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| 论文编号： | 542 | |
| 作者编号： | 2120062067 | |
| 上传时间： | 2008/6/19 14:46:42 | |
| 中文题目： | 中国股票市场政策效应和政策效率 | |
| 英文题目： | Empirical research on policy e | |
| 指导老师： | 陈国欣 教授 | |
| 中文关键字： | 政策市;政策效应;政策效率;实证< | |
| 英文关键字： | policy market;policy effect;po | |
| 中文摘要： | 中国股票市场始于上世纪90年代初，从其发展历程来看，政府的推动和引导对其成长起了非常重要的作用。政府不仅运用法律手段和经济手段来调节和规范股市的运行，而且还经常通过颁布各种各样的政策对股市实施干预。这就导致了中国股市“政策市”现象的出现。实际上，世界上许多国家的股市在其发展过程中都不同程度的受到了政府的政策干预，以致大多数人都认为“政策市”是一种有害现象，是股市运行不健康和缺乏效率的体现。本文认为“政策市”不必然是一种“不好”现象。在讨论“政策市”的影响时还必须考虑政府政策的政策效率。股票市场的政策效应存在无政策效应、政策反应不充分、政策反应过度、政策反应充分四种情况。如果政策效应的结果是政策反应充分，即具有政策效率的话，那么“政策市”则是一种“好”的现象。因此，对中国股市“政策市”的评价不能一概而论。 “政策市”是由政府颁布的针对股市的政策导致的。股市政策是指旨在影响股市的有针对性的政策措施或其组合，包括了变更交易制度、高层表态、调整监管力度、直接调节入市股票与资金及税收政策中对于证券市场的部分，甚或有时包括有针对性的利率调整。 本文在深入了解中国股市“政策市”现象的基础上。通过运用异常波动点法和ARCH类模型法对中国股市的政策效应进行了实证研究。研究发现，中国股市存在明显的政策效应现象。同时，本文又运用事件研究法对中国股市是否具有政策效率进行了实证研究。研究发现，中国股市明显缺乏政策效率。然后，本文对“政策市”的根源以及如何改善中国股市“政策市”现象进行了探讨。 本文有许多不足之处，如章节之间的衔接不够自然、实证方法的选取缺乏创新性以及一些结论和分析还不够成熟。希望得到老师和相关专家的指导，也希望自己能在后续研究过程中弥补相关的不足。 | |
| 英文摘要： | Chinese stock market started in the early 1990s. According to its development process, government’s promotion and guiding plays a very important role to its growth. Government not only uses legal and economic means to adjust and standardize stock market’s operation，but also often intervenes in the market through the enactment of a wide range of policy. This leads to Chinese stock market a "policy market". In fact, many countries’ stock market are subject to varying degrees of government policy intervention in the course of their development, which most people believe that "policy market" is a harmful phenomenon and the stock market is unhealthy and inefficient. This article holds that the "policy market" is not necessarily a "bad" phenomenon. In discussing policy efficiency of "policy market", the impact of government policies must also be considered. Policy effect of the stock market can be classified into four kinds: non- policy effect, inadequate policy response, excessive policy response and sufficient policy response. If the effect of the result is "sufficient policy response", then the "policy market" is a good sign. Therefore, the evaluation of Chinese "policy market" can not be lumped together. "Policy market" happens when government establishes policies on the stock market. Stock market policies are intended to influence the market in targeted policy measures of their portfolio, including changes in the trading systems, high-level position, adjusting the extent of supervision, direct equity, capital market regulation, tax policy and sometimes even including interest rate adjustment. Based on in-depth understanding of Chinese "policy market", the article uses "abnormal fluctuation point" method and ARCH models to test policy effect of Chinese stock market. The result shows that the stock market is in obvious policy effect. At the same time, we use the "event study" method to test whether Chinese stock market is efficient. Study shows that Chinese stock market is obviously lack of policy efficiency. Then, the root of Chinese "policy market" as well as how to improve the "policy market" phenomenon is discussed. In this paper, there are many shortcomings, such as convergence between the sections is not natural, empirical method is not an innovation and some of the conclusions and analysis are still immature. I hope teachers and experts can give me advices, I also hope that I can make up deficiencies in the following research. | |
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