利率调整对我国上市银行股价波动影响的实证分析

发布时间：2018-02-16 11:27

本文关键词： 同业拆借利率存贷款利率银行股价　出处：《安徽财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：面对2008年以来国内经济高增长中出现的通货膨胀、房价持续上涨、资本收益下降等复杂的经济形势,我国央行在三年内对包括存贷款利率在内的多种利率频繁进行调整,其中对一年期存贷款利率的调整高达十次。同时随着我国利率市场化水平的不断提高,我国货币市场在金融市场中的作用也越来越大,货币市场利率对股市的影响也越来越明显。利率调整①对股价波动的影响一直是国内外学者研究的热点,然而利率调整对银行股价波动影响的研究较少。商业银行作为主要从事存贷款业务、在金融市场中发挥金融枢纽职能的金融中介机构,其股价波动和自身经营对利率的调整都非常敏感。银行股价的稳定关系到商业银行的持续融资以及整个资本市场的稳定,商业银行经营的稳定更是关系到整个经济的正常运行,所以利率政策的调整不仅需要考虑经济的运行状况,还需要考虑银行股价的波动和商业银行正常的经营。基于此意义,本文结合利率调整对股价波动影响的相关理论,运用计量分析法、事件分析法等方法来分析利率调整对银行股价波动的影响。本文首先从理论上分析了利率与股价间的关系,以及利率调整对股价产生的影响；其次,通过用单位根检验、协整检验以及葛兰杰因果检验等计量分析法实证研究了市场利率与银行股价间的关系,验证了两者的长期负相关关系,并得出市场利率是银行股价的单向葛兰杰原因的结论；再次,通过事件分析法和对比分析法研究了管制利率的调整对银行股价的影响,验证了银行股价受到利率调整的影响要比市场总体水平更为敏感,并得出在短期内管制利率的调整对股价的影响作用不显著的结论；最后结合我国实际情况对实证结论进行分析,并对管理当局和投资者分别给出了相应的政策建议。
[Abstract]:In the face of the complicated economic situation, such as inflation in the high growth of domestic economy since 2008, the continuous rise in house prices and the decline in capital gains, the central bank has frequently adjusted various interest rates, including deposit and loan rates, in the past three years. Among them, the adjustment of one-year deposit and loan rates is as high as 10 times. At the same time, with the continuous improvement of the level of marketization of interest rates in China, the role of our money market in the financial market is becoming more and more important. The impact of money market interest rates on the stock market is also becoming more and more obvious. The influence of interest rate adjustment on stock price fluctuation has been a hot topic of domestic and foreign scholars. However, the impact of interest rate adjustment on stock price fluctuation of banks is less. Commercial banks are mainly engaged in deposit and loan business. Financial intermediaries that play the role of financial hub in the financial market are very sensitive to the adjustment of interest rate. The stability of bank stock price is related to the continuous financing of commercial banks and the stability of the capital market as a whole. The stability of the operation of commercial banks is also related to the normal operation of the whole economy. Therefore, the adjustment of interest rate policy needs not only to consider the operation of the economy, but also to consider the fluctuation of bank stock prices and the normal operation of commercial banks. Based on the theory of the influence of interest rate adjustment on stock price volatility, this paper analyzes the effect of interest rate adjustment on bank stock price volatility by means of econometric analysis and event analysis. In this paper, the relationship between interest rate and stock price is analyzed theoretically, and the influence of interest rate adjustment on stock price is analyzed. The co-integration test and Granger causality test empirically study the relationship between market interest rate and bank stock price, verify the long-term negative correlation between them, and draw the conclusion that market interest rate is the one-way Granger cause of bank stock price. Thirdly, by means of event analysis and contrast analysis, this paper studies the effect of regulating interest rate adjustment on bank stock price, and verifies that bank stock price is more sensitive to the influence of interest rate adjustment than the overall market level. The conclusion that the adjustment of regulated interest rate has no significant effect on stock price in the short term is concluded. Finally, the empirical conclusions are analyzed in combination with the actual situation in China, and the corresponding policy recommendations are given to the management authorities and investors respectively.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F832.51;F224

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