文献类型：期刊文献

英文题名：Do government rescue policies reduce the market volatility after crash? Evidence from the Shanghai stock market

作者：Yang, Ming-Yuan[1];Li, Sai-Ping[2];Wu, Yue[3];Tang, Jingtai[4];Ren, Fei[1,5,6]

机构：[1]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd,POB 114, Shanghai 200237, Peoples R China;[2]Acad Sinica, Inst Phys, Taipei 115, Taiwan;[3]East China Univ Sci & Technol, Sch Informat Sci & Engn, Shanghai 200237, Peoples R China;[4]Jinan Univ, Journalism & Commun Sch, Guangzhou 510632, Guangdong, Peoples R China;[5]East China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[6]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2019

卷号：29

起止页码：117

外文期刊名：FINANCE RESEARCH LETTERS

收录：;WOS:【SSCI(收录号:WOS:000473248800016)】；

基金：This work was partially supported by the National Natural Science Foundation (Nos. 71532009, 71790594 and 71871094), the Humanities and Social Sciences Fund sponsored by Ministry of Education of the People's Republic of China (No. 17YJAZH067), the Shanghai Sailing Program (Grant no. 18YF1405300), and the Fundamental Research Funds for the Central Universities (2015).

语种：英文

外文关键词：Aftershocks; Omori law; Crash; Government rescue policy

摘要：In this paper, we investigate the influence of government rescue policies on the Shanghai stock market after crashes by studying the dynamics of aftershocks based on the Omori law with high frequency minute data. We find that the rescue policies indeed reduce the index volatility when there are large fluctuations in the market. Empirical study of aftershocks for the decomposed components of the stock index further reveal the influence of government rescue policies. To our knowledge, this is the first study on government rescue policy influences based on the dynamics of aftershocks for decomposed components of the stock index.