我国股票市场存在“政策效应”吗——基于宏观政策事件的实证分析

Does China’s stock market have“policy effect”?--Empirical Analysis Based on Macro Policy Events

投资者的认知、偏好等是其决策和交易行为的主要影响因素。现利用事件研究法,从股票市场微观数据入手,以每日成交量和换手率构造异常成交量变动率和异常交易频率作为股票市场投资者行为的两个代理指标,选取2013年1月1日—2018年12月31日期间我国发布的重大政策事件,包括宏观经济政策以及与股市有关的直接政策,探讨政策事件对投资者决策和交易行为的影响。研究发现:政策事件对投资者的成交量、交易频率都有显著影响,即我国股市具有明显的政策效应;我国股票市场中,投资者存在过度自信和损失规避心理;重大政策事件对投资者决策具有显著影响,即股市存在事后"政策反应不足"的现象。

Investors’cognition and preference are the main influencing factors of their decision-making and trading behavior.This paper,by using event study method,from the micro data of the stock market,with daily trading volume and turnover rate structure abnormal trading volume change rate and abnormal trading frequency as the stock market investors behavior index of two agents,selection on January 1,2013 to December 31,2018,during the major policy issued by the events in our country,including the macroeconomic policy and directly related to the stock market policy,to discuss policy issues affecting investor decision making and trading behavior.The empirical analysis found that:first,policy events have a significant impact on the trading volume and trading frequency of investors,that is,China’s stock market has an obvious policy efficiency;Second,in China’s stock market,investors have overconfidence and loss aversion.Third,major policy events have a significant impact on investors’decisions,that is,the stock market has a phenomenon of"insufficient policy response"after the event.