Research on the Policy Imbalance Effects of the Chinese 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. Specifically, 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 root causes of China's "policy-driven market." Based on a comparison of existing policy effect measurement methods, it employs the EGARCH model and event study methods to examine the asymmetric response of the stock market to "good news" and "bad news," investigates the changing ways in which policies affect the stock market, and concludes that the Chinese stock market is transitioning toward a value investment era.
Building on a wealth of data, this book conducts an empirical study on the policy effects of the stock market, showcasing 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 finding that "good news" has a greater influence on China's stock market than "bad news," an "information effect curve" is created, and this curve is used to conduct a detailed analysis of the market's asymmetric response characteristics. These insights hold significant guidance value for both theoretical researchers and policymakers.