A Research On The Influence Of Stocks Market Regulation Cycle On The Investors Behavior

Security regulation is an important part of finance supervision,and its beginning and development has always been closely related to the born and development of security market.Through reviewing 14 years of securitt regulatory policy changes from 2003 to the present this article finds that the security market has gone through two complete rounds of security regulatory cycles and is in the third round.The first security regulatory cycle that from the 2003 to 2007 includes 2 years of regulatory tightening from 2003 to 2004 that is focusing on tighten supervision and shut down illegal brokers and 3 years of regulatory release from2005-2007 which is subjected to relaxation of the monitation and financial innovation.The second security regulatory cycle which is from the 2008 to 2014 inclouds 2 years of regulatory tightening from 2008-2009 which is centered by focusing on insider trading and sthrenthing administrative penalties and 5 years of of regulatory release from 2010 to 2014,which is represented by encouraging mergers and acquisitions and the foundation of New Third Board,Shanghai-Hong Kong Stock Connect program,Stock Index ptions and a series of financial innovation.The third security regulatory cycle starts from 2005 to present includes 2 years of regulatory tightening from 2005 to 2006 which is indicated by Strictly investigating adding lever in stock market,restricting Stock Index Futures and cross-board private placement and the period of regulatory release from 2017 to present which is indicated by encouraging value investment and paying dividends and adding in MSCI.Based on the cyclical changes in securities regulatory policy,this paper examines its impact on investor behavior.By observing the cyclical changes in China's security regulatory policies since 2003,and comparatively studying of the relative gains of different types of stocks in the A-share market in each period,this paper tries to verify the impact of cyclical changes in security regulatory policies on investor behavior.The results of the statistical test show that accoding to the tightening and relaxation of the regulatory policy,the investor behavior has the following characteristics.Firstly,the the volatility of investors preference in the relaxation phase is greater than the tightening phase in a regulatory cycle.Secondly,the low P/B stocks are more preferred in all tightening stages and the test is significant.Thirdly,low P/E stocks are more preferred in all tightening stages,but it is not certain in the relaxation phase.Lastly,large market value stocks and small market value of the stock does not show the consistent characteristics.But the small-cap stocks have a average of 1.405%higher return per month than the large-cap stocks in the entire statistical time.