山东大学博士学位论文 两种现象。一方面，当股票市场过度投机时，市场就会形成政府 打压市场的政策预期，对宏观政策“行动”保持高度的警惕性和 敏感性，一旦政策干预发生，往往导致股市的恐慌性抛盘，股价 暴跌，并在很长时间内存在着政策“余悸”，形成股价持续性下跌 的局面。另一方面，每当股票市场出现低迷时，市场又会形成“政 策依赖”，期待政府“救市”。一旦利好政策出台，市场又往往出 现股价暴涨行情。第三，中国股票市场宏观政策存在着明显制度 缺陷。一是尚未形成一套规范证券市场健康运作的法律法规体系 和监管制度，宏观政策缺乏连续性和稳定性，临时性政策措施多， 出台频率高，而且宏观政策往往带有明显的功利性，使政策威信 和效率大打折扣。 再次，根据以上问题，本文对中国股票市场宏观政策取向做了 初步探讨。本文认为，实施股票市场宏观政策应当遵循审慎性原 则、稳定性原则、依法监管原则和动态监管原则，并提出建构法 制、监管和自律三个层次的股票市场宏观政策体系。从股票市场 法制建设看，一是应当加强高层次立法建设，增强法律的可操作 性；二是精简部门法规，提高法律制度的权威性；三是避免股票 市场的行政性干预，使政府行为和市场行为统一到依法治市和依 法经营、依法运作上来。从政府监管机制看，一是严格执行股票 发行“核准制”，加强股票发行上市的监管：二是加强股票交易行 为的监管，防止内幕交易、市场操纵、信息误导、欺诈行为的发 生，并实现交易行为监管的连续化、动态化。三是加强证券中介 机构的监管，保证中介机构行为的规范化、合法化。四是加强中 小投资者的市场风险教育和培养机构投资者。从自律监管机制看， 本文认为应当形成以自律组织监管、证券中介机构内部控制和证 券交易所的自律监管三个层次的自律监管体系。 关键词：股票市场政策效应政策效率市场有效性 6
山东大学博士学位论文 6 两种现象。一方面，当股票市场过度投机时，市场就会形成政府 打压市场的政策预期，对宏观政策“行动”保持高度的警惕性和 敏感性，一旦政策干预发生，往往导致股市的恐慌性抛盘，股价 暴跌，并在很长时间内存在着政策“余悸”，形成股价持续性下跌 的局面。另一方面，每当股票市场出现低迷时，市场又会形成“政 策依赖”，期待政府“救市”。一旦利好政策出台，市场又往往出 现股价暴涨行情。第三，中国股票市场宏观政策存在着明显制度 缺陷。一是尚未形成一套规范证券市场健康运作的法律法规体系 和监管制度,宏观政策缺乏连续性和稳定性，临时性政策措施多， 出台频率高，而且宏观政策往往带有明显的功利性，使政策威信 和效率大打折扣。 再次，根据以上问题，本文对中国股票市场宏观政策取向做了 初步探讨。本文认为，实施股票市场宏观政策应当遵循审慎性原 则、稳定性原则、依法监管原则和动态监管原则，并提出建构法 制、监管和自律三个层次的股票市场宏观政策体系。从股票市场 法制建设看，一是应当加强高层次立法建设，增强法律的可操作 性；二是精简部门法规，提高法律制度的权威性；三是避免股票 市场的行政性干预，使政府行为和市场行为统一到依法治市和依 法经营、依法运作上来。从政府监管机制看，一是严格执行股票 发行“核准制”，加强股票发行上市的监管；二是加强股票交易行 为的监管，防止内幕交易、市场操纵、信息误导、欺诈行为的发 生，并实现交易行为监管的连续化、动态化。三是加强证券中介 机构的监管，保证中介机构行为的规范化、合法化。四是加强中 小投资者的市场风险教育和培养机构投资者。从自律监管机制看， 本文认为应当形成以自律组织监管、证券中介机构内部控制和证 券交易所的自律监管三个层次的自律监管体系。 关键词：股票市场 政策效应 政策效率 市场有效性
山东大学博士学位论文 ABSTRACT The stock market in China came into being at the beginning of 1980's.In retrospect of its short developing history,the whole process was inducted or promoted by the government,except for a certain nongovernmental spontaneity at the initial stages of the stock issue market.Government regulations and interventions to the stock market very frequently not only by legal and economic methods,but also policies.China stock market is so called"policy market".Then a very important questions will be raised in this situation:how the macroscopic policy will have influence on stock market and to what extent such influence does happen?In other words,this article just want to focus on analyzing macroscopic policy effect on China stock market. From abundant academic literature,economists who got the conclusion with "policy market"in China based on qualitative and experiential understanding.This dissertation is a kind of empirical type study on how macroscopic policy could influence stock market.The author tries to demonstrate the natures of China macroscopic policy effects on stock exchange market.Afterward,the author will put forward corresponding policy claims.The author applies calculating analysis method,uses data and information from both Shanghai and Shenzhen Stock Exchange.The paper is based on the Efficient Market Hypothesis which developed the key concepts like"weak form market efficiency”',half-strong market efficiency”and“strong market efficiency”. This dissertation consists of 5 chapters. Chapter one is preface.First,the author defines the"macroscopic policy"related to stock market with a mixture of legal,economic, administrative methods and other means of regulation.The macroscopic policy effects mean the reactions come from the stock market with the foregoing macroscopic policy.Second,purpose of this dissertation doesn't lie in testing whether the stock market in China is
山东大学博士学位论文 7 ABSTRACT The stock market in China came into being at the beginning of 1980’s.In retrospect of its short developing history, the whole process was inducted or promoted by the government, except for a certain nongovernmental spontaneity at the initial stages of the stock issue market. Government regulations and interventions to the stock market very frequently not only by legal and economic methods, but also policies. China stock market is so called “ policy market”. Then a very important questions will be raised in this situation: how the macroscopic policy will have influence on stock market and to what extent such influence does happen? In other words, this article just want to focus on analyzing macroscopic policy effect on China stock market. From abundant academic literature, economists who got the conclusion with “policy market” in China based on qualitative and experiential understanding. This dissertation is a kind of empirical type study on how macroscopic policy could influence stock market. The author tries to demonstrate the natures of China macroscopic policy effects on stock exchange market. Afterward, the author will put forward corresponding policy claims. The author applies calculating analysis method, uses data and information from both Shanghai and Shenzhen Stock Exchange. The paper is based on the Efficient Market Hypothesis which developed the key concepts like “weak form market efficiency”, “half-strong market efficiency” and “strong market efficiency”. This dissertation consists of 5 chapters. Chapter one is preface. First, the author defines the “macroscopic policy” related to stock market with a mixture of legal, economic, administrative methods and other means of regulation. The macroscopic policy effects mean the reactions come from the stock market with the foregoing macroscopic policy. Second, purpose of this dissertation doesn’t lie in testing whether the stock market in China is
