宏观政策对我国股市影响的实证研究

本文首先对股市的政策指标进行分类 ,即分为中长期的连续性政策和短期性的离散政策事件。对于连续性政策指标 ,我们采取回归分析技术 ,构建政策综合指标曲线 ,进而分析连续性政策对股市的影响 ;对于离散的政策事件 ,则采取专门的事件研究方法 ,分析该类政策变量对股市的冲击大小。研究结果表明 ,目前的连续性政策与我国股市之间存在正相关关系 ,但其解释程度较小 ;股市运行受短期性的政策事件影响较大 ,但政策事件对股市冲击作用在逐步弱化 ,股市政策调控趋于成熟。

An Empirical Analysis of the Impact of Macroeconomic Policy on China's Stock Market

This article begins with classification of policy events influencing stock market.In the article the policy events are diveided into the medium-long term continuous and the short term discrete ones.As for continuous policy events,the article analyses their effects on stock market by regression models and by building their comprehensive indicator curve.For discrete policy events,the article analyses their effects on stock market by the event studies.The research reveals that there are positive correlation between continuous policy events and China's stock market,though interpretive degree of continuous policy events is limited.The short term policy events have a deep impact on the stock market,but the impact is decreasing.Control of policies over the stock market tends to be mature.