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State Control’s Impact On The Long Term Memory Of Real Estate Sector Of The Stock Market

Posted on:2015-02-28Degree:MasterType:Thesis
Country:ChinaCandidate:W J QueFull Text:PDF
GTID:2309330467466337Subject:National Economics
Abstract/Summary:PDF Full Text Request
Stock market is the barometer of the economy, whose sound developmentdepends on correct control policies of the state. In China, the formulation andimplementation of macroeconomic control policies never fail to exert an influenceon stock market. Accordingly, stock market, as a forerunner of economicdevelopment, is always the first to indicate how policy interference has affected themarket. A study of the stock market’s features after carrying out a macroeconomicpolicy not only provides concrete data for the market response to this policy, butalso basis for future policy adjustments.To fight against the financial crisis of2008and reverse the downwardeconomic trend, the Chinese government initiated a4-trillion-yuan investment planin November of that year. The market evidence shows that on the one hand, this planeffectively stopped the slide of both China’s and the global economy, and evenfuelled the country’s economic growth; on the other hand, it produced somenegative effects. With the development of economy comes the upsurge of real estateprices. So for the purpose of preventing price bubbles and establishing a regulatedproperty market with sound development, the Chinese government introduced inApril,2004, the most severe property control policy—the “10New Provisions of theState Council”. Since the policy is still controversial as to whether it could promotemarket efficiency, this paper attempts to conduct an empirical analysis about itsappropriateness. It examines the issue from the perspective of the stock market andadopts the theoretical model of financial time series (revised R/S analysis and GPHspectral regression analysis) to see whether the return series and volatility series ofthe stock market’s real estate sector have a long-term memory before and after theimplementation of the policy. The research finds that China’s property controlpolicy decreased the long-term memory of the real estate sector and improved itsmarket efficiency.The study mainly comprises the following steps. First, it introduces therelationship between government interference and market efficiency and reviewsprevious researches on the effectiveness of China’s property control policies, revealing the practical significance of the present study. Second, it elucidates theprogress of market efficiency theory and its relation with long-term memory anddepicts the theoretical model of testing the long-term memory of financial timeseries as well as its statistical characteristics. Then, the study moves on to apply thistheretical model to empirically evaluating the return time series before and afterChina’s property control policy and discuss in detail whether there is a long-termmemory in the property index or how the memory has changed before and after thepolicy. Finally, it reaches a conclusion about the role of China’s property controlpolicy in boosting market efficency.
Keywords/Search Tags:real estate regulation, efficiency, long-term memory, revised R/Sanalysis, GPH spectral regression analysis
PDF Full Text Request
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