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本文通过使用虚拟变量构建政策指数的方法研究了国内政策对股票市场的波动的影响。我们的研究结果表明政策干预在短期内(以日为单位)增大了市场的波动,没有起到稳定市场的功效;而在中长期(以月为单位)内,市场对政策的反映存在一定的滞后效应,说明市场并非完全有效,信息的传递和消化需要时间;同时,重大的政策往往是一个经济好转的预示信号。我们的研究支持了公众信息对市场的过度干扰作用,因此,建议针对市场的政策应该有系统且可以被预期。
This paper studies the impact of domestic policies on the volatility of the stock market by constructing a policy index using dummy variables. Our results show that policy interventions have increased market volatility in a short period of time (in units of days) and have not been effective in stabilizing the market. In the medium to long term (in months), there is a certain market reaction to the policy Lagged effect, indicating that the market is not fully effective, the transmission and digestion of information takes time; the same time, a major policy is often a sign of improvement in the economy signal. Our research supports the excessive interference of public information on the market and therefore suggests that market-oriented policies should be systematic and predictable.