| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 90 === ABSTRACT
Although Mainland China’s securities market is a newly developed stock market, yet it attracts attention of many people. Apart from a potential high growth, stock market is actually a product of capitalism but when it is operated under a communist system its contradiction catches attention from everybody. This research is mainly based on the concept of efficient market to explore the efficiency of Mainland China’s securities market. In other words, this is a research on the degree of effect on Mainland China’s securities market by event and policy.
Target markets of this research are Category A stock markets in Shanghai and Shenzhen of Mainland China. The research is conducted from 1992 to 2001 and information utilized is the daily stock price index information during these ten years and the event study method is utilized to carry out concrete evidence analysis. There are two assumptions in this research:
1. Under effect of policy and event, Mainland China’s security market will
generate abnormal returns.
2. Mainland China’s market is easily affected by Government policy.
In respect of conducting concrete evidence in this research, based on the above two hypothesiss separately, policies and events occurred during this ten year period are chosen. In addition, concrete evidence research are carried out aiming at the Category A stock market in Shanghai and Shenzhen and the research results obtained are as follows:
1. In engaging concrete evidence on hypothesis 1, very obviously both Shanghai and Shenzhen stock market have obvious cumulative average abnormal returns. This result supports hypothesis 1 of this research representing that the degree of effect on Mainland’s securities market by policy and event is very large.
2. In respect of concrete evidence result of hypothesis 2, in Shanghai Category A stock market, before and after the events, there are obvious change of cumulative average abnormal returns. This result supports hypothesis 2. However, in Shenzhen Category A stock market, there is no such obvious result. This represents that in the effect on stock market by policy of Mainland Government, compared with Shenzhen stock market, there is more obvious effect in Shanghai stock market.
Following entry into WTO by two straits, it is believed that economic and trade exchange between two straits will be more active. Therefore by conducting this essay, apart from hoping it can bring to readers a basic understanding on the Mainland’s securities market, to investors who intend to invest in Mainland stock market, this essay will be helpful to them in risk assessment.
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