Empirically Study On Effects Of Government's Regulation Policies On Chinese Stock Market

With the development of financial market, especially stock market, there emerges a lot of financial abnormal phenomenon which can not be explained in emerging market economy country which is during market transition period. The phenomenon of a wide margin rising and sharply slumping in The Chinese Stock Market and uncertainty of policy expectation increase difficulty of regulation that economic managements regulate stock market, reduce efficiency that government use economic instrument to regulate securities market. Therefore, studying effects of government regulation policy changes on conditional volatility of Chinese stock market empirically has significant meanings of theories and practices to risk management and control, improving governmental regulation effectiveness, even more guarantees Chinese stock market developing healthily, steadily and constantly.The main research work and innovation of this paper as follow:①On the basis of summarizing and analyzing the price trend and expected change of macroeconomic policy, the paper build model to research relationship of actual change in Chinese Stock market, expected change of macroeconomic regulation policy and market trend. This research conclusions show that price change in Chinese Stock market has significant positive relationship to market trend; negative relationship to policy expectation, and prove inconsistency between price change and macroeconomic policy expectation to reveal the irrational phenomenon of reflection to macroeconomic policy.②On the basis of comprehensive investigation on the Chinese stock market and macroeconomic policies, taking Shanghai Composite Index and relative monetary policies and fiscal policies during the period from January of 2000 to June of 2008 for sample, this paper makes use of GARCH models to study effects of macroeconomic policy changes on conditional volatility of Chinese stock market empirically from single policy and compound policy. The research results show, for single policy, money supply policy has significant positive effect of Chinese stock market a, but interest, stamp duty rate and fiscal expenditure can't effect to conditional volatility; for the compound policy, effects of monetary policy changes on conditional volatility of Chinese stock market are more significant than effects of fiscal policy changes on conditional volatility of Chinese stock market. This research conclusion proves, to some extent, fund-pulled feature and weak market feature of Chinese stock market. ③On the basis of comprehensive investigation on the Chinese stock market,macroeconomic environment and macroeconomic policies, taking the related data of Shanghai Composite Index, Macroeconomic Climate Index and monetary policies and fiscal policies during the period from January of 2000 to June of 2008 for sample, this paper makes use of GARCH type models to research the relationship among macroeconomic environment, regulation policies of government and volatility of Chinese Stock Market empirically. The research results show that, the reflecting function of Chinese Stock Market on changes of macroeconomic environment is inadequate to some extent, and the regulating and controlling function of fiscal policies on Chinese Stock Market is in the state of failure on the whole, and the interest rate policy can not play a role in the real economic environment, and money supply policy has significant effect on Chinese Stock Market due to directly impacting capital supply of stock market. The research results of this paper not only provide empirically evidences for fund-pulled feature, weak market effectiveness feature and noise trading feature of Chinese Stock Market, but also can explain reasonably anomaly phenomenon of a wide margine rising and sharply slumping which devaits economic development and irrational reflection for related policy in Chinese Stock Market.④On the basis of comprehensive investigation on the suddenly policy including law, important event and news, taking the related data from January of 2000 to June of 2008 for sample, this paper build GARCH model with dummy variable to study effects of every type suddenly policy on conditional volatility of Chinese stock market empirically. The research conclusions show the suddenly policy including law and important events which need to play a role in a long time have significant effect; news and other important events which finish in short time don't influence volatility.