Impact Studies, Policy Events On China's Stock Market Fluctuations

The policy factor is an important reason of the China stock market dramatic fluctuation, dramatic and frequent fluctuation may distort the stock market price mechanism, leading to the loss of efficiency and impending market's role in optimizing the allocation of resources. At present, the most researches of how the policy factor influence stock market fluctuation focus on the continuous policy, the researches for policy event are few, already existed researches mostly are from the angle of single policy, the quantitative research from the angle of whole policy is few, the research utilizing establishing all kind of model from the whole policy angle is less. Comparing with the continuous policy, the policy event belongs to short-term policy, it has greater degree impact and the questions it produced are more difficult to solve. So this thesis attempts to discuss the characteristic of how the policy event affect China stock market fluctuation as well as the change of characteristic in different time utilizing modern quantitative analysis method and the mathematical model basing theoretical analysis foundation,it will aim to enrich understanding in the theory and the practice to the China stock market price behavior.The thesis is divided into three parts.The first part refers to the first chapter, it's the summarization of the whole thesis.First, it gives the goal and significance of the thesis, some concepts of this thesis, then it makes a literature overview of the theoretical study, finally it presents the area of research, the arrangement of the integral structure,the innovations of the research.The second part refers to the second, third, fourth and the fifth chapter, it is the key part.The second, third and the fourth chapter is from the angle of whole policy event, the fifth chapter is from the angle of single policy event.The second chapter discusses how the policy event may influence stock market risk,different from the most scholars' research, this chapter attempts to estimate the influence degree and direction of policy event to the stock market risk using many kinds of quantitative analysis method,and not only risk level but also market ambush risk has also been measured.First,it summarizes the stock market risk measure method and their shortcoming,then proposes measure methods of the policy event affecting risk,such as econometrics model and event analysis basing on the standard variance, VaR value measure and condition VaR value measure. Finally it carries on the empirical analysis and discusses the quantity characteristic and the rule reason of stock market risk.The third chapter discusses how the policy event influence the stock market from the angle of volatility non-linear structure.First, it confirmates and establishes the volatility model ulitizing the McLeod-Li, BDS and Hsieh test, then using recursion BDS test to analyze whether the non-linearity test result is sensitive to policy event, namely whether the non-stability has created the non-linear structure because of the i.i.d linear may be contaminated by policy event. The result of this chapter may provide the theory support for the rationality of non-linear model such ARCH in the stock market analysis.The fourth chapter discusses the margin of fluctuation and persistence of policy event influence to the stock market fluctuation. First, it proposes the model which containing policy event dummy variable and ARCH adjustment, then it carries on the empirical analysis, it thoroughly analyzed the policy event to the stock market fluctuation scope and the enduring characteristic as well as the characteristic evolution. in addition, this chapter also discusses the fluctuation persistence of policy event stochastic impact using the pulse response function.The fifth chapter appraises the long-term influence effect of the price limits to the stock market fluctuation. The EGARCH model and its news responded curve is used to appraise the policy effect of price limits, especially it studied the policy asymmetrical response to the stock market.The sixth chapter is the third part. It summarizes the whole thesis and proposes the questions of further study.The thesis mainly has made some innovations effort in following several aspects:The first, the research of how policy event influence stock market fluctuation has important theory and the practice significance for the China stock market development and the policy regulation.But the research of policy event is few in the literature, the quantitative analysis is more lacks, the existed research mostly is from the angle of single policy event, the system quantitative analysis from the angle of the whole policy event is less.This thesis is first time to establish fundamental quantitative analysis frame of how the policy event may influence stock market fluctuation. In addition, no matter question proposes, description, analysis or solution all has the empirical support, it causes each part of conclusions all establishes in the powerful research foundation.The second, this thesis summarized and proposed the shortcoming of domestic and foreign literature research, it may establish the certain foundation for the related research.The third, the mentality of how the policy event may influence stock market fluctuation is further expanded:First, it not only measures the risk level,the market ambush risk but also researches how policy event may influence stock market risk from the angle of policy event characteristic, the market trend as well as the stock market different development phase.In addition,researching the China stock market risk characteristic using the condition risk value model not be founded in the related literature.Then the thesis uses statistical test to precisely determinate non-linear structure of stock returns volatility in the research of how the policy event may influence the structure of stock returns volatility breaks through the research route of directly fitting the ARCH mode on the qualitative analysis foundation.Finally, the thesis uses the EGARCH model and its the news response curve not only researvhed whether the volatility reduced after the price limits be used but also it studied the policy asymmetrical response to the stock market.The fourth, the thesis using recursion BDS test to analyze whether the non-linearity test result is sensitive to policy event, namely whether the non-stability has created the non-linear structure because of the i.i.d linear may be contaminated by policy event,the result of this chapter may provide the theory support for the rationality of non-linear model such ARCH in the stock market analysis.The fifth, the thesis disscusses the symmetrical effect change of the policy influence in the research of the long-term effect appraisal of the price limit,and the thesis rejects more sample before and after the event day to made up the flaw of representation to the long-term effect appraisal.The sixth, this thesis synthetically utilizes many kinds of modern statistical method and the econometrics model to research how policy event affect stock market influence, especially it has successfully applied the condition VaR model, Hesin test, BDS test, recursion BDS test, VAR model and pulse response analysis, EGARCH model and news response curve in the empirical analysis, and obtains some regular conclusion.