我国利率调整对股票价格影响的非对称性

发布时间：2018-02-16 03:08

本文关键词： 利率调整股票价格非对称性投资者情绪　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：作为我国货币政策的重要组成部分,利率调整是也是我国实行货币政策的重要工具之一。中国人民银行根据宏观经济状况的需要,适时适量地施用利率工具,对利率水平和利率结构进行不同程度的调整,以影响社会资金量的供求,促成货币政策既定目标的实现。近年来,中国人民银行对利率调整的频度有所提升,且调整形式更加灵活,调控机制日渐成熟。虽然货币政策制定者实施利率政策并不直接针对股票市场,但是股票市场会受到利率政策的影响,进而对实体经济产生冲击,这在学界是基本被认同的事实。并且理论上,利率变动方向与股票价格变动方向应当成负相关关系,这在针对国外市场的实证研究中基本得到了证实,但是国内学者针对我国市场的研究结论却存在明显争议。本文认为主要原因可能在于没有区分利率调整的方向和研究方法的选取存在问题,以及这些研究多成文于2006年以前,而那时我国的利率调整事件相对较少,样本量有限,一定程度上制约了结论的有效性。本文选取截至到2013年12月31日的数据,先对我国历次利率调整当日股票价格的涨跌情况进行了描述性分析,结果发现每次利率调整之后,股票指数的走势并没有如理论所描述的那样呈现出负相关的规律性。但是这样的分析本身是浅显和缺乏严谨性的,只具有参考意义,为了深入探究这个问题,本文采用在国外证券市场研究中已经非常成熟的事件研究法进行计量建模,把利率调整区分为利率上调和利率下调,以深证行业分类指数为研究对象,对我国股票价格的利率调整效应进行研究。实证结果表明,无论利率上调还是下调,都对股票价格存在显著的影响。但是这种影响并不是理论所预期的完全负相关,也不是相反的完全正相关,而是存在上调和下调的非对称性,即利率上调与股票价格正相关,利率下调与股票价格负相关。这说明就我国而言,利率上调的有效性不及利率下调,利率上调可能会对股票市场,进而对实体经济产生和政策预期相反的效果。同时,利率上调和利率下调都存在较为明显的预期效应和持续性,利率下调还存在滞后效应。在影响程度方面,利率下调时的正效应比利率上调更加明显,说明利率下调对股价的影响更大。具体进行行业分析时,本文发现金融保险业由于其主营业务的特殊性表现为对加息最为乐观,对降息则较为保守；房地产业的表现是所有行业中最接近理论预期的,即在利率上调时悲观情绪最浓,利率下调时乐观情绪最高；作为其上游产业的建筑业对利率调整的反应与其类似,但其对加息的悲观情绪持续时间更长,对降息的反应则相对房地产业更加平稳。最后,本文对产生非对称性的原因进行了定性分析,并认为投资者情绪可能在利率政策传导到股票市场的过程中扮演了重要的角色。
[Abstract]:As an important part of China's monetary policy, interest rate adjustment is also one of the important tools for China to carry out monetary policy. The people's Bank of China, in accordance with the needs of the macroeconomic situation, applies the interest rate instrument in an appropriate and timely manner. The level of interest rate and the structure of interest rate have been adjusted to varying degrees in order to influence the supply and demand of social capital and promote the realization of the fixed target of monetary policy. In recent years, the people's Bank of China has increased the frequency of interest rate adjustment. Moreover, the adjustment form is more flexible and the regulatory mechanism is becoming more mature. Although monetary policy makers do not directly target the stock market, but the stock market will be affected by the interest rate policy, which will have an impact on the real economy. In theory, the direction of interest rate change and the direction of stock price should have a negative correlation, which has been confirmed in the empirical research on foreign markets. However, the research conclusions of domestic scholars on the market in China are obviously controversial. This paper argues that the main reasons may lie in the lack of differentiation between the direction of interest rate adjustment and the problems in the selection of research methods, as well as the fact that these studies were written before 2006. At that time, China's interest rate adjustment events were relatively small and the sample size was limited, which to some extent restricted the validity of the conclusion. First of all, the paper makes a descriptive analysis of the stock price fluctuation on the day of each interest rate adjustment in China. The results show that after each interest rate adjustment, The trend of the stock index does not show the negative correlation as described in theory. However, the analysis itself is simple and lack of rigor, which is only of reference significance, in order to explore this problem in depth. In this paper, the econometric model is established by using the event research method which has been very mature in the foreign stock market research. The interest rate adjustment is divided into interest rate increase and interest rate decline, and the Shenzhen Stock Exchange Industry Classification Index is taken as the research object. This paper studies the effect of interest rate adjustment on stock price in China. The empirical results show that whether the interest rate is raised or lowered, there is a significant impact on the stock price, but this effect is not completely negative correlation as expected by theory. It is not exactly the opposite positive correlation, but the asymmetry of upward and downward adjustment, that is, the interest rate increase is positively correlated with the stock price, and the interest rate cut is negatively correlated with the stock price. This shows that in our country, Interest rate increases are less effective than interest rate cuts, and they may have the opposite effect on the stock market and the real economy. At the same time, interest rate increases and interest rate cuts have more obvious expected effects and sustainability. In terms of the degree of influence, the positive effect of interest rate reduction is more obvious than that of interest rate increase, indicating that the impact of interest rate reduction on stock price is greater. This paper finds that because of the particularity of its main business, the financial insurance industry is most optimistic about raising interest rates, and more conservative to interest rate cuts, and the performance of the real estate industry is the closest to the theoretical expectation in all industries, that is, the most pessimistic sentiment is when the interest rate rises. The interest rate cut was the most optimistic; the construction industry, its upstream industry, reacted similarly to the rate adjustment, but its pessimism about the rate rise lasted longer, and the response to the rate cut was smoother than that of the real estate sector. This paper makes a qualitative analysis of the causes of asymmetry and holds that investor sentiment may play an important role in the transmission of interest rate policy to the stock market.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5

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