Effect on Mainland China’s Securities Market By Event & Policy

Abstract

[[abstract]]摘要   中國大陸證券市場為新興的股票市場,但她卻吸引許多人的注意,除了擁有高度成長的潛力外,在共產制度下卻使用資本主義的產物,這種制度上的矛盾也是眾人所矚目的。本研究主要依據半強勢效率市場的概念,探討中國大陸證券市場的效率性,也就是研究中國大陸證券市場受事件與政策的影響程度。 本研究的目標市場為中國大陸上海與深圳兩地的A股股票市場,研究期間為1992年到2001年,資料採用十年間的股價指數日資料,並利用事件研究法進行實證分析。本研究的研究假說有兩點,敘述如下: 1. 中國大陸的證券市場在政策與事件的影響下會產生異常報酬。 2. 中國大陸市場易受政府政策所影響。 本研究在進行實證方面,分別針對此兩假說選定十年期間所發生的政策與事件,並對上海與深圳兩股市A股市場進行實證研究,所得到的研究結果如下: 1. 在假說一的實證方面,上海與深圳股市都有顯著的累積異常報酬產生,這結果支持本假說一,表示大陸的證券市場受政策與事件的影響程度很大。 2. 在假說二的實證方面,上海A股市場有顯著的累積異常報酬改變的情形,這結果支持本研究假說二。但在深圳A股股票市場上,則沒有顯著的結果產生。這表示在政策影響股市上,上海股市較深圳股市有顯著的影響。 在隨著兩岸相繼加入WTO後,相信兩岸的經貿交流會更加盛行。所以本論文的進行,除了希望帶給閱讀本文者,對大陸證券市場有基本的認識外,也對想要投資大陸股市的投資者來說,能在風險衡量上有所助益。[[abstract]]ABSTRACT   Although Mainland China’s securities market is a newly developed stock market, yet it attracts attention of many people. Apart from a potential high growth, stock market is actually a product of capitalism but when it is operated under a communist system its contradiction catches attention from everybody. This research is mainly based on the concept of efficient market to explore the efficiency of Mainland China’s securities market. In other words, this is a research on the degree of effect on Mainland China’s securities market by event and policy. Target markets of this research are Category A stock markets in Shanghai and Shenzhen of Mainland China. The research is conducted from 1992 to 2001 and information utilized is the daily stock price index information during these ten years and the event study method is utilized to carry out concrete evidence analysis. There are two assumptions in this research: 1. Under effect of policy and event, Mainland China’s security market will generate abnormal returns. 2. Mainland China’s market is easily affected by Government policy. In respect of conducting concrete evidence in this research, based on the above two hypothesiss separately, policies and events occurred during this ten year period are chosen. In addition, concrete evidence research are carried out aiming at the Category A stock market in Shanghai and Shenzhen and the research results obtained are as follows: 1. In engaging concrete evidence on hypothesis 1, very obviously both Shanghai and Shenzhen stock market have obvious cumulative average abnormal returns. This result supports hypothesis 1 of this research representing that the degree of effect on Mainland’s securities market by policy and event is very large. 2. In respect of concrete evidence result of hypothesis 2, in Shanghai Category A stock market, before and after the events, there are obvious change of cumulative average abnormal returns. This result supports hypothesis 2. However, in Shenzhen Category A stock market, there is no such obvious result. This represents that in the effect on stock market by policy of Mainland Government, compared with Shenzhen stock market, there is more obvious effect in Shanghai stock market. Following entry into WTO by two straits, it is believed that economic and trade exchange between two straits will be more active. Therefore by conducting this essay, apart from hoping it can bring to readers a basic understanding on the Mainland’s securities market, to investors who intend to invest in Mainland stock market, this essay will be helpful to them in risk assessment

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This paper was published in FirstTech Institutional Repository.

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