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China Stock Market Study Based on Stamp Tax Event

Author: LiangLiMin
Tutor: FengYongFu
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: Behavioral Finance Event Study Overreaction Stock market volatility
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 117
Quote: 1
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Abstract

Event study is an important research method, through the events before and after the period of time the stock price change research, not only can estimate the degree of influence of a particular event, you can also test the effectiveness of the market level. In this paper, event study methodology to study the \Since widespread irrational investment behavior, the stock price overreaction and lack will be inevitable that our stock price often appear \abnormal volatility of stock prices, affecting the stability of the stock market and the effectiveness of market allocation of resources. At the same time, it also reflects the country's stock market is inefficient. This paper is organized as follows: The first part of the article describes the stamp duty resulting from the adjustment of the \Describes the origin of the first stamp, and then describes the stock market since the previous adjustment creation time and the stock market reaction, then back to the two major adjustment events. Previous incidents are have their backgrounds, these two big events are no exception, and in these events occurred in the context of its regulation are there for a reason, but this policy of intervention and be like the stock market reaction, we see is skyrocketing and fall for this phenomenon I made three assumptions to describe the Chinese stock market overreaction features, this is to clarify the main line of this article, these assumptions will later in the article devoted to the use of empirical evidence. The second part describes the research methods used against me - a description of the event study method and applied to the stock market and foreign literature. From the early 20th century, the first overseas event study analysis of the stock market to start, this method has been used since then describes the theoretical basis of this research method is based on investors' rational economic man \(1970) proposed the efficient market hypothesis (EMH), became the basis for event study analysis, followed by paper describes the method of analysis principles. But as the market appears more and more to ignore sex, can not be explained with the efficient market hypothesis, and to explain the effectiveness of non-market economists of psychology into the financial sector, from the microscopic to the individual's behavioral and psychological research capital market phenomena and problems, which open up behavioral finance (Behavioral Finance) of this frontier field of financial research. Finally, the domestic literature event study method of research, and describe the relationship between investors and stock price volatility. The third part introduces the use of event study method steps. The first is the sample selection, this calculation yields data are from the CSI 300 Index. Then introduced the specific steps, including: the definition of the event, sampling criteria, to establish normal and non-normal income gains calculation model after model to determine the normal revenue estimate inspection process, the empirical results, interpretations and conclusions. Listed at the end of this article inspection principles and standards. The fourth part of the event study method using these two incidents, the empirical research and analysis software tools for use EVIEWS CSI 300 Econometric Analysis of the data, and then use F-test was used for statistical tests, draw short-term impact of events on the stock market , while the long-term it, I will be using the Chow test analysis methods, results impact the stock market reaction to the events change. Final conclusion: the government to stabilize the market and favorable macroeconomic policies bearish on the stock market short-term price movements have a significant effect, due to time and announce the environment caused by the different reactions in different markets, but the medium and long term, lead to the regulation of these policies alone big event does not affect the stock market trends, empirical evidence so far in front of the three assumptions. This study also shows that the portfolio relative trading volume and yields have also maintained a positive correlation, but this correlation is statistically highly significant. This indicates that China's stock market returns and relative trading volume there is a positive correlation between high yield along with high relative trading volume, low yields accompanied by relatively low trading volume. This is evident in both bull and bear markets reflected. Part V of the conclusions of the previous section, combined with the deep-level mining, and proposed countermeasures. First overreaction to these events to analyze the causes of this group of overreaction and irrational investment behavior shows that China's stock market investors have a high \driven by economic interests and asymmetric information caused thereby introducing Behavioral Finance. Next article made from an extension of China's capital market, why would often happen overreaction, why is there more irrational than in developed countries, which began the entire equity capital markets for the country to make a description of this part from the market differences in institutional structures involved in the main differences and differences in the company's properties and behavior are described, and in the final against these deep-seated reasons put forward corresponding countermeasures. Part VI of conclusion, I presented some of the current market assessments and opinions presented in the current A-share problems, as well as control the U.S. stock market has brought us the reality of revelation. Status of the stock market is far from theoretical envisaged with high efficiency, market efficiency is still the goal we need to strive for results rather than ready-made. In contrast, the market still often exists with the efficiency assumptions and conclusions completely contrary phenomenon. The result of this study and there is a considerable departure from the theory, but with the current novel is more consistent behavioral finance theory, the article not only verified the existence of market phenomena can not be explained, but also examines the investor decision-making is completely different from the rational man assumptions facts, but also from the perspective of the psychology of investing overreaction a theoretical explanation. In China this imperfect capital markets, the virtual economy is a passion than reason, righting a wrong is inevitable over the economy. A trend, once formed, will be in their own strength, driven by sustained. But in the final analysis, the real economy determines the virtual economy is now facing domestic A-share downside risks to the real economy, these are the structural adjustment of the financial market cycle, the market is a natural adjustment, this adjustment will indeed kill Chinese A share a special unilateral sharp rise in the market to do more. But China A-share gains are special structural height evolved structural equally reasonable return to normal, not normal people on the wealth effect is precisely the over-speed pursuit wistful desire. Bailout key core is to restore confidence, and confidence withering case, only the recovery of the real economy is possible to drive to support the entire market. Contribution of this paper: the stock market in the event of major events as the study provides a scientific method, but this method through statistical evidence on changes in the stock market has a strong explanatory power, this paper studies the \whether tradable shareholders to obtain short-term excess returns, the existence of an overreaction, and investors in the entire process in the performance of response; followed by the first use of Chow stability tests and analysis of these two events on the long-term trend in the stock market have much impact , but also analyzes the trading volume and yield correlation. Finally reveals the hidden reasons behind the stock market volatility, in different environments, especially towards big event, the analysis of the stock market to investors explore tremendous significance. Therefore, this article will Empirical Analysis and Behavioral Finance approach combining policies on China's financial markets were incident response analysis of empirical research and conclusions, and thus China's stock market development and regulation played a guiding role. The inadequacy of this article is the following: 1. Based limited space, the event singled out from stamp duty to study two cases, empirical studies have samples for small deviations. (2) using Chow test analysis and long-term problems, yet for the first time, the use of the accuracy to be further tested. 3 medium and long term for the event here before a few months time, because there will be some other big events on the demonstration of interference, so choose a time that does not have flexible scalability. 4 In this paper, the events of the time inside the interference of other events have been ruled out, there are some conclusions of the accuracy of the error.

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