中国股市的过度反应与“政策市”现象实证研究

股票市场的过度反应现象体现了市场的运行效率和特征.本文运用事件研究方法检验了中国股市对政策性信息的过度反应问题,针对中国股市的"政策市"观点进行了讨论.采用4个典型的政策事件进行实证分析,结果表明中国股市对政策信息存在过度反应,市场尚未达到半强有效;与针对收益信息的同类研究结果相比,政策对市场具有更重要的影响作用,从而体现出较为明显的"政策市"特征.

Empirical Study on the Phenomenon of Over-reaction and "Policy Market" in Chinese Stock Market

In this paper, an empirical test is conducted on the ove-reaction to the policy information of the Chinese stock market using the method of "event study" and the popular viewpoint of "policy market" is discussed here. Empirical results on the four typical policy events indicate that the Chinese stock market does over-react to the policy information, which implys that it has not satisfied the semi-efficiency hypotheses. The comparison with the relevant test results on the earnings information suggests that the policies play a more important role than the earnings, which provides some positive evidences with the viewpoint of "policy market".