China Conference On The Stock Market Effect Research

The efficiency of capital markets has been researched for years in academia. Experts and academics find the "weekend effect", "monthly effect" and "weekly effect" in most countries' stock markets, which proves there are deficiencies in capital markets efficiency. In China, the stock market is an emerging market, so it must have got its own characteristics in the institutions, structures and functions. The National Congress of the Communist Party of China, the National People's Congress and the National Committee of the People's Political Consultative Conference are really important in our country's political institutions, and each time they held, the various information will be delivered. So do they will really cause the investors' consistent behavior in selling or buying shares, which will bring the opportunities of earning "abnormal revenue"? If the "Congress Effect" really exists, we need to research on the mechanism and extent of this impact. The investigation of these issues will not only deeply develop the capital markets' efficiency theory, but also promote China's capital market reforms and improve its efficiency, which has theoretical and practical significance.This research based on the theory of capital markets efficiency as well as domestic and foreign research. Putting the development of Chinese stock market's history under consideration, it has defined, described and analyzed the effect of Congress Effect. Then using the descriptive statistics, LOS (including dummy variables) and the event study method to research the stock price indexes, and the empirical comprehensive study with these methods research the samples since the establishment of Shanghai and Shenzhen stock markets, under all congress windows, aiming to find the regularities. These three testing methods verify and complement with each other, so they can improve the scientific nature of empirical conclusions and accuracy. Based on the theoretical and empirical research, we can come to these following conclusions: Firstly, through the study of stock price indexes we affirm the existence of the Congress Effect in China's stock market. So we can judge the effectiveness level of China's stock market -it does not achieve the level of semi-strong efficiency. Secondly, the process of empirical testing also objectively reveals the regularities of Congress Effect. Finally, we can raise the policy recommendations to deepen capital market reforms, improve the efficiency of China's capital markets and perfect the capital market institutions in order to guide our practice.