【作者】 刘波；

【导师】 易传和；

【作者基本信息】 湖南大学 ， 金融学， 2010， 硕士

【摘要】 管理层干预证券市场的政策实效问题在学术界和管理职能部门中已产生了很多争论。本文将管理层实施的各种宏微观经济政策、财税政策、行政司法措施等,旨在影响证券市场的政策定义为逆向干预政策。2006-2008年期间,一系列密集的逆向干预政策由于无法直接量化建模,因而无法用经典的事件研究分析法或异常点研究法来对其实效问题进行实证研究,因此本文为了对这一时期逆向干预政策进行实证研究运用了一个较好的替代研究方法,即误差修正模型。本文立论的基础在于股指与经济基本因素之间存在协整关系。写作的思路是根据现象,逻辑分析导致这一现象的原因。使用这一模型的依据不在于本文能证明误差修正项就是逆向干预政策的影响,而在于本文在用数据实证股指与经济基本因素存在协整关系后,当根据一段时间内经济基本因素没有根本改变的现实,特别是当时中国证券市场缺乏内在调节机制的现实,逻辑分析推断出只有不可量化的逆向干预政策这一持续的宏观因素能通过一系列的误差修正项促使股指围绕股指与经济基本因素之间的协整关系而调整,而不存在其他宏观因素能长期产生如此持续的反向调节作用。那么衡量、对比这一调整速度的变化,即误差修正项系数,就可以作为一种对逆向干预政策实效进行实证分析的手段和方法。实证数据表明,总体上股指的短期波动不仅受到有关变量短期波动的影响,还受到滞后2期以上的误差修正项的影响,误差修正项的系数均是负数,符合反向调节机制。实证研究表明逆向干预政策达到了预期目的,但在股指涨跌的不同阶段其实效表现不同,而且在一个较长时间段内,其效果不显著,因此本文就未来的逆向干预政策提出了相应的政策选择。更多还原

【Abstract】 There are considerable arguments for the empirical effect of those intervention-policies in China’s academic and administration. The market has entered a different phase because of the approaching reality of all-circulation-market. The possibility of intervention in the future needs to be based on the empirical analysis of the present intervention.This dissertation defines adverse-intervention policies as different policies to influence stock exchanges. During 2006-2008, a period of no fundamental change in the economics, a series of intervention policies still can’t be direct quantitative modeled. However a new method for evaluation is needed for the future possibility of intervention, so this dissertation firstly presents an alternative for this purpose, namely ECM.This dissertation is based on the co-integration relationship between variables, such as industry, trade, consume, ml, and the stock index of shanghai.ECM can establish some results through the data from January of 2006-November of 2008. Without the financial futures and margin requirement system in stock market, the administration uses those intervention-policies to control the trend of the stock index. So the fluctuation of the stock index around the co-integration relationship relative correctly registers the effect of the adverse-intervention policies on stock market, because only such a factor, in the view of macroeconomy, has such sustained effect.Empirical researches indicate that the short-term fluctuations of stock index not only depend on the variables’short-term fluctuations, but also on the lagged more than two items impact of ECM generally. The coefficients of ECM are negative, in line with the mechanism of the reverse regulation. This empirical study suggests that adverse-intervention policies achieve the expectant purpose, but in the different stages of index’s change, the policies have different roles. Otherwise this reduced impact is not significant in the long run. So this dissertation presents alternative options for the future.更多还原