利率对我国股市波动性影响的实证研究

发布时间：2018-04-21 18:34

本文选题：利率 + 波动性　；参考：《西南财经大学》2013年硕士论文

【摘要】：金融市场作为市场经济发展的产物,随着我国经济的飞速发展,金融市场在国民经济中发挥着越来越重要的作用,而股票市场作为金融市场重要的组成部分,随着信息技术的发展,金融管制的逐步放宽,股票市场在整个金融体系中占据着至关重要的地位。股票价格的波动是客观存在的经济现象,是股市发展的前提之一。股票价格的适度波动是证券市场赖以生存与发展的根本保证,是投资者获取资本利得的基础和上市公司价值变动的体现。如何有效监管股票市场、避免股市过度动荡给实体经济和社会安定带来负面影响,就成为摆在管理层面前一个亟待解决的问题。我国两会提出由于货币乘数和货币流通越来越不易预测,货币供应是否适合继续作为我国货币政策中介目标已经受到质疑,况且我国央行控制着基准利率,致使我国货币政策通过利率发挥作用的渠道受到抑制,M2应该逐步淡出货币政策调控手段,要更多地发挥利率的调节作用,要从机制上保证和推动利率市场化进程。利率的不断市场化是一个必然趋势,利率与股票市场之间的联系也将越来越紧密。因此,研究利率与股市波动之间的关系,是顺势而为。关于利率对我国股市波动性影响方面的研究,已经有不少国内外学者通过理论与实证来研究两者之间的关系。总体看来,国外的利率以及股票市场发展得较为完善,因此大多数时候利率能够影响到股票市场的波动性;但是由于我国股票市场还处于不断建设与完善时期,关于利率与股市波动性研究的结论,存在着各种分歧。本文从股票定价模型以及利率对股市的传导机制的角度分析两者之间的关系,发现理论上利率与股价负相关,利率的变动能够对股市的波动产生影响。两者之间产生影响的主要作用机制在于：一方面,利率能够改变企业的融资成本,利率的下降能够改善企业经营环境,降低企业经营风险,增加企业的盈利；另一方面,利率改变投资者的资产结构,由于储蓄与投资之间存在着替代关系,因此,利率的上升会导致投资的机会成本增大,投资者要求的必要收益率上升,导致股票市场大量资金流向银行储蓄存款；最后,利率作为一种政策信号,从行为金融学的角度分析,利率的变动会影响到投资者预期,进而影响到股市的波动。因此,利率对股市的波动是能够产生影响的。但是由于前面这些理论的成立是存在前提条件的,那就是利率由市场决定,以及股票市场能够反映所有有效信息,不存在信息不对称等。但本文分析发现,我国目前的利率与股票市场都存在着一定的问题。如目前我国的利率尚未完全市场化,利率机制不灵活,利率的定价机制不健全,基准利率不能正确引导市场利率等；而我国的股票市场存在着新股发行“三高”现象,法律法规尚不健全,内幕交易以及股市投机氛围浓厚等问题。因此,这些问题会使得我国股市波动的实际结果与理论相悖。这就需要实证来检验我国利率与股市波动之间的真实关系。通过参考大量的文献,本文发现多数学者在研究利率对股市的影响这一问题,一般都选取一种股指来反映股市的整体状况,极少有考虑利率对多个指数的影响,在利率的选取上也各不相同,并且得出的结论也并不完全一致。因而推测,我国利率与股指之间的实证关系,还取决于选取何种利率,何种股指,以及经济发展水平。正是由于这些原因,本文在数据选取上也就需要考虑地更加周全。因此,本文选取上证综合指数、深证综合指数以及沪深300指数这三种指数来综合反映我国股市状况。选取这三类股指,主要是因为能够更加综合地反映上海证券交易市场、深圳证券交易市场以及跨市场的情况,因此更能代表股市的整体状况。利率选取上,本文选取全国银行间同业拆借加权平均利率,主要是因为该利率自1996年就放开管制,走向市场化道路,同时反映金融机构实际交易成本。并最终选取了2005年4月8日到2012年12月31日利率与三种股指的日数据。数据长度包括了股市的上升、下降以及调整期,因此可以排除由于经济周期所导致的结论性差异。由于GARCH系列模型能够很好地预测金融时间序列的波动性,因此本文通过GARCH系列模型来进行实证分析。实证结果如下：第一,不同股指本身的波动性存在共性以及特性。共性为上证综合指数、深证综合指数以及沪深300指数收益率都不服从正态分布,收益率序列表现出“尖峰厚尾”的特点。特性为上证综合指数以及沪深300指数并不存在明显的杠杆效应,而深证综合指数波动性呈现出明显的杠杆效应,即负面消息比正面消息对股市的波动性效果更大,表现出上证综合指数与沪深300指数相较于深证综合指数,投资者更为理性。第二,利率对不同股指波动性的影响程度是不一样的。利率的上升会增加深证综合指数的波动性,利率的下降会减少深证综合指数的波动性,利率变化对上证综合指数和沪深300指数波动性影响并不显著。第三,滞后期利率对三类股指的波动性影响不同。滞后期利率对深证综合指数波动性产生影响,对上证综合指数和沪深300指数影响并不显著。