山东大学博士学位论文 "policy market",but examining the characteristics of functional mechanism of stock market exerted by macroscopic policy,making basic evaluation of macroscopic policy posted on stock market,and putting forward policy suggestion regarding to how macroscopic policy should be carried out in stock market.Third,this dissertation points out the difference between“policy effect”and“policy efficiency”.Policy effect”ling in stock market doesn't mean“policy efficiency".Only when stock market reacts to policy information promptly,exactly,and fully can it be considered as"efficiency". Chapter two is a research statement about the Efficient Market Hypothesis.First,it gives the introduction of the fundamental theory frame,then it makes a detailed statement about three efficient markets on the basis of research literatures both in China and abroad.The foreign literatures demonstrate that this theory has been proved correct in most cases by statistic tests though the Effective Market Hypothesis is challenged by practice,From the point of views of Chinese economists,most of research conclusion indicates that the stock market of China didn't reach the"weak form efficiency"before 1992. but the stock market basically reached or almost reached to the "weak form efficiency"after 1993.If one considers whether it has reached "half-strong efficiency",there are large divergence ideas among academic circle. Chapter three elaborates the statistic test about the nature of the"weak form market efficiency"in China stock market.It takes the samples of daily stock price index from Shanghai Stock Exchange and Shenzhen Stock Exchange with the period of the very beginning of the stock market formation in Shanghai and Shenzhen (1991-2001).The number of observations is 2700 or so.All of the samples is divided into three phases.The first phase is from the initial transaction day to May 19th,1992,the second phase is from May 20th,1992 to December 15th,1996 and the third one is from December 16th,1996 to December 31st,2001.Three test methods:DF test,white noise test and runs test are applied to the statistic test on the "weak form efficiency"of China market respectively.The results of the tests demonstrate that the first phase not passed the three tests whether in Shanghai or Shenzhen.So we can conclude that the stock market in the first phase didn't reach the "weak form efficiency".But the second phase passed the three
山东大学博士学位论文 8 “policy market”, but examining the characteristics of functional mechanism of stock market exerted by macroscopic policy, making basic evaluation of macroscopic policy posted on stock market, and putting forward policy suggestion regarding to how macroscopic policy should be carried out in stock market. Third, this dissertation points out the difference between “policy effect” and “policy efficiency”. “Policy effect ” ling in stock market doesn’t mean “policy efficiency”. Only when stock market reacts to policy information promptly, exactly, and fully can it be considered as “efficiency”. Chapter two is a research statement about the Efficient Market Hypothesis. First, it gives the introduction of the fundamental theory frame, then it makes a detailed statement about three efficient markets on the basis of research literatures both in China and abroad. The foreign literatures demonstrate that this theory has been proved correct in most cases by statistic tests though the Effective Market Hypothesis is challenged by practice, From the point of views of Chinese economists, most of research conclusion indicates that the stock market of China didn’t reach the “ weak form efficiency” before 1992, but the stock market basically reached or almost reached to the “weak form efficiency” after 1993. If one considers whether it has reached “half-strong efficiency”，there are large divergence ideas among academic circle. Chapter three elaborates the statistic test about the nature of the“weak form market efficiency” in China stock market. It takes the samples of daily stock price index from Shanghai Stock Exchange and Shenzhen Stock Exchange with the period of the very beginning of the stock market formation in Shanghai and Shenzhen (1991 –2001). The number of observations is 2700 or so. All of the samples is divided into three phases. The first phase is from the initial transaction day to May 19th, 1992, the second phase is from May 20th, 1992 to December 15th, 1996 and the third one is from December 16th , 1996 to December 31st, 2001. Three test methods: DF test, white noise test and runs test are applied to the statistic test on the “weak form efficiency” of China market respectively. The results of the tests demonstrate that the first phase not passed the three tests whether in Shanghai or Shenzhen. So we can conclude that the stock market in the first phase didn’t reach the “weak form efficiency”. But the second phase passed the three
