Nanjing Audit University Jinshen College, Nanjing, Jiangsu, P. R. China.
School of Economics and Management, Anhui Agricultural University, Hefei, Anhui, P. R. China.
PLoS One. 2023 Feb 27;18(2):e0281670. doi: 10.1371/journal.pone.0281670. eCollection 2023.
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.
股市宏观政策是一项重要的市场信息。股市宏观政策的实施目标主要是提高股市的有效性。然而，这种有效性是否达到了目标，需要通过实证数据进行验证。该信息效用的发挥与股市的有效性密切相关。本文采用统计中的游程检验方法，收集和整理了近 30 年的股价指数日数据，检验了 1992 年至 2022 年期间 75 项宏观政策事件与宏观事件前后 35 个交易日市场效率之间的关联。结果表明，50.66%的宏观政策与股市的有效性呈正相关，而 49.34%的宏观政策降低了市场运行的有效性。这表明中国股票市场的效率不高，且具有明显的非线性特征，因此股市的政策制定需要进一步完善。