滞后期利率的上升增加了深证综合指数的波动,滞后期利率的下降降低了深证综合指数的波动,这个结论与当期利率对深证综合指数波动的影响是一致的,并且滞后期利率变动对上证综指及沪深300指数波动性的影响与当期利率对这两个股指的影响是一致的。因此,不能单从某一股指去分析利率对股市波动性的影响,因为某一股指的波动情况不能反映整个股市的波动状况,利率变动对不同股指波动性的影响是不同的,对待不同交易市场,在条件允许的条件下,应该采取不同的措施。本文在实证结果的基础上,分析了产生结果的原因主要有：首先,我国不同的交易市场之间的信息传导还存在一定的阻碍,导致不同的股指对利率变动的敏感程度不一致。其次,各股指包含的股票数量不同,个股的风险也不同,导致其波动性不一致。再次,股市的波动性受其他因素的影响,其他因素产生的效果抵消了利率变动对股市波动性所产生的影响。另外,银行同业拆借利率仍然不能反映整体的市场利率水平。最后,目前的市场利率还不能完全反映市场的真实水平,且我国的股票市场还存在一定的缺陷。关于本文的研究框架,主要分五大章节来进行研究分析。第一章是绪论,主要介绍选题的背景、意义和目的,论文的研究内容、方法、框架及国内外研究现状。第二章是分析利率对股市波动性的作用机制,主要为理论分析。从四方面来写,包括波动性的概念和衡量标准,股市波动的经济效应,股票定价模型及利率传导机制,但这些理论成立是有其前提条件的,因此本章最后又分析了我国利率市场化以及股市发展的现状。第三章为样本数据的选取和描述性统计,分析了数据选取的原因,以及实证部分将要使用的GARCH模型的基本理论,从而为下文实证部分提供了理论以及数据支持。第四章是利率变动对我国股市波动性影响的实证研究。主要从四部分来进行实证分析：第一部分,不同股指的波动性特点是否相同,存在哪些差异。第二部分,当期利率变动对上述三种股指的波动性分别产生何种影响,为何产生该影响。第三部分,为了增强结论的可靠性,文章引入了滞后期利率变动对股指波动性影响的实证分析,最后分析实证结果产生的可能原因。第五章是结论,主要包括结论及论文的不足和展望。尽管本文在写作过程中,难以避免地有去借鉴一些相关学者的研究方法以及理论依据,但所谓先模仿后创新。因此本文也有两点自己的创新：首先,论文通过比较分析不同股指的波动性差异,进而分析利率对股市波动性的影响,通过分析利率对上证综指、深证综指以及沪深300指数波动的影响,更全面地反映股市波动对利率的敏感性。其次,论文考虑了利率政策的时滞效应,因此引入了滞后期利率变动的平均值,研究滞后期利率能否对股市波动产生影响,进而验证实证结果的可靠性。
[Abstract]:As the product of the development of the market economy, financial market is playing a more and more important role in the national economy with the rapid development of our country's economy. As an important part of the financial market, the stock market is becoming more and more relaxed with the development of information technology, and the stock market is occupied in the whole financial system. The fluctuation of the stock price is an objective economic phenomenon and one of the prerequisites for the development of the stock market. The moderate fluctuation of the stock price is the fundamental guarantee for the survival and development of the stock market. It is the basis for the gain of the capital and the change of the value of the listed company. The negative impact of excessive volatility on the real economy and social stability has become an urgent problem before the management level.
