我国股票市场资本配置效率—深沪两市发展非均衡研究[1]

唐亮  陈守东

（吉林大学数量经济研究中心，吉林大学商学院，吉林 长春 130012）

摘要:本文根据Jeffrey Wurgler评价资本配置效率的模型，利用我国股票市场的21个行业11年的面板数据，建立面板数据的变参数模型和不变参数模型，评价我国股票市场资本配置效率。结果表明我国的股票市场总体资本配置效率不高，深市较沪市而言发展滞后；上市公司的负债总额相对于股东权益而言缺乏效率，信贷市场发展滞后于股票市场。同时本文还利用截面数据度量了股票市场各个行业的生产函数，认为我国股票市场的行业资源利用效率低下，资本的边际效率水平不高，尤其对于无形资产不够重视。因此提高资本配置效率已是亟待解决的问题

关键词：资本配置效率 面板数据变参数模型 生产函数 非均衡

The Capital Allocation in Stock Market of China

—disequilibrium research in Shenzhen and Shanghai Market

Tang Liang  Chen Shoudong

（Quantitative Research Center of Economics, business school of Jilin University，Changchun Jilin 130012 ）

Abstract : In this paper, on the basis of Jeffrey's Wurgler's capital allocation model，we use the panel data of China for 11 years and 21 industries to Establish the changed parameter and unchanged parameter model for Evaluating the efficiency of  capital allocation in China stock market。The result is that the efficiency of capital allocation is low, Shenzhen market is lagged behind Shanghai market, the debt is short of efficiency relative to stock, the credit market is lagged behind stock market. In the same time, this paper measures the production functions of each industry, the result is the industries capital efficiency low, the margin efficiency of capital is low, especially attach little importance to the immateriality capital. So the problem of improved the capital allocation efficiency is too impatient to wait.

Keyword ：the capital allocation efficiency  the changed parameter model of panel data  production function  disequilibrium