A Comparative Study On The Policy Effects Of China's Securities Market

China's securities market has been criticized as the a policy market" since it was established.In order to break the confinement,the regulatory authorities making a commitment to reform,legalization and internationalization,and it has made a series of fruitful results,the main achievements is the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect.This model is a major institutional innovation of China's capital market open link into international capital market opening process.This paper is based on the theory of effective market hypothesis,regarded the policy as the information flow caused the abnormal stock price fluctuations,using the event study method to study the impacts of this two policy events to the stock market.In this paper,taking the CSI 300 index as the sample,and using ICSS algorithm to determine the structural breaks of the index from 2007 to 2017,and then seek the corresponding policy events,we find the abnormal fluctuations caused by policy factors accounted for 47%of all abnormal fluctuations in stock market,policy factor is still one of the main factors affecting the volatility of China's stock market.However,in the past ten years,the number of structural change caused by policy factors has been declining,and the regulation of the stock market by the regulatory authorities in China is turning from administrative means to economic means.The statistical results show that the declaration of the Shanghai-Hong Kong Stock Connect and the statement of Shenzhen-Hong Kong Stock Connect caused the stock market structure change,so this paper associates with two policy events,using the method of event study to make a comparison of the policy efficiency of China's securities market.The results show that,compared to the former policy,the latter policy caused the increasing of the price in the short term can return to normal valuations,which shows the improvement of the efficiency of market reaction and absorption of information;judging from the long-term response of the market,the effect of China's securities market is relevant to the market environment,the effect of good news during the bull market is more obvious than in the bear market.On the basis we separate the effect of the stock market,found that the influence of market factors on the stock price fell from 0.583 to 0.369,which shows with the improvement of the market system,China's securities market price fluctuations "up or down" phenomenon has weakened,the stock market showing a growing trend of information efficiency.Based on the analysis of the changes of the stock market policy effect on the stock market,this paper puts forward some policies to improve the efficiency of securities market,including optimizing the legal system and transaction system,and the structure of investors,and enhancing predictability and continuity of the policy.