股权分置改革中股市恐慌行为初探——基于VEC模型的实证分析

文章对股改中股市的异常波动现象，通过协整检验和构建向量误差修正模型等方法的实证分析，得出本轮股改中股价下跌的真正原因并非是大小非解禁本身，而是由解禁所引起的市场中的恐慌心理。并经进一步的分析可得，股市中恐慌的来源是机构投资者，其由此产生的规避行为进一步加剧了市场恐慌。上述现象的深层原因在于股改中对价设计的不合理。

The Panic Behaviors in the Stock Market During Share-trading Reform——Based on VEC Model

The abnormal fluctuations in the stock market during share-trading reform are analyzed. Through the co-integration test and the Vector Error Correction model analysis, it is implied that the cause of the fall in share prices in share-Wading reform is not the non-circulated shares itself, the panic in the stock market is the fundamental reason of the fall in share prices. The stock market panic is caused by institutional investors; their behavior to circumvent the result further aggravated the market panic. The root reason of the phenomenon above is that the design of consideration is unreasonable.