A simple model for government intervention in China’s stock market

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-10 DOI:10.1016/j.frl.2025.107643

Zhong-Qiang Zhou , Ping Huang , Chee-Wooi Hooy

引用次数: 0

Abstract

This paper develops a simplified heterogeneous agent model to analyze the Chinese government’s stock market intervention strategy, emphasizing governmental trading behavior. We characterize the government as an exogenous agent interacting with fundamentalists and chartists, enabling us to examine intervention effects on market sentiment and price dynamics. Utilizing daily CSI 300 index data from 2015 to 2022, the model captures dynamic shifts in investor composition and quantifies the government’s role in curbing excess volatility. Our results indicate that government intervention, implemented via a simple linear feedback rule, effectively reduces significant price deviations and aligns market valuations more closely with fundamentals. This study contributes to the literature by proposing an intuitive framework that estimates critical parameters of government intervention, thus providing novel insights into its implications for financial market stability.

查看原文本刊更多论文

这是政府干预中国股市的简单模型

本文建立了一个简化的异质代理模型来分析中国政府的股票市场干预策略，强调政府的交易行为。我们将政府描述为与原教旨主义者和图表学家互动的外生代理人，使我们能够检查干预对市场情绪和价格动态的影响。该模型利用2015年至2022年每天的沪深300指数数据，捕捉了投资者构成的动态变化，并量化了政府在抑制过度波动方面的作用。我们的研究结果表明，通过简单的线性反馈规则实施的政府干预，有效地减少了显著的价格偏差，并使市场估值更接近基本面。本研究通过提出一个直观的框架来估计政府干预的关键参数，从而为其对金融市场稳定的影响提供了新的见解，从而为文献做出了贡献。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance