政策事件对A股市场价格的影响 ——基于事件研究方法

THE IMPACT OF MACROECONOMIC POLICIES ON THE ABNORMAL RRTURNS OF CHINESE STOCK MARKET

王红丹

1930287

硕士

数学

王赫

2021-05-20

2021-06-10

南方科技大学

深圳

股票价格的变化体现着证券市场的风险性与收益性，股价的长期变化主要取决于股票的内在价值，短期变化主要受供求关系影响。我国证券市场起步较晚，还不完全成熟，短期的价格变化及异常收益主要由宏观政策影响，本文主要研究2019年12月28日修订通过的《中华人民共和国证券法》（又称“新证券法”）对我国A股市场异常收益率的影响。 在对股市价格变化的机制及影响因素、新股发行制度的历史沿革进行文献研究，对新证券法对我国证券市场的影响进行理论研究的基础上，本文利用事件研究法、双重差分模型、OLS回归分析等方法对新证券法与我国A股价格异常收益率的关系进行了实证研究。数学理论与实证研究表明：我国证券市场的异常收益率受宏观政策影响较大；新证券法的颁布和实施对科技创新行业有正向影响；新证券法颁布日对股市的正向影响显著，施行日对股市的正向影响不显著等。 《中华人民共和国证券法》的修订对我国资本市场生态的影响较大，对其制度框架及发展方向也有着决定性的作用，未来我国证券市场关于注册制的配套政策有望逐步完善，全面注册制的施行指日可待，我国资本市场也将更加法制化、市场化。

The volatility of stock prices reflects the risk and profitability of the securities market. The long-term volatility of stock prices mainly depends on the intrinsic value of stocks, and the short-term volatility is mainly affected by the relationship between supply and demand. Since Chinese securities market is immature, short-term abnormal fluctuations are mainly affected by macroeconomic policies. This article mainly studies the relationship between the new Securities Law promulgated on December 28, 2019 and the abnormal return rate of Chinese stock market.On the one hand, this article conducts a literature study on the mechanism of stock market volatility, the influencing factors of stock market volatility and the historical evolution of the new stock issuance system. On the other hand, this article conducts theoretical research on the impact of the new Securities Law on Chinese securities market. In addition, this article uses event study, Differences-in-Differences, OLS analysis to conduct empirical research on the relationship between the new Securities Law and the price volatility of Chinese stock market.Empirical research shows that: (1) The price fluctuation of Chinese securities market is greatly affected by macroeconomic policies. (2) The promulgation of the new Securities Law has a positive impact on the technological innovation industry. (3) The promulgation of the new Securities Law has a significant positive impact on the stock market, but the implementation of the new Securities Law has an insignificant positive impact on the stock market.The revision of the new Securities Law has a great impact on Chinese capital market. Hopefully that China would gradually improve the supporting policies of the registration-based IPO system in the future.

新证券法 异常收益模型 事件研究法 双重差分法 注册制

the new Securities Law abnormal return model event study Differences-in-Differences registration-based IPO system

中文

独立培养

南方科技大学

王红丹. 政策事件对A股市场价格的影响 ——基于事件研究方法[D]. 深圳. 南方科技大学,2021.