我国利率政策对股票市场的影响：基于行业视角的分析

发布时间：2018-01-07 06:29

本文关键词：我国利率政策对股票市场的影响：基于行业视角的分析　出处：《吉林大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着我国股票市场的不断发展与完善,股票市场作为国民经济晴雨表的功能已越来越得到普遍的认可,尤其是股票市场与货币政策相互作用的问题,近年来也受到越来越多的关注,作为调控国民经济最直接的政策工具,利率政策与股票市场的关系成为许多学者研究的前沿性问题。因此,研究我国利率政策对股票市场的影响,以及相应的策略建议具有重要的理论及现实意义。为了检验利率政策与股票市场的关系,本文将股票市场细分为22个行业板块,分别研究股票市场对上证综指以及22个行业板块的影响。在研究利率政策对股票市场影响的基础上,分析了产生这种影响的原因,并提出了相应的政策建议。本文的结构主要分为以下五个部分：第一部分主要介绍了本文的选题背景、研究意义以及国内外学者的研究成果,在此基础上提出了本文研究的创新及不足之处。第二部分从理论方面分析了利率对股票价格的影响,介绍了几种常用的股票定价模型,包括股息贴现模型、零增长模型和固定增长模型,并从存款收益率、企业行为、消费者预期和宏观经济环境四个渠道分析了利率与股票价格波动的理论关系。一般来说,利率与股票价格呈反比关系,利率升高,股票价格下降,利率下降,股票价格提高。第三部分介绍了本文研究利率政策对股票市场影响的计量方法,主要包括单位根检验、协整检验、LM检验、误差修正模型,为下文的实证分析打下基础。第四部分进行实证研究。本文选取2002年1月至2010年12月的上证综合指数(股票代码SH000001)以及22个行业指数的月平均收盘价格指数数据,月实际利率,共108期样本数据,研究利率对股票市场整体价格以及22个行业价格的影响。首先对数据进行ADF检验,证实样本数据是一阶单整序列,在此基础上分别进行利率与上证综指、利率与22个行业的协整检验。协整检验的结果指出,股票价格与上证综指、22个行业指数回归模型的残差序列都是平稳的,通过了检验,由此得出利率与股票价格之间存在长期稳定协整关系的结论,同时建立ECM模型分析长期均衡情况。文章最后对检验结果进行总结,并分析了差异产生的原因,主要包括：第一,由我国股票市场发展现状决定；第二,货币市场发展不完善；第三,股票市场的标准市盈率相对于利率的弹性较低；第四,我国股票一级市场收益率较高；第五,我国利率政策对股票市场的杠杆作用未得到体现；第六,各行业对利率的敏感度不同。第五部分针对上文的实证结果及分析,提出了相应的政策建议。主要包括：第一,发展完善股票市场；第二,加快利率市场化进程；第三,根据行业特点制定利率政策。
[Abstract]:With the continuous development and improvement of China's stock market, the stock market as a barometer of the national economy has become widely recognized, especially in the stock market and monetary policy interaction problems in recent years has also attracted more and more attention, as the most direct policy tools to control the national economy, the relationship between interest rate policy and the stock market become a frontier problem for many scholars. Therefore, study on the impact of China's interest rate policy on the stock market, which has important theoretical and practical significance as well as the corresponding strategies and suggestions.
In order to test the relationship between interest rate policy and the stock market, the stock market will be divided into 22 sectors, respectively, to study the stock market of Shanghai Composite Index and 22 industry sectors. Based on studying the effect of interest rate policy on the stock market, analysis the reason of this influence, and puts forward relevant policy suggestions.
The structure of this article is divided into the following five parts:
The first part mainly introduces the background and significance of the research, and the research results of scholars at home and abroad. On this basis, it puts forward the innovation and shortcomings of this research.
The second part analyzes the impact of interest rate on the stock price from the theory aspect, introduces several common stock pricing models, including the dividend discount model, zero growth model and the constant growth model, and rate of enterprise behavior from the deposit income, consumer expectations and macroeconomic environment four channel analysis theory the relationship between interest rate and stock price volatility in general, the inverse relationship between interest rates and stock prices, interest rates rise, the stock price decline, falling interest rates, the stock price increase.
The third part introduces the measurement methods of interest rate policy's impact on stock market, including unit root test, cointegration test, LM test and error correction model, which lay a foundation for the following empirical analysis.
The fourth part of the empirical research. The paper selected from January 2002 to December 2010 the Shanghai Composite Index (SH000001) and the 22 industry index average monthly closing price index data, monthly real interest rates, a total of 108 sample data of interest rate on the overall stock market price and the impact of 22 industry price. Firstly, ADF test was performed on the data that confirms that the sample data is a single whole sequence, respectively based on the interest rate and Shanghai Composite Index, cointegration test rate and the 22 industries. The cointegration test results indicate that the stock price and the Shanghai Composite Index, the residual sequence of 22 industry index regression model are stable, which pass the test. Concludes that there is a long-term stable relationship of cointegration between the interest rate and the stock price of the conclusion, and the establishment of the ECM model to analyze the long-term equilibrium situation. Finally, the test results were analyzed and summarized. The reason, differences include: first, decided by the development of the status quo of China's stock market; second, the development of the money market is not perfect; third, the standard price earnings ratio of the stock market interest rate elasticity is lower compared to fourth; China's stock market has a higher rate of return; fifth, China's interest rate policy leverage on stock the market has not been reflected; sixth, each industry has different sensitivity on interest rate.
The fifth part puts forward the corresponding policy recommendations for the above empirical results and analysis. It includes: first, develop and improve the stock market; second, speed up the marketization of interest rate; third, formulate interest rate policy according to the characteristics of the industry.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0;F832.51;F224

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