Empirical Study on the Impact of Policy Events on Stock Market before and after Stock Market Disaster

DOI

10.2991/msbda-19.2019.55How to use a DOI?

Keywords

Volatility point identification, Event methodology, Policy event return volatility

Abstract

This paper studied the relationship between policies and stock market volatility. This paper used the volatility point discrimination method to identify the variance increase points of stock market volatility from 2014 to 2018. It finds out the policy events causing stock market fluctuations through the event research method. After regression analysis of index return and policy event return, index return volatility and policy return volatility, it is found that the impact of policy events before the shock of stock market is greater than that after the shock of stock market.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Hui Zhang
AU  - Chao Sun
AU  - Wenyu Meng
PY  - 2019/08
DA  - 2019/08
TI  - Empirical Study on the Impact of Policy Events on Stock Market before and after Stock Market Disaster
BT  - Proceedings of the 2019 International Conference on Modeling, Simulation and Big Data Analysis (MSBDA 2019)
PB  - Atlantis Press
SP  - 355
EP  - 358
SN  - 2352-538X
UR  - https://doi.org/10.2991/msbda-19.2019.55
DO  - 10.2991/msbda-19.2019.55
ID  - Zhang2019/08
ER  -