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

Manqing Liu, Shiting Ding, Qintian Pan, Yanming Zhang, Jingru Zhang, Qiong Yang and Tongtong Fang

PLOS ONE, 2023, vol. 18, issue 2, 1-14

Abstract: 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.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0281670 (text/html)
https://journals.plos.org/plosone/article/file?id= ... 81670&type=printable (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0281670

DOI: 10.1371/journal.pone.0281670

Access Statistics for this article

More articles in PLOS ONE from Public Library of Science
Bibliographic data for series maintained by plosone ().