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在经济转轨过程中,政府质量在资本市场中扮演着重要的角色,这一视角对于理解中国股市非理性大幅波动提供了新颖而又重要的认识。本文以沪深A股上市公司2000~2009年的数据为研究样本,采用樊纲指数对中国地方政府质量进行度量,检验了地方政府质量对公司股价波动的影响。实证结果发现,政府质量越高,公司股价波动越小,越有利于股市稳定。上述结果在考虑内生性问题以及一系列稳健性检验后仍成立。本文丰富和拓展了政府制度对股市稳定的研究,对治理我国股价非理性波动具有一定的现实意义。
In the process of economic transition, the quality of government plays an important role in the capital market. This perspective provides a novel and important understanding of the irrational swings in China’s stock market. This paper takes the data of Shanghai and Shenzhen A-share listed companies from 2000 to 2009 as a sample, and measures the quality of local government in China by using Fan-Gang Index to test the influence of the quality of local government on the stock price volatility. The empirical results show that the higher the government quality, the smaller the stock price volatility, the more conducive to the stability of the stock market. The above results are still valid after considering endogenous problems and a series of robustness tests. This article enriches and expands the study on the stability of the stock market by the government system, and has certain practical significance for controlling the irrational fluctuation of the stock price in our country.