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Research on operation model of China's stock market

Author: Anonymous From: www.yourpaper.net Posted: 2007-11-19 13:19:50 Read:
Abstract the
we build a concept model about the Chinese stock market operation.District factor model will affect the stock market into the exogenous variables, structural factors and the last state.Points out that the expectations for the future is the direct cause of the stock market movement, the exogenous variables, structural factors and the last state is changed by investors expected effect on the market.Analysis of the macroeconomic situation and the macroeconomic policy to have an impact on the stock market, focuses on the analysis of the government regulation of the stock market objectives, ways and means, and puts forward the theoretical framework of a running stock market analysis.And the market history examination of the model, model analysis of the market trend this year, and this year launched the reduction of state-owned shares the possibility and its influence.Point out the limitation of the model is the number of elements and relations between the influence of stock index can not give.
this paper, we develop a conceptual model about the Chinese stock market operation according to the principle and structure of mathematical model, rather than mathematical models or by econometrics model.This is because many factors affect the stock market, the relationship is complex, it is difficult to establish a mathematical model and Econometrics model.On the other hand, even to build a mathematical model to predict and calculate the future index, the game between investors will make this model fails soon, because of the widespread use of this model to change the behavior of investors, thus changing the premise model.May be based on the above reason, Merrill Lynch, Goldman Sachs, mathematical model of Morgan Stanley and other famous investment banks did not predict the stock index.
is such a useful conceptual model?It can explain the history, prediction and analysis of various factors in what extent?We will try to answer these questions in the following.A model of


, people used the policy of the city or the funds to promote model to describe the Chinese stock market's operation.We think, the two models are caught some features of Chinese stock market and the omission of some other features, can explain some phenomena and cannot explain some phenomenon, not a Chinese stock market operation of the comprehensive and accurate summary.
(a) detailed analysis and Research on 1993 2001, the Shanghai index changes and the related factors after structure during
, we will run the model in Chinese stock market are as follows:
1 Chinese stock market is a fundamental institutional defects, the interfere of emerging markets.It
every time the state is determined by the exogenous variables, market structure and the last state.
2 the main exogenous variables is the macro economic situation, economic policy and government regulation of the securities market, the government regulation of the securities market is the most important, the most direct.Characteristics of
3 Chinese stock market structure is the 2/3 shares not in circulation and no short mechanism.This is the system defect root
nature, cause a series of problems in China's stock market performance and the special investment philosophy.
4 China's stock market is an emerging market, grow fast, but not standardized, regulatory and institutional construction progress rapidly, in the development of rapid change and improve the process.
5 and other stock markets, Chinese stock market law of motion with periodic fluctuations.It is a de facto state associated with the last state.In the outside effect disappeared or unchanged, the stock market will operate according to its own rules.
(two) macro economic situation and macroeconomic policy effect on stock market
stock market index and volume is the object analysis, calculation and prediction model, known as the endogenous variable.Factors contributing to index and volume and itself is not affected by the reaction of them, known as exogenous variable.
The dividends and capital appreciation.
data shows, China's listing Corporation distribute dividends total monk cannot fully offset the various transaction costs (stamp duty, fees), therefore, 99.9% investment income from capital gains, the price volatility of income is the vast majority of investors profit mode.The transaction mechanism and no short mechanism decided that only do more profitable.It is this system have caused the stock index of the bottom gradually raise, the average price-earnings ratio gradually raise the stock market.
high share prices make shares lose investment value, only speculation can profit.2/3 shares in circulation will not flow, once the circulation stock price will fall sharply as expected, Damour's sword hanging on the head, always discomposed, who dare to make long-term investment plans?Therefore, the concept of popular speculation, investment philosophy is no market.
(five)
cycle of China's stock market as the world's stock markets, Chinese stock market has periodic.Chinese stock market cycle causes economic fluctuation, but the more important reason is from institutional investors profit pattern.Institutions in the low to collect bargaining chips, high distribution, forming a whole rise cycle; distributed after the stock price fluctuations and disorder, until the fall to institutions that have low rise space, forming a down cycle.When prices rise, prices deviate from the internal value too much, market risks increase to unsustainable levels, from institutional investors have strong demand for cash management, reduce market risk often have significant introduction of cooling measures, stock prices fall, the roof into the stock market.When the stock market after a sharp and prolonged decline, prices fell to a certain extent, risks have been fully released, and after a certain up space, institutional investors that can enter the next profit cycle, began to absorb.To achieve long-term downturn in the stock market is not conducive to the government's target, then the government often issued in favor of the policy on the stock market, stock prices began to rise, the formation of the stock market bottom.The top and bottom of the repeated, forming a cycle of Chinese stock market.Impact of government regulation on the stock market cycle length and the amplitude of fluctuations.


(six) the mechanism of the effect of
on one of the various factors affecting the stock market, including the exogenous variables, market structure, the last state.How these factors effect on the stock market?This paper is mainly about the stock index changes, namely the two secondary market price changes.Stock as a virtual financial assets, there are two different trading behavior and physical goods its transaction.A stock supply and demand mainly by the price is expected to decide future stock, the stock price is expected to have a future different transaction; both two transactions are investors (different, and two class market a market transaction in the stock issuers and investors were), expected future investors sell stock prices stock, known as the air, the expected future stock prices to buy stock, called multiple.Did not participate in the traders, including stock ownership and cash are not buyers not sellers, not including the sale of shares ҵ and did not clinch a deal, not much also is not empty.With the expected change straddle both sides can convert each other, previously did not participate in the trader can join the transaction, as many or air.Comparison of two kinds of force pupil determines the stock price fluctuations, the pupil two forces determines the size of the volume size.
the above analysis of the exogenous variables, the stock market structure and the last state is affected by investors in the future stock price expectations, thus changing the contrast effect straddle both sides of the power in the stock market.
$0 to expand to about 20000000000.Is far greater than the brokerage Kuogu capital policy brought about money.Therefore, it is important to change the investor expectations of future stock market, rather than how much money; rising prices to attract incremental funds into the market.Application of


three, model a correct and useful model, firstly to explain the history, secondly to predict the future and the analysis of the influence of various factors, especially the impact of policy.
(a) in 2002 the stock market trend prediction of
in order to predict the trend of the stock market this year, we first analysis the regulation of exogenous variables model situation, macro economic and social situation, macroeconomic policy and administration of the securities market.
(1) affected by the global economic downturn, China's export growth rate will decline, or even negative growth.2002 will undertake 2001 GDP growth rate gradually decline in the grim situation, macroeconomic regulation and control policy can still maintain a rapid rate of growth, estimated at 7%.
(2) insufficient effective demand of domestic economy.The government's economic work is the center of the expansion of demand.To this end, the government will continue to implement the expansion of fiscal policy, but the expansionary fiscal policy in four consecutive years of economic growth began to decline and the multiplier effect, cause national income imbalance between investment and consumption, node content and government spending, need to adjust fiscal policy.The policy focus may change, to expand the income, stimulate consumption, tax cuts to stimulate enterprises to expand production and investment direction.
(3) reduction in fiscal policy effectiveness of the situation, ask a moderately expansionary monetary policy has increased.Facing great pressure of international banking competition and banking after entry into the WTO system huge bad debts, the expansion of government money will remain cautious, prudent monetary policy will continue next year, and not by a massive expansion of credit measures to stimulate the economy.Because that will further increase the banking system of bad debts, increasing the risk of the entire financial system.
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