我国利率与股价相关关系研究

发布时间：2018-01-05 15:22

本文关键词：我国利率与股价相关关系研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：股市作为企业筹融资和投资者投资的重要场所,其重要性对国民经济、对投资者的不言而喻。然而股市在运行过程中,也会产生泡沫或者处于萧条。2007年在股市一路向上,最终攀上6124的高点,在这个过程中央银行连续五次上调金融机构存款基准利率,但是这也没有改变股市上攻的趋势。利率调整作为重要的货币政策之一,是央行进行宏观调控经济股市的重要工具,也是央行调控股市的重要手段。但是我们可以发现,并不是每一次的利率调整都会带来和理论相一致的结果：从理论上来讲,利率上调会导致股市下跌,反之则反是。我们认为这是因为股市的涨跌是由多方面的因素共同作用而成的,利率的调整效果显然要受一些条件的影响：包括股市的基本趋势以及我国基本的经济情况等。本文深入研究了利率和股市的相关关系,研究工作从两个方面展开。其一是利率调整对股市的短期影响,在有效市场理论的基础上,运用事件研究法对利率调整对带来的影响进行了差异性分析,认为利率调整对股市的影响不是很明显,股指的走势更多地依赖于当时的市场氛围,牛市或者熊市的投资者情绪,利率调整只有顺势而为,或者在牛市和熊市转换的时期才是有效的；其二是提出了基准市场利率的概念,并利用单位根检验、协整检验以及格兰杰因果检验等方法实证检验了基准市场利率和股市的长期相关关系,认为市场利率和股市之间存在长期均衡,市场利率是股市的格兰杰原因。基于以上分析,本文认为尽管利率调整对股价的影响不大,然而从长期看市场利率是股市的格兰杰原因,我们可以认为利率调整存在一定的时滞,也就是说利率调整带来的各种效应需要一定的反应时间,因此短期影响不明天,但是长期的均衡关系明显。政府以后如果要进行调控,就要大力推进利率市场化,市场化的利率才能反映投资者要求的收益率,只有影响市场利率才能更好地调控股市。
[Abstract]:An important place for the stock market as a business financing and investment, its importance to national economy, it is self-evident. However, the stock market for investors in the operation process, will produce foam or depressed.2007 in the stock market all the way up, eventually climbed to 6124 highs, the central bank raised five consecutive deposits of financial institutions the benchmark interest rate, but this did not change the market upside trend. The adjustment of interest rate as an important monetary policy of the central bank, is an important tool for macroeconomic regulation of the stock market, the central bank is also an important means of regulation of the stock market. But we can find that not every time the interest rate adjustment will bring consistent and theoretical results: theoretically speaking, interest rates will lead to decline in the stock market, and vice versa. We think this is because the stock price is determined by many factors together However, the effect of interest rate adjustment is clearly affected by some conditions: including the basic trend of the stock market and China's economic situation. This paper studies the correlation between interest rates and stock market, the research work from two aspects. One is the short-term impact of interest rate adjustment on the stock market, based on the efficient market on the theory of interest rate adjustment of the difference analysis on the impact of using the event study method, which considers the effect of interest rate adjustment on the stock market is not obvious, the trend of the stock depends more on the market atmosphere, a bull or bear market investor sentiment, the interest rate adjustment only flow, or conversion in bull market and bear market period it is effective; second is the concept of the benchmark market interest rates, and the use of unit root test, cointegration test and causality test method to test the Grainger benchmark The long-term relationship between the market rate and the stock market, that there is a long-term equilibrium between market interest rates and the stock market, the market interest rate is the Grainger reason of the stock market. Based on the above analysis, this paper argues that although the effect of interest rate adjustment on stock prices is not big, but in the long term the market interest rate is the Grainger reason of stock market, we can think that the interest rate adjustment there is a certain time lag that is to say, all the effects of interest rate adjustment of the reaction time is certain, so the short-term impact of tomorrow, but the long-term equilibrium relationship is obvious. The government later if you want to control, we must vigorously promote the marketization of interest rate, the market interest rates in order to reflect the required rate of return, only the market interest rates in order to better control the stock market.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F822.0

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