证监会政策对中国股市的影响：以2015年股灾为例

Contents

1 Introduction (1)

1.1 Research Background (1)

1.2 Research objectives and significance (2)

1.3 Thesis Structure (3)

1.4 Innovation and limitation (4)

2 Literature Review (5)

2.1 The Study on the Influence of the Financing and Securities Lending

business on the Stock Market (5)

2.1.1 The Influence on the Fluctuation of the Stock Market by the

Financing and Securities Lending (5)

2.1.2 The Influence on the Liquidity in the Stock Market by the

Financing and Securities Lending (6)

2.2 The Study on the Influence on Stock Market by the Policies (7)

3 Methodology (10)

4 Case Introduction and Data Present (11)

4.1 China Securities Market and the Overview of the Policy-oriented

Market and Its History (11)

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4.2 The Collection of the Important Policies Released by the CSRC and the

Story of the Stock Market Turmoil in 2015 (12)

4.2.1 Brokerage Sector Being Adjusted and Market Still Going

Irrational under the Supervision of Financing and Securities Lending by CSRC (13)

4.2.2 The Stock Market Turmoil Was Triggered by the CSRC’s

vigorous Clearing and Checking of Capital Distribution outside the Stock Market (14)

4.2.3 the Falling-down to a Lower Limits of more than One Thousand

Shares Made the Market Lack of Liquidity and the CSRC Implemented

A Series of Bailout Policies (15)

4.2.4 The End of the Stock Market Turmoil 1.0 and the Market

Established Its Baby Bottom (19)

4.3 The Data Verification on the Influence on the Stock Market by the

Policies Released by the CSRC during the Whole Stock Market Turmoil (20)

5 Case Analysis and Specific Solution (22)

5.1 The Formation of the Leveraging Bull Market (22)

5.2 Hysteresis and Regulatory loopholes of the Policies Issued by the

CSRC Increased the Risk and Foreshadowed the Market Turmoil. (26)

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5.3 The Clearing and Investigation of the Capital Distribution outside the

Stock Market and De-leveraging by the CSRC Caused the Depletion of the Liquidity and Triggered the Stock Market Turmoil (29)

5.4 Analysis on the Bailout Policies Released by the CSRC (31)

5.4.1 The Analogy between this Stock Market Turmoil and the Stock

Market Turmoil in China in 2008 (31)

5.4.2 The Bailout Policies Issued by the CSRC Did not Seize the Key

and Made the Liquidity Crisis as well as the Turmoil More Severe .. 32

5.5 Other Influences Brought by the Policies (42)

6 Conclusion and General Solution (43)

6.1 Case Conclusion (43)

6.2 General Solution and Policy Proposal (45)

Bibliography (47)

Acknowledgments (49)

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Illustrations

1Illustration 1 (The SSE Composite Index and the daily financing balance of Shanghai Stock Exchange and Shenzhen Stock Exchange from January, 2014 to October, 2015) (23)

2Illustration 2 (The Dow Jones Industrial Index from January, 1987 to June, 1988) (33)

3Illustration 3 ( The Trend of the SSE Composite Index from January, 2015 to September, 2015) (35)

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Tables

1Table 1 The daily average rates in three days before and after the issuance of above policies and the average yield rate in the whole time window (20)

2Table 2 lag order selected by the criterion (24)

3Table 3 Granger Causality test result (25)

4Table 4 Some News Reports on the Intervention to the Business of the Financing and Securities Lending by the CSRC (28)

5Table 5 the parameters of multiple linear regression of the change rate of the current closing price of various indices with the change rate of the daily financing balance in Shanghai Stock Exchange and Shenzhen Stock Exchange and indices’ volume from November 3rd, 2014 to September 3rd, 2015 (40)

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