摘要:Through empirical analysis on policy factors towards the stock market, we found that the stock market reacted strongly to the policy. The problem of “policy market” is rather serious.
alue return period:
(Formula 3)
namely: (Formula 4)
Then, whether the policy causes a significant role in the process of the stock market or not, can be statistically tests on as follows:
The original hypo
thesis( ): Policy has no significant effect on the stock market;
The alternate choice of assumptions( ): The policy dose have a significant influence on the stock market;
Construction of test statistic (Formula 5)
In which, , is each specimen stock i(i=1,2……30) the average byte of the abnormal returns.
,
is the sample variance in estimated period, as the Variance Estimator of the fact that policy has no significant effect on the stock market.
If meet the conditions of independence, with the distribution and normal, than if it occurs in the absence of policy, the un-inspection statistic J would be subordinated to the distribute of T.
2.2 Date Collection
2.2.1 Basis to Selection on Policy Date
The choices of policy should be staggered on time as far as possible, in order to avoid overlap between the policy impacts; try best to avoid the non-policy events which would produce combined action to all the block (such as the time when financial reports disclose), in order to prevent cross-cutting with policy, even have a cross reaction; to comprehensively and objectively select some representative policies, policies can be divided into three categories: good policy (index rose by 2.5% and above), bad policy (index fell 2.5% and or more), and less impact on policy (index fluctuate less than 2.5% change)
Based on the principles above, we have chosen nine policies from the year 2000: “With regard to placement of new shares to investors in the secondary market issues related to notification and Securities Company stock collateral loan management method (2000.2.24)” (Policy 1), “ Shanghai Stock Exchange official launch of large transactions (2003.1.10)”(Policy 2), “Securities Market Analysis will hold a forum to enhance the securities market and steady development of 2002.1.31” (Policy 3), “Foreign securities firms to participate in the establishment of rules and foreign equity fund design rules (2002.6.6)” (Policy 4), “qualified foreign institutional investors invest in domestic securities investment management Interim Measures (2002.11.7)” (Policy 5), “reduction of state-owned shares to raise Interim Measures for Social Security Fund Management (2001.6.14) ”(Policy 6), “Financial penalties for violations 2000.2.28” (Policy 7), “suspend state-owned shares 2001.10.23” (Policy 8), “Securities Investment Fund Law was passed 2003.10.28” (Policy 9).
2.2.2 Principle of Selection of the Sample Stocks and Date Acquisition
In this paper, we use 30 stocks in the latest adjustment 30 Index of the Shanghai stock exchange company of July 6, 1998 for the sample stocks. It is timely adjusted by an expert committee in the principle of accordance with the sample stocks stability and combining dynamic tracking, and selected all the listed A shares in the most representative species of a sample of 30 stocks. In order to fully reflect the effect of policies in each stage of the reaction, the sample stocks data are selected in the intrinsic value of the estimated period of 30 days, the ex-ante checkout period of 5 days, the within phenomena checkout period of 5 days, the ex-post checkout period of 10 days, the value return period of 10 days, altogether
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