山东大学博士学位论文 tests in both markets,which indicates that stock market in China reached the "weak form efficiency"in the second phase.The third phase basically passed the three tests in the two markets,indicating the third phase also fundamentally reached the "weak form efficiency".So. as a whole,the stock market of China has been developing to the direction of the "weak form market efficiency".However,since these emerging stock markets are not standardized ones,and there exists excessive speculations,"herd behaviors"and insider trading,there is firm tendency of the stock prices fluctuation,all these factors have adverse impacts on the stock market efficiency. Chapter four is a statistic test about macroscopic policy effects in China stock market.The basic judgment of this dissertation is as follows:if macroscopic effects does exist in stock market,then,the stock price will fluctuate upward or downward before or after the promulgation of macroscopic policy.Basic on this,we can examine the macroscopic policy effects on stock market by two trains of thought.The first train of thought is to look for abnormal points of stock prices according to its operating track,then review if the policy has been promulgated before or after the abnormal points occurred by making a comparison among these points.If it is the situation,the fluctuation must be induced by macroscopic policy,then the policy effects do exist.If it is not the situation,the fluctuation of stock price must be induced by disturbance from the market itself.The second train of thought is to analyze the important policy events and to see if the stock price tendency are affected by these policy events,so as to reveal if macroscopic policy effects does exist in stock market and what about their characteristics. The first train of thought adopts Wichern's method to identify abnormal fluctuating points with time series.The second train of thought applies the method of"Event Study". According to the first research method,this article got its statistic conclusion as follows:there are 20 increasing points of variance (represents abnormal fluctuating points).Among them there are 10 increasing points,accounted for 50%of the total points which correspond to great policy events.While there are 11 increasing points of Shenzhen component indices,accounted for 42.31%which also correspond to great policy events.More important,both Shanghai and
山东大学博士学位论文 9 tests in both markets, which indicates that stock market in China reached the “weak form efficiency” in the second phase. The third phase basically passed the three tests in the two markets, indicating the third phase also fundamentally reached the “weak form efficiency”. So, as a whole, the stock market of China has been developing to the direction of the “weak form market efficiency”. However, since these emerging stock markets are not standardized ones, and there exists excessive speculations, “herd behaviors” and insider trading, there is firm tendency of the stock prices fluctuation, all these factors have adverse impacts on the stock market efficiency. Chapter four is a statistic test about macroscopic policy effects in China stock market. The basic judgment of this dissertation is as follows: if macroscopic effects does exist in stock market, then, the stock price will fluctuate upward or downward before or after the promulgation of macroscopic policy. Basic on this, we can examine the macroscopic policy effects on stock market by two trains of thought. The first train of thought is to look for abnormal points of stock prices according to its operating track, then review if the policy has been promulgated before or after the abnormal points occurred by making a comparison among these points. If it is the situation, the fluctuation must be induced by macroscopic policy, then the policy effects do exist. If it is not the situation, the fluctuation of stock price must be induced by disturbance from the market itself. The second train of thought is to analyze the important policy events and to see if the stock price tendency are affected by these policy events, so as to reveal if macroscopic policy effects does exist in stock market and what about their characteristics. The first train of thought adopts Wichern’s method to identify abnormal fluctuating points with time series. The second train of thought applies the method of “Event Study”. According to the first research method, this article got its statistic conclusion as follows: there are 20 increasing points of variance (represents abnormal fluctuating points). Among them there are 10 increasing points, accounted for 50% of the total points which correspond to great policy events. While there are 11 increasing points of Shenzhen component indices, accounted for 42.31% which also correspond to great policy events. More important, both Shanghai and
