Monetary and Fiscal Policy Impact on Shanghai Stock Liquidity——The Residual Analysis based on Liner Regression
This paper suggests a linear regression model based on daily maximum amplitude,transaction amount and average price index through the testing of 244 trade-day data from July 24th,2006 to July 24th, 2007. From the case analysis, it reveals that the arnplitude of Shanghai Stock Exchange Composite is not only correlated with transaction amount, but also influenoed by technical factors, of which the impact of 5-day average is the most significant. In the study, we calculate theresidual and analyze the change of liquidity prior to and after the announcement of government policies.The result shows that there is no significant influence to the liquidity of Shanghai Stock Exchange Composite through the consecutive rise of deposit rate from the central bank explaining that the interest rate-rise policy strengthens the confidence of investors, and the expected rises of interest rate in the future will not make great difference towards the liquidity.
Liquidity Monetary and fiscal policies Market Anticipation Residual analysis
KE Jinchuan CHEN Zhe
School of Economics and Management,Beijing Jiaotong University,P.R.China,100044
国际会议
The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)
杭州
英文
508-513
2008-05-18（万方平台首次上网日期，不代表论文的发表时间）