Empirical Analysis Of The Adverse Interference Policy In Stock Exchanges Based On Error-Correction Model

There are considerable arguments for the empirical effect of those intervention-policies in China's academic and administration. The market has entered a different phase because of the approaching reality of all-circulation-market. The possibility of intervention in the future needs to be based on the empirical analysis of the present intervention.This dissertation defines adverse-intervention policies as different policies to influence stock exchanges. During 2006-2008, a period of no fundamental change in the economics, a series of intervention policies still can't be direct quantitative modeled. However a new method for evaluation is needed for the future possibility of intervention, so this dissertation firstly presents an alternative for this purpose, namely ECM.This dissertation is based on the co-integration relationship between variables, such as industry, trade, consume, ml, and the stock index of shanghai.ECM can establish some results through the data from January of 2006-November of 2008. Without the financial futures and margin requirement system in stock market, the administration uses those intervention-policies to control the trend of the stock index. So the fluctuation of the stock index around the co-integration relationship relative correctly registers the effect of the adverse-intervention policies on stock market, because only such a factor, in the view of macroeconomy, has such sustained effect.Empirical researches indicate that the short-term fluctuations of stock index not only depend on the variables'short-term fluctuations, but also on the lagged more than two items impact of ECM generally. The coefficients of ECM are negative, in line with the mechanism of the reverse regulation. This empirical study suggests that adverse-intervention policies achieve the expectant purpose, but in the different stages of index's change, the policies have different roles. Otherwise this reduced impact is not significant in the long run. So this dissertation presents alternative options for the future.