Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

Empirical Research into Policy Influencing Chinese Stock Market’s Fluctuating

Author WenDeQing
Tutor YanWu
School Jiangxi University of Finance
Course Finance
Keywords Empirical research Policy Stock market’s fluctuating
CLC F832.5
Type Master's thesis
Year 2004
Downloads 520
Quotes 5
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Over the past 13 years, a most basic character of the stock market is that the policy is heavily controlled. This is a most basic view of this text too. I am on the basis of reading a large amount of domestic and international materials and articles, and adopt a lot of methods such as the method of least Squares, ARCH models, VaR method, Levene examining method, Kolmogorov-smirnov examining method, Kruskal-Wallis examining method to study the complicated situation of Chinese stock markets under the policy-controlled stock marketIn the chapter one,I have studied the positive research to the fluctuation of stock market of china of macroscopic policies which include the monetary policy and financial policy at first and have drawn the following important conclusions: In 1993-2002, the dynamics of the macroscopic policy constantly became weak; The range that the range and GDP of macroscopic policy dynamics change has basically identical trends; Two characteristics exist on the relation that the macroscopic policy dynamics change fluctuates with the stock market income: On one hand, the range that income fluctuates on the stock market is far greater than the range of dynamics change of the policy, On the other hand, the moving direction of the macroscopic policy and moving direction of the fluctuation of stock market are still same basically. However, at the a lot of time, the function direction of the macroscopic policy( thus the macroeconomy) deviates from obviously the function direction of the fluctuation of stock market; According to visual angle of the interest rate, in the present stage, it can’t press the fluctuation of the stock market effectively on behalf of the monetary policy while regarding change of interest rate as models, On the contrary, the constantly changeable monetary policy becomes and aggravates the factor of luring of the fluctuation of stock market insteadChapter two: analyse the impact on stock market period of policy incident. I have drawn the following important conclusions: Frequently replacing of the stock market period by the effect of policy incident; Administration and supervision authorities adopt sometimes a great policy or a lot of policies to influence the function of the stock market thus the result brought is far from each other, The changeable and the frequent changes of stock market influence each other too much and people pay too close attention to the above influencing, wich makes the stock market’s deviates from the economic tendency for a long time ; The careful entry which treats the stock marketpolicyChapter three: Use the ARCH models to analysize Chinses stock market fluctuation. With ripe stock market being the same: Change with time collect the a group of quality asymmetry in fluctuation of the earning ratio of stock market of Chinses. this chapter thinks at last: There is relatively strong explanation strength to three characters of the fluctuation of stock market of Chinses in the factor of the policy at present oChapter four: to measure the risk that the policy incident influences to the stock market income On the basis of outcome by GARCH model I use relatively prevailing VaR method to measure the conditions from the effect of Chinses policy incidents and the fluctuating income at stock market. Its result shows: Around policy issue by incident .there is a relatively heavy change of VaR ,thus indicate policy influenced the stock market risk of china greatly by incident; It is can have been effectively for tolerance in VaRs /predict of Chinses policy incident of it is for risk where stock market produceChapter five: It is that the contrast of the effect is studied in week under two kinds of states of stock market of Chinses. This chapter finish dividing into state A ( with policy interfere)and at Chinses week effect go on and compare state B( without policy interfere) with and study. At state A, its result of study is the same as a lot of domestic scholars’ result of study: The effect in week exists; But under state B, the effect in week does not exist . Th

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