中国股市的政策效应研究

【作者】 郭晓慧；

【导师】 尹效华；

【作者基本信息】 郑州大学 ， 国民经济学， 2007， 硕士

【摘要】 中国股市自成立以来受政策影响很大，被人们形象地称为“政策市”。对政策效应特点及其演变趋势的准确把握，有利于增强人们对股市的认识，做出正确的投资决策，有利于政府对股市的重新定位，促进股市健康有序发展，对中国股市的政策效应进行研究有深刻的理论和现实意义。对政策效应进行研究，首先要对相关概念进行界定。在股市的政策效应研究中，“政策”在此有特别的含义，内涵方面要求其针对股市，外延方面范围较广，包括大政方针、法律法规、条例规章、领导人讲话、重要媒体的舆论等。此外，政策效应、政策效率、政策市也有着联系和区别。政策效应指政策的出台对股价走势产生一定影响，政策效率指市场对政策反应的充分程度，政策市是对股市受政策影响较大的一种描述性表达。股市政策效应的测度是通过量化政策对股票价格即对股市大盘指数收益率的影响来进行的。通过选取2005和2006两年典型的政策事件样本，以上海股市为研究对象，运用事件研究法，选用固定收益模型，实证分析了政策对股价波动的影响。研究发现，近两年股市仍有较显著的政策效应，比之以前有减弱的趋势。同时也出现了一些新情况，一是市场对政策信息的反应更加灵敏，市场更加有效。政策事件发生后，累计异常收益率的峰值所处的时间点与政策事件日越来越近，延迟效应减弱。二是市场对政策事件提前反应时间变短甚至消失。市场对2005年政策事件提前反应的时间约为政策事件日前一周，而2006年的政策事件市场提前反应的现象不显著。三是中国股市对利好政策和利空政策的反应与以往有较大差异。四是政策的连续性增强。股市政策效应之所以出现这些新情况，原因在于：一是股市定位发生改变，二是政府角色转换，三是投资者理念和结构的变化，四是上市公司质量有所提升，五是制度建设逐步完善。在此基础上，根据福利经济学和信息经济学理论，结合我国处于经济转型期、处在改革的深水区等特定的历史条件，政府应在加强股市监管等方面有所为有所不为。更多还原

【Abstract】 The Chinese stock market has been influenced by the policy greatly since its foundation. Because of this the Chinese stock market was called "policy market" .Researching the policy effect and its character has very important theory meaning and realistic meaning .Through studying, it can not only reveal the function of the stock market but also the rule of its development. And those are useful for people making correct decision and for the government’s orientation.Before researching we’d make clear of the meaning of policy, policy effect, policy efficiency. Policy means some measures that are taken to influence the stock market. It includes guidelines, laws, statutes, the views point of the leaders and the important medias. Policy effect, policy efficiency and policy market have different meanings.And then I choose some policies and Shanghai stock index to analyze the policy effect of the Chinese stock market. By event study method and constant return model this paper got some conclusions. The empirical results show that the Chinese stock market is becoming more mature and the policy effects are weakened. Also, there are some new stations in Chinese stock market, for example, the expectancy reaction to the policy is weakened and the policies are more constant than ever before. The Chinese stock market is becoming more and more efficient.In my opinion, there’ re several reasons for the new character. One is that the orientation of the stock market has changed. Secondly, the orientation of the government has changed too. Thirdly, the notion and the structure of the investor have changed. Fourthly, the quality of the list companies has been improved. And last the institution environment has changed. According to these, and in the view of welfare economics and asymmetric information economics, also, because of the character of our economy, the Chinese government should enhance the supervision of the stock market.更多还原