基于金融市場效率的美國金融監(jiān)管有效性研究

摘 要：金融監(jiān)管旨在減輕或者消除市場失靈，提高金融市場效率?；诖?，通過比較金融市場效率的改善可以檢驗和評判金融監(jiān)管改革的有效性。本文選取世界范圍內(nèi)最具典型意義的美國20世紀80年代效率優(yōu)先和90年代后安全與效率并重的兩個監(jiān)管時期，通過對兩個階段股票收益率指數(shù)的R/S分析和Hurst指數(shù)計算，以價格信號檢驗金融市場效率，進而衡量不同階段美國金融監(jiān)管的有效性。實證結(jié)果顯示，第二階段的金融市場效率明顯高于第一階段，然而該時期卻正是次貸危機爆發(fā)的前期，這說明金融市場效率仍需進一步改善，監(jiān)管有效性有待加強。這一研究結(jié)果為金融危機后世界各國新一輪的金融監(jiān)管改革和調(diào)整提供了重要的理論依據(jù)和參考價值。

關(guān)鍵詞：美國金融監(jiān)管；金融監(jiān)管有效性；金融市場效率；R/S分析

中圖分類號：F830.9 文獻標識碼：A 文章編號：1003-5192(2011)04-0024-06

A Study of Effectiveness of U.S. Financial Regulation Based

on the Efficiency of Financial Markets

AN Hui， ZHONG Hong-yun

(School of Economics， Dalian University of Technology， Dalian 116024， China)

Abstract:Financial regulation is designed to reduce market failures and improve financial market efficiency. Based on this， the comparision of the efficiency improvement of financial markets can test and judge the effectiveness of the financial regulatory reform. This paper selects world ’s most typical regulatory periods of the United States in the 1980s(efficiency priority) and 1990s(both safety and efficiency)， and to exam the two different stages of the effectiveness of U.S. financial regulation by analysis of stock returns R/S and Hurst which reveals efficiency of financial markets . The empirical results show that the second phase of financial market efficiency was significantly higher than the first stage， but it is exactly the period of the early sub-prime crisis， which shows the efficiency of financial markets still need further improvement，and the effectiveness of supervision needs to be strengthened. The results of this paper provides an important theoretical basis and reference value for a new round of the world ’s financial regulatory reform.

Key words:U.S. financial regulation; effectiveness of financial regulation; efficiency of financial market; R/S analysis

1 引言

長期以來，對于金融市場的發(fā)展存在主張自由主義的市場論和主張政府干預的監(jiān)管論這兩種截然不同的觀點，即監(jiān)管過度與監(jiān)管不足之爭。此次金融危機普遍引發(fā)了全球?qū)Ξ斍皽笥诮鹑趧?chuàng)新及金融發(fā)展的監(jiān)管體系的詬病，而危機前美國所奉行的金融安全與效率相結(jié)合的監(jiān)管理念卻一直被視為監(jiān)管改革的模板。面對后危機時代的治理，學者及政界更偏重于對金融業(yè)采取更嚴格的監(jiān)管措施。那么金融危機前美國金融監(jiān)管是否有效？如何衡量金融監(jiān)管的有效性？……