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一个具有吸收态的状态转化模型表明国有股减持政策诱使股市状态转向所谓的“流动性黑洞”;同时,在股市行情大跌时追逐流动性的假说没有足够证据支持,因而股市大跌是整个市场的宏观现象。在这些实证结果的基础上,我们构建一个微观市场结构的理论模型来解释“国有股减持之谜”:它并非是一场简单的由消息所引发的股市行情大跌,其根源在于中国股市的功能缺陷,这进一步支持了我们先前关于“中国股票市场达不到弱式有效”的结论。
A state transition model with absorption states that the state-owned share reduction policy has induced the state of the stock market to turn into the so-called “liquidity black hole.” At the same time, the hypothesis that chasing liquidity in the stock market crash has not enough evidence to support the stock market crash is the whole Market macro phenomenon. Based on these empirical results, we construct a theoretical model of the micro-market structure to explain the “mystery of the reduction of state-owned shares”: it is not a simple news triggered by the stock market crash, the root cause of the Chinese stock market This further supports our previous conclusion that “the Chinese stock market is not weak enough to be effective”.