A Study on the Effect of Lifting the Ban on Non-tradable Shares to A Share Market Based on Rational Distributed Lag Model and Accumulative Effect Model
Abstract:How much did the problem of Lifting the Ban on Non-tradable Shares affect A share market on earth? The paper plans to make an empirical study to disclose the difference between the impact effect and lagged effect. Based on monthly-frequency time serious data since June 2006, the paper builds classical Rational Distributed Lag Model and puts forward a new Accumulative Effect Model. Econometrical result proved that the impact effect of lifting the ban on Non-tradable Shares is positive but the accumulative effect is negative. Furthermore, the paper proved that the problem of Lifting the Ban on Non-tradable Share is indeed a unique factor to affect A share market because it didn’t affect stock market in Hong Kong. Finally, the paper synthetically analyzes the problem of Lifting the Ban on Non-tradable Shares.