Effectiveness of the Government's Buying Behaviors in a Stock Market Shock——Based on Event Study of A Share Market

›› 2017, Vol. 33 ›› Issue (7): 59-67.

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Effectiveness of the Government's Buying Behaviors in a Stock Market Shock——Based on Event Study of A Share Market

HE Lilong¹, GAO Jie², LIU Junxia³, HUANG Ke⁴

1.School of Economics, Sichuan University, Chengdu 610065, China
2. Carey Business School, Johns HopkinsUniversity, Baltimore MD 21218, USA
3. School of Economics and Finance, Xi'an Jiaotong University,Xi'an 710061, China
4. School of Finance, Renmin University of China, Beijing 100872, China

Received:2016-03-23 Online:2017-07-10 Published:2017-07-10

股灾中政府“买入式”救市的有效性——基于A股市场的事件分析研究

贺立龙¹, 高洁², 刘俊霞³, 黄科⁴

1.四川大学经济学院,四川成都 610065
2.美国约翰霍普金斯大学Carey商学院, Baltimore MD 21218
3. 西安交通大学经济与金融学院,陕西西安 710061
4. 中国人民大学财政金融学院,北京 100872

作者简介:贺立龙(1981),男,山东泰安人,四川大学经济学院副教授,博士;高洁(1995),女,辽宁大连人,美国约翰霍普金斯大学Carey商学院硕士生;刘俊霞(1996),女,山西临汾人,西安交通大学经济与金融学院硕士生;黄科(1995),女,四川内江人,中国人民大学财政金融学院硕士生。
基金资助:
国家社会科学基金资助项目(15CJL057);四川大学中央高校基本科研业务费资助项目(SKZX2015-GB09)

Abstract

Abstract:

Based on the 3-month daily return data of 2997 public companies trading on Shanghai and Shenzhen Stock Markets of A Share from June to August in 2015, this paper carries out an event study to analyze the influence of the government's buying behaviors on the stock market in the stock crash. In the study,5 buying behaviors, which are selected according to specific principles, are proved to have positive effects on the market as a whole, while each of them exerts influences to different extent because of the variation of the targets of buying, the different amount of money used for buying, and the different period of crash. Our conclusions drawn from the results of the model have important implications for policy-makers.

Key words: Stock Market Shock, Government's Buying Behavior, Event Study, Effectiveness

摘要：

以2015年6月到8月中国2997家A股上市公司的日收益率数据为样本,筛选出2015年股灾中主要的政府“买入式”救市事件,利用事件分析法分析历次政府“买入式”救市事件对A股市场的影响。研究发现:历次政府“买入式”救市事件对A股市场收益率的影响不尽相同,主要受买入的绝对量和相对量、买入对象以及买入时机三个方面的影响。结论对政府在股灾期间“买入式”救市政策优化有指导意义。

关键词: 股灾, “买入式”救市, 事件分析法, 有效性

CLC Number:

F830.91

HE Lilong, GAO Jie, LIU Junxia, HUANG Ke. Effectiveness of the Government's Buying Behaviors in a Stock Market Shock——Based on Event Study of A Share Market[J]. , 2017, 33(7): 59-67.

贺立龙, 高洁, 刘俊霞, 黄科. 股灾中政府“买入式”救市的有效性——基于A股市场的事件分析研究[J]. 财经论丛, 2017, 33(7): 59-67.

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Effectiveness of the Government's Buying Behaviors in a Stock Market Shock——Based on Event Study of A Share Market

股灾中政府“买入式”救市的有效性——基于A股市场的事件分析研究

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