基于分位数回归技术的金融市场稳定性研究 The Study on Financial Market Stability Based on Quantile Regression Technique

立足于我国金融市场发展特点，本文从收益波动率的视角重新定义金融稳定的内涵，利用分位数回归技术提出了具有普适意义的用于金融市场稳定性检验的模型。通过对上证市场历年稳定性情况进行实证检验分析，发现2002年以来上证市场开始由不稳定状态向着稳定状态发展，该结论也通过了模型的敏感性检验。此外，本文还探讨了“极端利好”消息在维护金融市场稳定过程中的重要作用并且验证金融危机之后我国政府出台的一系列救市政策积极正面的影响。 The study proposes a new definition for financial stability from the perspective of return volatility, considering about the developmental characteristics of Chinese stock market. With quantile regression technique, we develop a universally econometric test for financial stability. Empirical analysis results within Shanghai market show that the market has been beginning to turn to a stable state from an unstable one since 2002, this conclusion is also confirmed by a sensitivity test of this model. Moreover, this paper investigates a vital role that the “extremely good” news plays in safeguarding financial market stability. Furthermore, the positive impact of a series of policies on rescuing the market, which is promulgated by Chinese government after the financial crisis, has been verified by our test.