Econ Papers Daily / 期刊论文
中国主权债务市场（1921–1937）：信息效率与谣言的影响
China's sovereign debt market (1921–37): Information efficiency and the impact of rumours
摘要
China's sovereign debt market emerged with the establishment of the Shanghai Chinese Merchant Stock Exchange (SCMSE) in 1921 during the Beijing Era (1912–27) and flourished in the Prewar Nanjing Era (1927–37), when it dominated the securities market. Despite this growth, our analysis of weekly SCMSE–traded debt returns shows that the market lacked even weak form efficiency throughout the period. This inefficiency fostered a rumour‐driven environment. Using Shenbao , we find that weekly rumours related to the debt market rose from 0.6 in the Beijing Era to 1.5 in the Nanjing Era, yet the Beijing market was more vulnerable to their influence. Positive rumours were ignored in both periods, whilst each negative rumour reduced weekly returns by 96 basis points in the Beijing Era, compared with only 53 basis points in the Nanjing Era. Both markets responded similarly to rumours later verified, yet the Nanjing market was far less unsettled by false reports. Taken together, the evidence suggests that by the Nanjing Era the sovereign debt market had developed greater resilience in processing information, marking a step towards improved efficiency.
中文摘要
中国主权债务市场随着1921年上海华商证券交易所（SCMSE）的成立而在北京政府时期（1912–27年）兴起，并在战前南京政府时期（1927–37年）蓬勃发展，当时其在证券市场中占据主导地位。尽管有这一增长，我们对上海华商证券交易所交易的债务周度收益的分析表明，该市场在整个时期甚至不具备弱式效率。这种低效率催生了一个由谣言驱动的环境。利用《申报》，我们发现与债务市场相关的周度谣言从北京政府时期的0.6条上升至南京政府时期的1.5条，然而北京市场更容易受到其影响。两个时期都忽视了正面谣言，而每条负面谣言在北京政府时期使周度收益降低96个基点，相比之下南京政府时期仅降低53个基点。两个市场对后来被证实的谣言反应相似，然而南京市场受虚假报道的扰动要小得多。综合来看，这些证据表明，到南京政府时期，主权债务市场在处理信息方面已发展出更强的韧性，标志着向效率改善迈出了一步。