我国股市的政策效应及演化趋势

发布时间：2018-06-12 10:34

本文选题：政策 + 干预模型　；参考：《湘潭大学》2013年硕士论文

【摘要】：我国股票市场成立较晚，市场发展还不够成熟，投资者仍然缺乏理性。政府为了维护市场稳定、引导投资，经常会干预市场的运行。政策干预是政府干预股票市场的重要手段，现有研究显示我国股票市场存在明显的政策市特征。但是，政策干预的效果如何，，颁布怎样的政策以更好干预市场，目前都没有很好的度量方法。如果能够衡量出政策干预对股票市场波动所带来的冲击力度，以及冲击力度的持续性，那么就可以很好的把握政策干预的预期效果，使干预更有效。在此基础上，如果能够对各类政策加以区分，分别衡量出不同类型政策的影响程度，以及同种类型的政策在股市发展的不同阶段对股市波动影响的差异，就能为政策制定主体在使用政策干预市场时提供依据，同时也能给投资者提供一个应对股市波动的参考。本文以有效市场理论为基础，把政策视为影响股票价格的一种信息流，来研究政策对股票价格的影响。首先，对传统的干预模型进行修正，使干预模型中的时间变量T代表的是政策作为信息流实际影响股市的时间，修改后所得到的冲击力度才能真正反映政策对股票市场的影响大小。接下来在众多政策制定主体中选取最具影响力的中国证监会、中国人民银行和财政部三个，并在其所颁布的各项政策中选取对股票市场影响较大的几种政策：印花税、利率、存款准备金率和其他直接股市政策，用修正后的干预模型来分析各类政策对股市的影响幅度及影响的持续性。同时，按一定的划分原则，将我国股票市场划分为不同的阶段。最后，对实证结果加以分析，总结了同种类型政策在股票市场发展的不同阶段对股市的影响差异，以及不同类型政策在股市发展的相同阶段对股市影响的不同。从同类政策对股票市场影响的差异中，发现我国股市的发展趋势和规律。在文章结尾，针对本文的实证结果，提出了各种政策建议。
[Abstract]:China's stock market was established late, the market development is not mature enough, investors are still lack of rationality. In order to maintain market stability and guide investment, the government often interferes with the operation of the market. Policy intervention is an important means of government intervention in stock market. However, there is no good measure of the effect of policy intervention and the policy to better intervene the market. If we can measure the impact of policy intervention on stock market volatility and the sustainability of impact intensity, we can grasp the expected effect of policy intervention and make the intervention more effective. On this basis, if all kinds of policies can be distinguished, the degree of influence of different types of policies can be measured, as well as the influence of the same type of policies on stock market volatility at different stages of the development of the stock market. It can provide the basis for the policy makers to intervene in the market, and can also provide a reference for investors to deal with the volatility of the stock market. Based on the efficient market theory, this paper regards policy as a kind of information flow that affects the stock price. To study the impact of policy on stock prices. First of all, the traditional intervention model is modified so that the time variable T in the intervention model represents the time when policy, as a flow of information, actually affects the stock market. Only after modification can the impact of the policy reflect the impact of the policy on the stock market. Then, three of the most influential policy makers, the CSRC, the people's Bank of China and the Ministry of Finance, are selected among the many policy makers, and several policies that have a greater impact on the stock market are selected among the policies promulgated: stamp duty, interest rate, The reserve requirement ratio (RRR) and other direct stock market policies are analyzed by using the modified intervention model to analyze the extent and sustainability of the impact of various policies on the stock market. At the same time, according to certain division principle, the stock market of our country is divided into different stages. Finally, the empirical results are analyzed, and the influence of the same type of policies on the stock market in different stages of the development of the stock market is summarized, as well as the influence of different types of policies on the stock market at the same stage of the development of the stock market. From the differences of the influence of the similar policies on the stock market, we find out the development trend and law of the stock market in our country. At the end of the article, various policy suggestions are put forward according to the empirical results of this paper.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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