %) ( ) % ( ) (6) (4) (66. 7 %) ( ) % % % % ,, , ,1992 5, , 7 7 : % % % % % % % % % 4,,, ;,, 1.,, 20 2., : (1)

001364 3 0 0. 0 % 0. 000155 6,, 0. 0078, 1992 5 21,1992 5, 0. 00084, 7 7 : 0. 002793 1 14. 3 % 6 0. 001728 2 29. 2 % 2 0. 001364 3 28.

10 :; (2) :,,, ;,, ,1997,,, : (1),, , (2),,, , 3 ( ) 1997, ,1997,, 5. : (1),,, ; (2), ; (3), ; (4),,,,; (5), ,,,,2000 :,,,pp ,2000 :, 6,1999 :,,,2000 ::, 11 Binder, J. The Event Study Methodology Since 1969, Review of Quantitative Finance and Accounting, 11, Levine, R. Capital Control Liberalization and Stock Market Development, World Development, Vol. 26, No. 7, Ken B. Cyree, Ramon P. DeGennaro, A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk, April 2001, Working Paper. Demirguc2Kunt, Ash, and Ross Levine Stock Market Development and Financial Intermediaries :Stylized Facts, The World Bank Economic Review, 10(2,May),1996, Levine,Ross, and Sara Zerovs Stock Markets Development and Long - Run Growth, The World Bank Economic Review, 10(2,May),1996, (: ) ( : ) 21

Capital Control Liberalization and Stock Market Development, World Development, Vol. 26, No. 7,1169-1183. Ken B. Cyree, Ramon P.

11 Abstracts of Key Papers in English An Analysis on the Development of China s Money Market Xie Duo In recent years,china s money market has experienced a rapid development demonstrated by persistent in2 crease in the variety of assets traded,scale of transaction and number of market participants. With the develop2 ment of the money market,indirect control of the central bank through monetary policy has been becoming more and more effective. However,the development of China s money market is still at its initial stage. The instru2 ments available for trading are relatively limited,the market is somewhat segmented,and the scale of transaction is small. Furthermore,due to the control of the interest rates of deposits and loans,change in the interest rates of the money market has a weak impact on the credit market and other financial markets. This paper analyzes the basic structure and development of various sub2markets of China s money market. Special attentions are paid to the interactions among these sub2markets in the view of the central bank s monetary control. An Empirical Analysis of the Impact of Macroeconomic Policy on China s Stock Market Xu J unhua and others This article begins with classification of policy events influencing stock market. In the article the policy events are diveided into the medium2long term continuous and the short term discrete ones. As for continuous policy events,the article analyses their effects on stock market by regression models and by building their comprehens2 ive indicator curve. For discrete policy events,the article analyses their effects on stock market by the event studies. The research reveals that there are positive correlation between continuous policy events and China s stock market,though interpretive degree of continuous policy events is limited. The short term policy events have a deep impact on the stock market,but the impact is decreasing. Control of policies over the stock market tends to be mature. 95

With the develop2 ment of the money market,indirect control of the central bank through monetary policy has been becoming more and more effective.

M 2 ΠGDP (1996) M2ΠGDP (2000) (2000) (2001) (2001) (2001) (2002) (2002) (2002) (2003) (2001) (2005) (2005) (2006) (2004) M2ΠGDP ; M2ΠGDP ; M2ΠG

M 2 ΠGDP (1996) M2ΠGDP (2000) (2000) (2001) (2001) (2001) (2002) (2002) (2002) (2003) (2001) (2005) (2005) (2006) (2004) M2ΠGDP ; M2ΠGDP ; M2ΠG 3 2006 GDP 1017 % (CPI) 115 % 2005 (Pagano 1993 ; King and Levin 1993 ;Rajan and Zingales 1998 ; 2001) (1984) (1989) (1992) (1992) (2005) M2 (1996 1997) (2000) ; (2002) (2006) ( ) 3 ( 06&ZD004-01) 4 2007