山东大学博士学位论文 Shenzhen have high abnormal fluctuations of variance which were induced by policy factors.This indicates that so the promulgation of policy not only induces the fluctuation of stock price,but also brings market attack.So the macroscopic policy constitutes a very important factor in causing the stock price fluctuation,even controls the stock price direction to a large extent.From this point,the judgment about China stock market is a "policy market"to some extent gets statistic verification. According to the second method,the statistical conclusion is: First,no matter it is good news or bad one,the stock markets have already had the expectation for policy effects before the policy comes out.It indicates that there are some well-informed people within the markets who could obtain the policy news in advance and take actions. Second,as far as Shanghai stock market is concerned,when the good news is coming on,accumulated average abnormal return increases sharply and then shows a tendency of constantly slow upgrading; When bad news is coming on,accumulated average abnormal return decreases greatly,and then shows a tendency of large scope decreasing. Both of these two phenomena make it clear that the market have a "deferral effect"to the macro policy,especially to the bad news Consequently,there exists "underreaction"in market to the political information.Third,if we check the Shenzhen Stock Exchange,when good news comes on,accumulated average abnormal return increases sharply and then shows a tendency of small scope of decreasing.This indicates that Shenzhen differs from Shanghai stock market with the existence of "overreaction".When bad news comes on,the result is similar to Shanghai stock market,that is an accumulated average abnormal return decreases greatly,and then shows a tendency of large scope of decreasing.This indicates that the market have an obvious deferral effect to the macro policy,especially to the bad news.Fourth, from what have been discussed above,the stock markets in China are sensitive to the macro policy.The carrying out of macro policy will cause sharp fluctuation in stock market.The conclusion that stock market has a strong policy effect is consistent with the conclusion drawn from the first method.But,with the existence of "underreaction"and "overreaction",the stock market didn't reach half-strong efficency"from reaction efficiency of stock markets to the 0
山东大学博士学位论文 10 Shenzhen have high abnormal fluctuations of variance which were induced by policy factors. This indicates that so the promulgation of policy not only induces the fluctuation of stock price, but also brings market attack. So the macroscopic policy constitutes a very important factor in causing the stock price fluctuation, even controls the stock price direction to a large extent. From this point, the judgment about China stock market is a “policy market” to some extent gets statistic verification. According to the second method, the statistical conclusion is: First, no matter it is good news or bad one, the stock markets have already had the expectation for policy effects before the policy comes out. It indicates that there are some well-informed people within the markets who could obtain the policy news in advance and take actions. Second, as far as Shanghai stock market is concerned, when the good news is coming on, accumulated average abnormal return increases sharply and then shows a tendency of constantly slow upgrading; When bad news is coming on, accumulated average abnormal return decreases greatly, and then shows a tendency of large scope decreasing. Both of these two phenomena make it clear that the market have a “deferral effect” to the macro policy, especially to the bad news. Consequently , there exists “underreaction” in market to the political information. Third, if we check the Shenzhen Stock Exchange, when good news comes on, accumulated average abnormal return increases sharply and then shows a tendency of small scope of decreasing. This indicates that Shenzhen differs from Shanghai stock market with the existence of “overreaction”. When bad news comes on, the result is similar to Shanghai stock market, that is an accumulated average abnormal return decreases greatly, and then shows a tendency of large scope of decreasing. This indicates that the market have an obvious deferral effect to the macro policy, especially to the bad news. Fourth, from what have been discussed above, the stock markets in China are sensitive to the macro policy. The carrying out of macro policy will cause sharp fluctuation in stock market. The conclusion that stock market has a strong policy effect is consistent with the conclusion drawn from the first method. But, with the existence of “underreaction” and “overreaction”, the stock market didn’t reach “half-strong efficency” from reaction efficiency of stock markets to the