ISSN 0253-2778

CN 34-1054/N

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Open AccessOpen Access JUSTC Original Paper

Interactive relationship between macro-policy and efficiency of securities market in China

  • 1.

    College of Economics & Management, Anhui Agricultural University, Hefei 230036, China

  • 2.

    Business School, Nanjing Normal University, Nanjing 2100239, China

Cite this:
https://doi.org/10.3969/j.issn.0253-2778.2016.08.011
  • Received Date: 30 March 2015
  • Accepted Date: 26 January 2016
  • Rev Recd Date: 26 January 2016
  • Publish Date: 30 August 2016
    Abstract

  • Abstract

    Macro-policy of securities market is a kind of important markets information. The utility of this information closely related to the effectiveness of the securities market, and they present an interactive relationship. Starting from the test of the securities market efficiencies, the interactive relationship in market efficiencies and 51 macro-policy information has been sorted by Eviews within 35 days before and after. It is concluded that 5490% of macro policies have significant positive relationship with the effectiveness of the securities market, while 4510% of the macroscopic policy reduce the efficiency of market operation. It means that the efficiency of the securities market in China is in little weak level, and with obvious non-linear features, so the securities market should be further perfected.

    Abstract

    Macro-policy of securities market is a kind of important markets information. The utility of this information closely related to the effectiveness of the securities market, and they present an interactive relationship. Starting from the test of the securities market efficiencies, the interactive relationship in market efficiencies and 51 macro-policy information has been sorted by Eviews within 35 days before and after. It is concluded that 5490% of macro policies have significant positive relationship with the effectiveness of the securities market, while 4510% of the macroscopic policy reduce the efficiency of market operation. It means that the efficiency of the securities market in China is in little weak level, and with obvious non-linear features, so the securities market should be further perfected.
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    • References(18)
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    田成诗. 政策事件对中国证券市场波动的影响研究[D].大连：东北财经大学,2007.
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    鲍恩斯,吴溪,李辉. 证券市场配股政策的变迁及其市场影响[J]. 证券市场导报,2004(10):61-65.
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    XING Yujing. Interaction relationship between securities market and foreign market and choice of macroeconomic policies: Beginning with the opening of the B-share market to domestic residents[J]. Contemporary Finance & Economics, 2001(5): 36-42,80.
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    宋文光. 中国证券市场的有效性分析[J]. 统计与决策,2005,11:71-72.
    [11]
    谭新. 关于我国证券市场有效性的文献综述[J]. 时代金融,2011,33:161.
    [12]
    TIMMERMANN A, GRANGER C W J. Efficient market hypothesis and forecasting[J]. International Journal of Forecasting, 2004, 20(1): 15-27.
    [13]
    YE Zhiqiang, FENG Yi, ZHANG Shunming. Study on the efficiency of the Chinese stock markets after the equity division reform[J]. Review of Investment Studies, 2013(5):124-137.
    叶志强,冯怡,张顺明. 股权分置改革后我国证券市场有效性研究——基于非预期非流动性新信息视角[J]. 投资研究, 2013(5):124-137.
    [14]
    龙小波,吴敏文. 证券市场有效性理论与中国证券市场有效性实证研究[J]. 金融研究,1999(3):54-59.
    [15]
    谢腾云. 基于ARCH模型的沪深股指收益率波动特征分析[D].长沙：湖南大学,2007.
    [16]
    DALKEY N, HELMER O. An experimental application of the Delphi method to the use of experts[J]. Management Science, 1963, 9(3): 458-467.
    [17]
    BAKLIZI A. A conditional distribution free runs test for symmetry[J]. Nonparametric Statistics, 2003, 15(6): 713-718.
    [18]
    夏丹. 我国证券市场半强式有效吗?——基于上证A股市场红利公告效应的实证研究[J]. 湖北经济学院学报(人文社会科学版),2009(3):48-49，139.
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    [1]
    胡金焱. 中国股票市场宏观政策效应的实证研究[J]. 经济学动态,2003(6):22-24.
    [2]
    田成诗. 政策事件对中国证券市场波动的影响研究[D].大连：东北财经大学,2007.
    [3]
    鲍恩斯,吴溪,李辉. 证券市场配股政策的变迁及其市场影响[J]. 证券市场导报,2004(10):61-65.
    [4]
    任峰. 宏观经济运行数据泄密导致的证券市场非正常波动研究[J]. 保密科学技术,2011(11): 34-39.
    [5]
    PENG Haodong, ZHOU Xingchen. An empirical research on relevance between variables of Chinas macro-economy and stock market[J]. Productivity Research, 2012(1):70-73,261.
    彭浩东,周星辰. 关于中国宏观经济变量与证券市场关联性的实证研究[J]. 生产力研究,2012(1):70-73,261.
    [6]
    XING Yujing. Interaction relationship between securities market and foreign market and choice of macroeconomic policies: Beginning with the opening of the B-share market to domestic residents[J]. Contemporary Finance & Economics, 2001(5): 36-42,80.
    邢毓静. 证券市场与外汇市场的互动关系及宏观政策选择──从B股向境内居民开放谈起[J]. 当代财经,2001(5):36-42,80.
    [7]
    陈伟利,陈国华,余星,等. 技术指标可以战胜市场吗?——兼论中国证券市场弱式有效性的变化[J]. 特区经济,2014(4):131-132.
    [8]
    LEE C L, STEVENSON S, LEE M L. Futures trading, spot price volatility and market efficiency: Evidence from european real estate securities futures[J]. Journal of Real Estate Finance & Economics, 2014, 48(2): 299-322.
    [9]
    吴晓求. 深化改革 扩大开放 促进中国证券市场的健康发展[J]. 中国人大,2015(1): 35-40.
    [10]
    宋文光. 中国证券市场的有效性分析[J]. 统计与决策,2005,11:71-72.
    [11]
    谭新. 关于我国证券市场有效性的文献综述[J]. 时代金融,2011,33:161.
    [12]
    TIMMERMANN A, GRANGER C W J. Efficient market hypothesis and forecasting[J]. International Journal of Forecasting, 2004, 20(1): 15-27.
    [13]
    YE Zhiqiang, FENG Yi, ZHANG Shunming. Study on the efficiency of the Chinese stock markets after the equity division reform[J]. Review of Investment Studies, 2013(5):124-137.
    叶志强,冯怡,张顺明. 股权分置改革后我国证券市场有效性研究——基于非预期非流动性新信息视角[J]. 投资研究, 2013(5):124-137.
    [14]
    龙小波,吴敏文. 证券市场有效性理论与中国证券市场有效性实证研究[J]. 金融研究,1999(3):54-59.
    [15]
    谢腾云. 基于ARCH模型的沪深股指收益率波动特征分析[D].长沙：湖南大学,2007.
    [16]
    DALKEY N, HELMER O. An experimental application of the Delphi method to the use of experts[J]. Management Science, 1963, 9(3): 458-467.
    [17]
    BAKLIZI A. A conditional distribution free runs test for symmetry[J]. Nonparametric Statistics, 2003, 15(6): 713-718.
    [18]
    夏丹. 我国证券市场半强式有效吗?——基于上证A股市场红利公告效应的实证研究[J]. 湖北经济学院学报(人文社会科学版),2009(3):48-49，139.
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