Study On Policy Market Characteristics Of China's Stock Fluctuation, It's Cause, And The Built Of Effective Governmental Intervention

After 15 years' fast development, China's stock market already has quite a scale and plays a more and more important role in the economic development. Nevertheless, China's stock market, established under the economic transformation period, is a nascent market that possesses many immature characteristics, which are reflected prominently as following: Firstly, the stock value appreciates and depreciates frequently with intense volatility of the market; Secondly, the government intervenes in stock market directly by setting down regulations, controlling capital or stock provision and making it characterized by "policy market" distinctively. Thus the systematic investigation on the relationship among stock market volatility, the traits of "policy market" and government's intervention, as well as the reciprocity mechanism of each other, the process of affection, which holds great theoretical significance and practical importance, is exactly the main objective of this dissertation.This article starts with the macroscopic function of China's market in the national economy, using cointegration analysis based on theory, finding out that there exists a long-term balanced relationship between stocking index and several factors in the macro-economy. But this relationship always represents as unidirectional consequence between macroeconomic index and the stock market. This phenomenon indicates that the barometer of stock market has not worked effectively. Consequently, there exist some defects on the function of advanced reflection of entitative economy tendency and the optimization of resource collocation. The Reason of the weakening of the function should be sought from the running rule of the stock market itself.There are considerable examples and argumentations about the traits of volatility in stock market in this article. By conditional heteroscedasticity model and stochastic volatility model, the author analyzes the characteristics of peaked kurtosis and fat tails distributing in the series of the return of stock index, discusses the asymmetry and long-memory effect of the volatility process, and studies the information-driving process of volatility in stock market by using the decomposed trade volume as the agent variable of information. After that, the author applies the high frequency data to calculate the realized volatility, which acts as the actual criterion to verify the exactitude of the previous outcomes, and ultimately the desirable volatility equation to describe the fluctuating character of China's stock market is obtained. On the ground of its graph, it is indicated that there exist a number of exceptional volatility point in the process of stock market running. Utilizing statistics to find out these exceptional points and furthermore analyzing its distributive rule, we can perceive the obviously temporal correspondence between these points and the governmental intervention. All these achievements specify that China's stock market volatility is evidently characterized by "policy market".Against the cause of "policy market", this article goes into thorough analysis from the governmental decision-making target, behavioral specialty and institutional defects respectively, considers that the multiplicity of governmental decision-making target and its internal non-consistency, as well as the system-behavioral deviation of governmental decision-making process, are the direct causes of "policy market". However, the institutional covert guarantee of the government towards market force, which compels the market running in a desirable but confined region, is the profound and essential cause. The governmental long-term frequent and direct intervention will definitely cause it deviate from the respond function of its rule. As a result, there will be serious consequence such as the distortion of its main function and the wrong investment tendency of the market investor. In the meantime, the intervention of the government will incline to invalidation.Consequently, the actualities of "policy market" must be changed to make the stock market return to the normal running orbit and resume its original economic function. Thus the governmental intervention behavior must be improved and the validity of intervention must be increased. It is explicit in this thesis that effective government's intervention behavior comprises three levels: The first is the mechanism provision of securities market, namely, the government should establish the structure and function of stock market aiming at harmonizing the operation of macro-economy, improving the economic structure, promoting economic development, and make the relevant institutional arrangement. The second is the routine supervisory function of government, which means the supervision of the behavior of market forces' financing, investing and dealing, as well as the exposure of information, taking the corresponding sanctions against the infringement which includes government's moderate regulation of the excessive prosperity of stock market that accumulates redundant economic foam, or of the constant depression that may jeopardize the economic stability. The last but not least is the intervention behavior towards crisis, which means the establishment of market-stabilization mechanism and the urgent measures coping with the extemporaneous vital events. On the basis of learning from advanced experiences of foreign countries' mature market, as well as the theoretical and practical investigation, this thesis brings forward several suggestions on how to construct the government's effective intervention behavior.