[[alternative]]THE INFLUENCES OF GOVERNMENT MACRO CONTROL ON CHINA STOCK RETURNS

[[abstract]] 本研究主要探討中國大陸實施宏觀調控對大陸股票報酬之影響，以上海A股和深圳A股股價指數之日資料進行實證分析，將研究期間區分成三段來做比較，分別為1993年、2004年和2006年等3次宏觀調控，並以央行調升銀行存款準備率為事件日，研究方法使用事件研究法、時間序列模型和相關係數分析來探討。實證結果發現，3次的宏觀調控事件中都有顯著負的累積異常報酬存在，表示政府宣佈宏觀調控後的確會造成上海A股和深圳A股股價下跌。而在波動性實證結果方面，上海A股和深圳A股三個期間的波動性( 係數)皆達1%的顯著水準。另外由歷史波動率的實證結果可以發現，在事件日前後，上海A股與深圳A股都有劇烈的股價波動。[[abstract]] This paper mainly examines the effects of Chinese government macro control policies on the rate of return of China stock markets using the daily price indexes of Shanghai A-share and Shenzhen A-share as sample markets. The sample period includes 1993, 2004 and 2006 when Central Bank had significantly engaged in macro-control by raising the Required Reserve Ratio. The results indicate that : (1) negative accumulated rate of return is significant after each of these three adjustments and the announcement of macro-control by Chinese government will significantly induce price drops in both Shanghai A-share and Shenzhen A-share; (2) through a volatility test for the impact of raising requirement to the stock prices, the volatility coefficients ( ) of Shanghai A-share and Shenzhen A-share both reached 1% significant level in each sample period; (3) the volatility of the stock prices of Shanghai A-share and Shenzhen A-share before and after the macro-control is significant