上海银行间同业拆借利率与上证股指的相关性分析

发布时间：2018-05-16 08:59

本文选题：利率 + 上海银行间同业拆借率　；参考：《辽宁大学》2013年硕士论文

【摘要】：中国的股票市场历史短暂，1989年才开始决定试点，但是在1990年12月19日上海证券交易所和1991年7月3日深圳证券交易所成立之后，中国股市发展迅速。利率是一个重要的经济范畴和经济指标，总体上就表现形式来说，指一定时期内利息额同借贷资本总额的比率，也可形容为单位货币在单位时间内的利息水平。对借款人和贷款人来说，利率是借贷资本的价格。因此，利率是政府制定和推行货币政策的重要指标和工具，同时也是市场中参与者进行经济行为和决策的重要参数。于是，国内外一直存在着大量关于股票市场价格和利率之间关系的研究。在2007年，以上海的全国银行间同业拆借中心为技术平台计算、发布并命名的SHIBOR开始成为市场上关注和寄予厚望的代表市场基准利率的利率品种。 SHIBOR作为货币市场基准利率，其功能主要有三个方面：在宏观调控中的中介功能；在金融产品定价中的功能；在利率市场化进程中的作用。由于SHIBOR的形成机制同国际最通行的LIBOR如出一辙，所以虽然SHIBOR在2007年才推出，但在推出后很快就成为了各大金融巨头重要的工具指标，表现为各大金融巨头纷纷开始基于SHIBOR的人民币利率掉期交易，，这就说明了SHIBOR以其与生俱来的机制优势能够迅速的坐稳中国货币市场基准利率的位置，能够很好的表示出货币市场上资金的真实供求关系，为货币市场产品定价提供了很好的参考。本文就是充分利用了SHIBOR的上述性质，通过理论分析和数据实证分析两种方法，研究了SHIBOR和上证综指之间的关系，分析了两者之间的相互影响关系。得到以下结论：第一，SHIBOR的变动对上证综指确实产生了影响，其变化是上证综指变化的格兰杰原因，而且这种影响是反向的，即SHIBOR上升时上证综指下降。第二，SHIBOR的变化对上证综指的影响程度很小，不对上证综指的变化起重要作用。第三，反过来上证综指的波动对SHIBOR不产生影响，上证综指的变化不是SHIBOR变动的格兰杰原因。本文包括以下几个方面：首先，在绪论部分介绍了论文选题背景及问题的提出，结合之前国外和国内众多学者对利率和股票价格之间关系的研究，充分考虑了各种已经成熟的研究方法和手段，说明全文的研究内容与结构安排。其次，在文章的第二部分介绍了国内新出现的上海银行间同业拆借利率SHIBOR的出现、性质以及市场对SHIBOR的看法。分析了SHIBOR在整个市场中所处的位置和其作用，从市场期待的角度描绘了SHIBOR的市场地位；而后也简单介绍了上证综合指数的历史和现状。再次，在第三部分中，从理论上分析了SHIBOR和上证综指之间的相互影响关系。又根据从2007年到2011年底的数据，从实证的角度对两者之间的关系进行了分析，建立二元线性回归方程，又进行格兰杰检验，根据结果发现SHIBOR的变化是上证综指波动的格兰杰原因，但SHIBOR的变化对上证综指的影响程度很小，不对上证综指的变化起重要作用。同时上证综指的波动对SHIBOR不产生影响，上证综指的变化不是SHIBOR变动的格兰杰原因。在最后一部分内容中，根据之前的分析得出结论，并且提出相应的建议。
[Abstract]:China's stock market has a short history. It began to decide on 1989, but after the establishment of the Shanghai stock exchange in December 19, 1990 and the Shenzhen stock exchange in July 3, 1991, the Chinese stock market developed rapidly. The interest rate is an important economic category and economic indicator. In general, the amount of interest for a certain period of time refers to the amount of interest. The ratio of the total amount of the loan capital can also be described as the level of interest per unit time per unit time. For the borrower and the lender, the interest rate is the price of the borrowing capital. Therefore, the interest rate is an important indicator and tool for the government to formulate and implement monetary policy, and is also an important reference for the participants in the market to conduct economic behavior and decision-making. As a result, there has been a lot of research on the relationship between stock market prices and interest rates at home and abroad. In 2007, the national inter-bank lending center in Shanghai was calculated on the technical platform, and the SHIBOR, which was published and named, began to become a variety of interest rates in the market which paid great attention to the benchmark interest rate of the market.
As the benchmark interest rate of the currency market, SHIBOR has three main functions: the intermediary function in the macro regulation and control; the function in the pricing of the financial products; the role in the process of the interest rate marketization. Since the formation mechanism of SHIBOR is similar to the most popular LIBOR in the world, although SHIBOR was introduced in 2007, it has been introduced after its introduction. It soon became an important tool for the major financial giants, showing that the big financial giants began to deal with the RMB Interest Rate Swap Based on SHIBOR, which shows that SHIBOR can quickly sit on the position of the benchmark interest rate in the Chinese currency market with its inherent mechanism advantages, which can well show the money market capital. The real supply and demand relationship of gold provides a good reference for the pricing of money market products.
This paper makes full use of the above properties of SHIBOR. Through two methods of theoretical analysis and data empirical analysis, the relationship between SHIBOR and Shanghai composite index is studied and the relationship between the two is analyzed. The following conclusions are obtained: first, the changes of SHIBOR do have an impact on the Shanghai Composite Index, and the change is the change of the Shanghai Composite Index. Grainger reason, and this effect is reverse, that is, the SHIBOR rise when the Shanghai Composite Index drops. Second, SHIBOR changes to the Shanghai composite index is very small, not the change of the Shanghai Composite Index plays an important role. Third, in turn, the volatility of the Shanghai Composite Index has no impact on the SHIBOR, the Shanghai composite index is not a SHIBOR change of the grid. The cause of Lanjie.
This article includes the following aspects: first, in the introduction part, it introduces the background and problems of the thesis, and combines the previous foreign and domestic scholars to study the relationship between interest rate and stock price, and fully considers all kinds of research methods and means that have already matured, and discusses the content and structure of the full text. Secondly, The second part of the article introduces the emergence of the newly emerging interbank lending rate SHIBOR in Shanghai, its nature and the view of the market to SHIBOR. It analyzes the position and role of SHIBOR in the whole market, depicts the market position of SHIBOR from the perspective of market expectation, and then briefly introduces the Shanghai Composite index. Again, in the third part, the relationship between the SHIBOR and the Shanghai composite index is analyzed theoretically. According to the data from 2007 to the end of 2011, the relationship between the two is analyzed from an empirical point of view, the two element linear regression equation is established, and the Grainger test is carried out, and the changes of the SHIBOR are found according to the results. The change of the Shanghai composite index is the Grainger reason, but the change of SHIBOR has little influence on the Shanghai Composite Index, and it does not play an important role in the change of the Shanghai Composite Index. At the same time, the fluctuation of the Shanghai composite index does not affect the SHIBOR, and the change of the Shanghai composite index is not the original cause of the change of the SHIBOR. The conclusion is drawn out and the corresponding suggestions are put forward.

【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.3;F832.51

【参考文献】