重大政治事件对我国股票市场影响的实证研究

论文对党的全国代表大会和“两会”这类政治事件是否对我国股票市场产生影响进行了实证检验，以“十六大”、“十七大”以及2002年、2005年和2007年“两会”为研究事件，运用事件分析法对其进行研究。实证结果表明，此类政治事件会对国内股票市场产生显著影响，中国股票市场是一个带有明显“政策市”特点但又缺乏政策效率的市场。研究认为政府强制性的制度安排、政策机制的非稳定性以及“内部消息”人士的存在等是造成此现象的主要原因，最后提出了相应的政策建议。

An Event Study on the Impact of Important Political Events on China Stock Market

This article emphasizes whether such political events as CPC National Congress and National People's Congress (NPC) and Chinese People's Political Consultative Conference (CPPCC) do some impact on China stock market. We take the 16th and 17th CPC National Congress as the sample events. Besides, NPC and CPPCC in 2002, 2005 and 2007 are also considered. We use event study to analyze these cases. After analysis we find that such political events do have some impact on China stock market and China stock market is a policy market without policy efficiency. The main reasons are the government mandatory institutional arrangement, the lack of continuity and stability in policy mechanisms and the existence of those investors with internal message. Base on these analyses, this article also proposes the corresponding policy recommendations.