银行间拆借利率对A股影响的研究

发布时间：2018-05-03 15:54

本文选题：银行间拆借利率 + 股票市场　；参考：《上海交通大学》2012年硕士论文

【摘要】：资本市场的两大支柱就是债券市场和股票市场，如果能充分发挥债券市场的作用，那么对于整个金融市场的发展，以及进一步扩大企业的投融资渠道都具有着非常重要的意义。自2010年以来，我国已经连续加息了多次。持续加息在资本市场里的作用本是为了抑制通货膨胀，得以维持国内经济的平稳发展，从而缓解居民负利率的状况。近年来，股票市场非常活跃，历经股票市场发展以来最高点，一路跌宕起伏。股市的高低波动与利率的一再变化，这之间是否有所相关，如何相关，是否显著，利率的调整对股市有何影响。对于这近几年更新的数据的研究，是否能更真实全面的体现两者之间联系，这是本文进行研究的重点。与此同时，债券市场和股票市场越来越理性化、规范化，这些方面的更新也可以揭示新的关系与研究，，更能将彼此之间的联系予以反馈。本文将从分析银行间拆借利率这一点着手，通过理论背景的研究与具体实证，利用回归模型等工具，分析利率与股市之间的关系，利率波动对股市变化的影响，利率差是否对股市波动率有联动性或反作用性，从而得出利率政策对国内股票市场的影响。研究结果证明，就利率与股市各数据的显示，即使前期的大幅波动，也无法直接如各类报道内容体现两者之间的密切联动，两者的变化曲线几乎没有什么相关性；然而回归模型的P值很小，所以对开盘收盘之间的差额再制作回归模型进行研究，这两者之间在长期来看或有存在一定关联。
[Abstract]:The two pillars of the capital market are the bond market and the stock market. If the role of the bond market can be brought into full play, it is of great significance to the development of the whole financial market and the further expansion of the investment and financing channels of enterprises. Since 2010, China has raised interest rates several times. The purpose of continuing to raise interest rates in capital markets is to curb inflation, maintain a stable domestic economy, and ease the negative interest rate situation of residents. In recent years, the stock market is very active, after the stock market development since the highest point, all the way ups and downs. Is there any correlation between the volatility of the stock market and the repeated changes in interest rates, how and how significant, and how the adjustment of interest rates affects the stock market. It is the focus of this paper to study whether the new data in recent years can reflect the relationship between the two more realistically and comprehensively. At the same time, the bond market and the stock market are becoming more and more rational and standardized. The renewal of these aspects can also reveal new relationships and research, and give feedback on the relationship between them. This paper will analyze the relationship between interest rate and stock market and the influence of interest rate fluctuation on stock market through theoretical background research and concrete demonstration, using regression model and other tools. Whether the interest rate difference has the linkage or the reaction to the stock market volatility, thus obtains the interest rate policy influence on the domestic stock market. The results show that even the large fluctuation of interest rate and stock market data, it can not directly reflect the close linkage between the two as all kinds of reports, and there is almost no correlation between the change curve of the two; However, the P value of the regression model is very small, so the difference between opening and closing is studied, which may be related in the long run.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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