Policy Impact, Stock Price, And The Market Efficiency Of China Stock Market

Thi s paper investigates the relationships among stock price, real activity, and regulation policy on China stock market. In the theoretical part of this paper, the author construct an equity model to describe the relationship between stock price and stock supply( as the indicator of policy). Then the author exam that theoretical model with Johansen Cointegration Test, using monthly data of China from January 1998 to November 2003. The results of empirical analysis indicate that stock price does keep a long run equity relationship with output and interest significantly on China stock market when policy impact has been eliminated. And this paper provides some positive evidence consistent with Fama' s weak Conn efficient market hypothesis.