金融危机下宏观政策发布对我国股市的短期冲击效应研究

本文在单指数模型的基础上,利用Chow Test法和引入虚拟变量的方法,对2008年我国为应对全球金融危机而计划实施的货币政策和财政政策的信息公布对沪市行业板块的短期冲击效应进行了实证研究。结果显示,在金融危机引发经济衰退的背景下,尽管我国公布了强有力的财政政策和货币政策,但除个别板块在个别时点出现波动外,基本上未对我国股市各行业板块造成短期冲击影响。这表明,金融危机下宏观调控政策信息的公布在短期内对股市的刺激效果并不会太显著。

Study on Short-term Impact of Publication of Macro-control Policy on China's Stock Market in Financial Crisis

Based on the single-index model,by Chow test and the introduction of dummy variable,this paper empirically analyzes the short-term impact of the publication of monetary and fiscal policies in 2008 on 8 industries board in Shanghai stock market. The result shows that,when financial crisis results in economic depression,though China brings out a series of strong fiscal and monetary policies,except that separate boards fluctuate in separate time,no evidence shows there are short-term impacts on industries boar...