存款准备金率变动对我国上市商业银行股价影响的研究

发布时间：2018-04-12 08:13

本文选题：存款准备金率 + 商业银行　；参考：《华侨大学》2013年硕士论文

【摘要】：近年来，我国央行频繁使用存款准备金政策对信贷规模进行调控。存款准备金率的调整使商业银行可供运用的资金量发生变化，并通过一系列传导机制影响上市商业银行股票价格，进而影响商业银行经营状况和盈利能力。本文采用事件研究法，以2008年9月15日——2012年2月18日之间存款准备金率的调整作为事件，利用16家上市商业银行的数据，对估计期[-110,-10]内商业银行的预期收益进行了回归，并对事件期[-10,10]内异常收益率进行了计算。在预期收益率的回归中，本文选用了市场调整法进行估算。研究结果显示，我国上市商业银行在存款准备金率上调公告日前9交易日至公告后7交易日[-9,7]的期间内，由于公告消息所获得的累计异常收益率为负，存款准备金率上调的公告信息对上市商业银行的股价有负面影响，产生了负的异常收益率；我国上市商业银行在存款准备金率下调公告日前未出现明显的超额收益，在公告后1交易日至公告后10交易日[1，10]的期间内，由于公告消息所获得的累计超额收益率为正，存款准备金率下调的公告信息对上市商业银行的股价有正面影响，产生了正的超额收益率。此外，本文还对大型商业银行和中小型商业银行进行分组检验，结果表明，，中小型商业银行借由公告信息所获得的异常收益率都较为明显，存款准备金率调整事件对中小型商业银行股票的影响更为显著。
[Abstract]:In recent years, the central bank frequently uses deposit reserve policy to regulate the credit scale.The adjustment of deposit reserve ratio changes the amount of funds available to commercial banks, and influences the stock prices of listed commercial banks through a series of transmission mechanisms, thus affecting the operating conditions and profitability of commercial banks.In this paper, the method of event research is adopted, and the adjustment of reserve requirement ratio between September 15, 2008 and February 18, 2012 is taken as the event. Using the data of 16 listed commercial banks, the expected returns of commercial banks in the estimated period [-110 ~ 10] are regressed.The abnormal rate of return in the event period [- 10] is calculated.In the regression of expected rate of return, this paper chooses the market adjustment method to estimate.The results show that during the period of 9 trading days before the announcement date and 7 trading days after the announcement, the cumulative abnormal return rate obtained by China's listed commercial banks due to the announcement is negative.The announcement of the increase in the reserve requirement ratio has a negative impact on the stock prices of listed commercial banks, resulting in a negative abnormal rate of return.During the period from the first trading day after the announcement to the 10 trading days after the announcement, as the cumulative excess yield obtained by the announcement is positive, the announcement information of the lowering of the reserve requirement ratio has a positive impact on the stock prices of the listed commercial banks,A positive excess rate of return has been generated.In addition, this paper also carries on the grouping test to the large commercial banks and the small and medium-sized commercial banks. The results show that the abnormal rate of return obtained by the small and medium-sized commercial banks through the announcement information is more obvious.The effect of reserve ratio adjustment on the stocks of medium and small commercial banks is more significant.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.51

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