Research on the Policy Imbalance Effect of China's Stock Market

Author: Lu Rong
Publisher:
Publish Date: 2006-05-01
Features: "The Chinese stock market is an emerging market, and its development largely depends on government policy intervention. This is manifested in the fact that administrative measures have a greater impact on the stock market than changes driven by corporate or market intrinsic factors, hence it is also referred to as a 'policy-driven market.' This book starts by deeply analyzing the roots of China's 'policy-driven market,' compares existing policy effect measurement methods, and employs the EGARCH model and event study methods to examine the stock market's asymmetric response to 'good news' and 'bad news.' It also investigates the changing ways in which policies affect the stock market, concluding that the Chinese stock market is transitioning toward a value investment era. Based on a wealth of data, the book conducts empirical research on the policy effects of the stock market, demonstrating certain innovative aspects: for example, the author points out that the impact of new information on the stock market should be differentiated based on the market's current position; based on the conclusion that 'good news' has a greater impact on China's stock market than 'bad news,' an 'information effect curve' is created, and this curve is used to conduct a specific analysis of the market's asymmetric response characteristics. These insights hold significant guidance for both theoretical researchers and policymakers."