China's two meetings have proposed that the monetary multiplier and currency circulation are becoming more and more difficult to predict. Whether the monetary supply is suitable to continue to be the intermediary target of China's monetary policy has been questioned. Moreover, the Central Bank of China controls the benchmark interest rate, which has led to the suppression of the channel of monetary policy through the interest rate, and the M2 should gradually fade out of the monetary policy. It is necessary to ensure and promote the process of interest rate marketization. The continuous marketization of interest rate is an inevitable trend, and the relationship between interest rate and stock market will become more and more closely. Therefore, the study of the relationship between interest rate and stock market fluctuation is a trend.
In the study of the effect of interest rate on the volatility of China's stock market, many domestic and foreign scholars have studied the relationship between them through theory and empirical study. In general, foreign interest rates and stock markets have developed more perfectly. Therefore, interest rates can affect the volatility of the stock market most of the time; but because of China's stock market, the interest rate can affect the volatility of the stock market. The market is still in the period of continuous improvement and construction. There are various divergences about the conclusion of interest rate and stock market volatility.
This paper analyzes the relationship between the stock pricing model and the transmission mechanism of the interest rate on the stock market. It is found that the interest rate is negatively related to the stock price, and the change of interest rate can affect the volatility of the stock market. The main mechanism of the effect between them is that the interest rate can change the cost of financing of the enterprise on the one hand. The decline of the rate can improve the business environment, reduce the business risk and increase the profit of the enterprise. On the other hand, the interest rate changes the investor's asset structure, because there is a substitution relationship between the savings and the investment. Therefore, the increase of interest rate will lead to the increase of the opportunity cost of investment and the increase of the necessary income rate required by the investors, leading to the stock of the investors. A large amount of money in the ticket market flows to the bank savings deposit. Finally, interest rate is used as a policy signal. From the perspective of behavioral finance, the change of interest rate will affect the investor's expectation and affect the volatility of the stock market. Therefore, the interest rate can have a sound effect on the volatility of the stock market.
However, since the establishment of these theories is precondition, that is, the interest rate is determined by the market, and the stock market can reflect all the effective information, and there is no information asymmetry. However, it is found that the current interest rate and the stock market in our country have a definite problem. For example, the interest rate in our country is not yet completely market. In the field, the interest rate mechanism is not flexible, the pricing mechanism of interest rate is not sound, the benchmark interest rate can not correctly guide the market interest rate, while the stock market in our country has the "three high" phenomenon of new issue, the laws and regulations are not perfect, the insider trading and the stock market speculating atmosphere are strong and so on. Therefore, these problems will make the stock market fluctuate in our country. The actual result is contrary to theory, which requires empirical analysis to test the real relationship between interest rate and stock market volatility.
By referring to a large number of literature, this paper finds that most scholars have chosen a stock index to reflect the overall situation of the stock market in the study of the effect of interest rates on the stock market. The empirical relationship between the national interest rate and the stock index depends on what interest rate, which index, and the level of economic development. It is for these reasons that this paper also needs to be considered more carefully in the selection of data. Therefore, this paper selects the Shanghai Composite Index, the Shenzhen Composite Index and the Shanghai and Shenzhen 300 index to reflect the three indices. The selection of these three kinds of stock index is mainly because it can more comprehensively reflect the Shanghai securities market, the Shenzhen securities trading market and the cross market situation, so it can represent the overall situation of the stock market. The interest rate selection is selected, this paper selects the weighted average interest rate of interbank interbank lending in China, mainly because the interest rate is from 1. 996 years of deregulation, to the market road, and reflect the actual transaction costs of financial institutions. And finally selected the daily data of interest rates and three stock indexes from April 8, 2005 to December 31, 2012. The length of the data includes the rise, decline and adjustment period of the stock market, so it can exclude the conclusive differences caused by the economic cycle.
Because the GARCH series model can predict the volatility of the financial time series well, this paper carries out an empirical analysis through the GARCH series model. The empirical results are as follows:
First, the volatility of the stock index itself has the commonness and characteristics. The commonness is the Shanghai Composite Index, the Shenzhen Composite Index and the Shanghai and Shenzhen 300 index returns do not obey the normal distribution, and the return sequence shows the characteristics of "the peak and the thick tail". The characteristics of the Shanghai and Shenzhen Composite Index and the Shanghai and Shenzhen 300 index do not have obvious leverage effect. The volatility of the Shenzhen composite index shows a significant leverage effect, that is, the negative news is more volatile than the positive news to the stock market, showing that the Shanghai Composite Index and the Shanghai and Shenzhen 300 index are more rational than the Shenzhen composite index.
