Study on the linkage between macro policy and market effectiveness in China's stock market: Based on run test of China's stock market index

被引：0

作者：

Liu, Manqing ^{[1
]}

Ding, Shiting ^{[2
]}

Pan, Qintian ^{[2
]}

Zhang, Yanming ^{[2
]}

Zhang, Jingru ^{[2
]}

Yang, Qiong ^{[2
]}

Fang, Tongtong ^{[2
]}

机构：

[1] Nanjing Audit Univ, Jinshen Coll, Nanjing, Jiangsu, Peoples R China

[2] Anhui Agr Univ, Sch Econ & Management, Hefei, Anhui, Peoples R China

来源：

PLOS ONE | 2023年 / 18卷 / 02期

关键词：

VOLATILITY;

D O I：

10.1371/journal.pone.0281670

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

The macro policy of the stock market is an important market information. The implementation goal of the macro policy of the stock market is mainly to improve the effectiveness of the stock market. However, whether this effectiveness has achieved the goal is worth verifying through empirical data. The exertion of this information utility is closely related to the effectiveness of the stock market. Use the run test method in statistics to collect and sort out the daily data of stock price index in recent 30 years, the linkage between 75 macro policy events and 35 trading days of market efficiencies before and after the macro event are tested since 1992 to 2022. The results show that 50.66% of the macro policies are positively linked to the effectiveness of the stock market, while 49.34% of the macro policies have reduced the effectiveness of the market operation. This shows that the effectiveness of China's stock market is not high, and the nonlinear characteristics are obvious, so the policy formulation of the stock market needs further improvement.

引用

页数：14

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