大小非解禁对A股市场的影响研究——基于有理分布滞后模型和累积效应模型的比较

中国A股市场走势与大小非解禁究竟有多大内在关联？本文拟对此分析实证，以考察大小非当期效应和滞后效应的差异。基于2006年6月以来的月度时间序列样本，构建了经典的有理分布滞后模型并创新提出了累积效应模型，计量结果比较发现，大小非解禁对A股市场走势具有即期效应为正而累积效应为负的特征，并受外围市场波动的影响。进一步分析表明大小非解禁对香港市场走势影响不显著，由此判断大小非解禁确实是影响A股市场的一个独特因素。最后结合其他方面客观分析了大小非解禁的市场效应问题。

A Study on the Effect of Lifting the Ban on Non-tradable Shares to A Share Market Based on Rational Distributed Lag Model and Accumulative Effect Model

How much did the problem of Lifting the Ban on Non-tradable Shares affect A share market on earth？ The paper plans to make an empirical study to disclose the difference between the impact effect and lagged effect.Based on monthly-frequency time serious data since June 2006,the paper builds classical Rational Distributed Lag Model and puts forward a new Accumulative Effect Model.Econometrical result proved that the impact effect of lifting the ban on Non-tradable Shares is positive but the accumulative effect is negative.Furthermore,the paper proved that the problem of Lifting the Ban on Non-tradable Share is indeed a unique factor to affect A share market because it didn＇t affect stock market in Hong Kong.Finally,the paper synthetically analyzes the problem of Lifting the Ban on Non-tradable Shares.