Second, the effect of interest rate on the volatility of different stock indexes is different. The rise of interest rate will increase the volatility of the Shenzhen composite index. The decline of interest rate will reduce the volatility of the Shenzhen composite index. The fluctuation of interest rate changes is not significant to the volatility of Shanghai Composite Index and the Shanghai and Shenzhen 300 index.
Third, the lag period interest rates have different effects on the volatility of the three types of stock index. The lag interest rate has an impact on the volatility of the Shenzhen composite index, and the impact on the Shanghai Composite Index and the Shanghai and Shenzhen 300 index is not significant. The rise of the hysteresis interest rate increases the volatility of the Shenzhen composite index, and the decline of the interest rate in the late period reduces the volatility of the Shenzhen composite index. This conclusion is consistent with the impact of the current interest rate on the volatility of the Shenzhen composite index, and the effect of the change of interest rate on the volatility of the Shanghai Composite Index and the Shanghai and Shenzhen 300 index is consistent with the impact of the current interest rate on the two indexes.
Therefore, the effect of interest rate on the volatility of the stock market can not be analyzed only from a certain stock index, because the fluctuation of a certain stock index can not reflect the volatility of the whole stock market. The influence of interest rate fluctuation on the volatility of different stock indexes is different. Different measures should be taken to treat different market and under conditions allowed.
Based on the empirical results, this paper analyzes the causes of the results:
First, there are some obstacles in the transmission of information between different trading markets in China, and the sensitivity of different stock indexes to the change of interest rates is inconsistent. Secondly, the number of shares of each stock index is different, the risk of the stock is different, and the volatility is inconsistent. Again, the volatility of the stock market is affected by other factors, and other factors are affected by other factors. The effect of the production of the element is offset by the effect of the interest rate fluctuation on the volatility of the stock market. In addition, the interbank lending rate can not reflect the overall market interest rate. Finally, the current market interest rate can not fully reflect the real level of the market, and there are still some defects in the stock market of our country.
The research framework of this article is divided into five chapters to carry out research and analysis.
The first chapter is the introduction, which mainly introduces the background, significance and purpose of the topic, the content of the research, the method, the framework and the present situation at home and abroad. The second chapter is the analysis of the mechanism of the interest rate on the volatility of the stock market, which is mainly theoretical analysis. From four aspects, it includes the concept and measure of volatility, the economic effect of the stock market fluctuation, and the stock setting. Price model and interest rate transmission mechanism, but the establishment of these theories is precondition, so this chapter finally analyzes the current situation of China's interest rate marketization and the development of the stock market. The third chapter is the selection and descriptive statistics of sample data, analysis of the reasons for the selection of data and the basic theory of the GARCH model to be used in the empirical part. The fourth chapter is the empirical study on the effect of interest rate fluctuation on the volatility of China's stock market. The main part is the empirical analysis from four parts: the first part, whether the volatility characteristics of different stock indexes are the same and what differences exist. The second part, the current interest rate changes to the above three stocks. The third part, in order to enhance the reliability of the conclusion, the article introduces the empirical analysis of the effect of the interest rate fluctuation on the volatility of the stock index, and finally analyzes the possible causes of the empirical results. The fifth chapter is the conclusion, mainly including the conclusion and the deficiency and the prospect of the paper.
Although in the process of writing, it is difficult to learn from the research methods and theoretical basis of some relevant scholars, but the so-called first imitation after innovation. Therefore, this paper also has two innovations:
First, the paper compares the volatility of different stock indexes, and then analyzes the effect of interest rate on the volatility of the stock market, and through the analysis of the impact of interest rates on the Shanghai Composite Index, the Shenzhen Composite Index and the Shanghai and Shenzhen 300 index, more comprehensively reflects the sensitivity of the stock market volatility to the interest rate.
Secondly, the paper considers the time lag effect of interest rate policy, so the average value of the interest rate change in the lag period is introduced, and the effect of the interest rate on the stock market fluctuation can be studied, and the reliability of the empirical results is verified.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】