政策干预上海股市行为的统计分析

一、引言政府政策的频繁干预是我国股市的一大特征。唐利民等 ( 1999)的研究表明 ,从 1992年至 1998年 ,在造成上海股市股价异常波动的因素中 ,政策因素的影响占总影响的 4 4 % ,市场因素占 2 3 % ,扩容因素占 2 1% ,消息因素占 12 %。出于保护幼稚股市发展的目的 ,政府进行必要的政策干预无可厚非。但是 ,过多的政策又是不利于股市发展的。因此 ,用好政策就需很好把握政策的力度。而要做到这一点 ,认真研究政策干预下股市行为的规律就很必要了。本文所研究的政策干预下的股市行为 ,是指股票市场指数对政策的反应如何 ,具体来说是指股价指数…

Statistical analysis on the policy effects on Shanghai's stock market

For both regulators and investors, it’s very important to understand the effects of policy on China’s stock market. The accumulated abnormal return effects of good news policy and bad news policy on Shanghai Composite Index are studied by the method of event study. Some results of these effects are concluded and the causes of them are also put forward. It concludes that China’s stock market will move smoothly again after three-to-four-day-adjustment to the short-term impacts of policy. Using the method of event study to study the changing patterns in market indexes is another creative contribution of this paper.