我国利率变动对创业板股票收益率影响的实证研究

发布时间：2018-01-05 21:15

本文关键词：我国利率变动对创业板股票收益率影响的实证研究　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：过去的一段时间里中国股市经历了股市的大波动,股价由2014年3月的低点即2066点涨到2015年6月的最高点即5423点,之后到了2015年又开始直线下跌至2760点。这一事实充分说明了股票市场具有典型的波动性特征,正是这一特征导致许多投机者利用价差来进行投机,而使其他投资者面临较大的投资风险。为了促进股市的健康发展,政府经常采取了一定的政策措施,而货币政策的重要工具之一就是利率,它对股票市场有着显著的影响,因此对市场中的各方参与者来说,研究这两者之间的关系具有重要的参考价值及教育意义。以前在分析这两者之间的关系时,一些研究者们存在着一些不足之处,如有的只分析长期方面,有的只分析短期方面,均带有一定的片面性,将长短期这两者结合起来思考,能更全面的理解利率与股票收益率的关系,从而更好地参与到股市中去,促进股票市场的良性发展。本文共包括四章:第一章介绍本文的研究背景及意义,对国内外的相关研究情况进行阐述,并介绍了本文的研究内容、研究框架及创新点;第二章介绍利率与股票收益率的相关理论研究情况,首先对与股票收益率和利率相关的典型传统理论进行了详细的表述,其次是提出系统的股市利率传导途径。第三章是本文研究的重点,本章依据选取的相关时间序列数据的动态关系进行实证分析,包括数据的选取和模型的设定、数据的时间序列平稳性检验、Granger因果检验、最优滞后项数确定,VAR模型估计,并给出相关的经济意义解释,最后得出实证结论。第四章是针对上一章的实证结果,分析可能造成这一结果的原因并给出相关政策建议。第五章对全文进行总结,以及提出需进一步解决的问题。本文的研究表明,一个月期的国债收益率与创业板股票收益率之间整体存在着负相关的关系,这是符合传统理论所呈现出的关系,并且这种影响在滞后一阶时表现最强,时间越久,影响越小。对于国债收益率、创业板股票收益率本身而言,都会受到自身滞后量的影响,而且这种关系有时为正、有时为负,并不是固定的关系,说明市场前期的波动会影响到后期股票价格的变化,投资行为的表现形式就是投资者的追涨杀跌、也不乏出现逆向投资的行为。所以投资者可以根据一个月期的国债收益率的变动情况来进行投资决策,即当一个月期的国债收益率上升的时候,预期创业板股票收益率会下降,应该提前卖出股票,反之买入。由于在滞后一阶时,这种负相关的关系最显著,所以应该注意时间的把握,在短期内进行买卖操作。
[Abstract]:China's stock market has experienced a period of volatility in the past, with shares rising from a low of 2, 066 in March 2014 to a peak of 5, 423 in June 2015. The fact that the stock market had a typical volatility feature that led many speculators to use the spread to speculate was well illustrated by the fact that in 2015 the stock market had plummeted to 2, 760. In order to promote the healthy development of the stock market, the government often takes certain policy measures, and one of the important tools of monetary policy is interest rate. It has a significant impact on the stock market, so for the participants in the market, the study of the relationship between the two has important reference value and educational significance. Some researchers have some shortcomings, for example, some only analyze long-term aspects, some only analyze short-term aspects, all of them have certain one-sidedness. Can fully understand the relationship between interest rates and stock returns so as to better participate in the stock market and promote the sound development of the stock market. This paper includes four chapters: the first chapter introduces the background and significance of this paper. The related research situation at home and abroad is expounded, and the research content, research framework and innovation of this paper are introduced. The second chapter introduces the relevant theories of interest rate and stock return. Firstly, the typical traditional theories related to stock yield and interest rate are described in detail. The third chapter is the focus of this study. This chapter is based on the selected time series data dynamic relationship analysis, including data selection and model setting. The time series stationary test and Granger causality test, the optimal lag number to determine the VAR model estimation, and the relevant economic significance explanation are given. Finally, the empirical conclusions. 4th chapter is the empirical results of the previous chapter, analysis of the possible causes of this result and give the relevant policy recommendations. 5th chapter to summarize the full text. The research of this paper shows that there is a negative correlation between the yield of one-month bond and the return of gem stock. This is in line with the relationship presented by the traditional theory, and this effect is the strongest in the lag of the first order, the longer the time, the smaller the impact. For the bond yield, gem stock yield itself. All will be affected by their own lag, and this relationship is sometimes positive, sometimes negative, is not a fixed relationship, indicating that the pre-market volatility will affect the later stock price changes. The form of investment behavior is that investors chase up and fall, but also there is no lack of adverse investment behavior. Therefore, investors can make investment decisions according to the change of the yield of one-month Treasury bonds. That is, when the Treasury bond yield of one month rises, it is expected that the gem stock yield will fall, should sell stocks ahead of time, and buy on the contrary. The negative correlation is the most significant because of the lag of the first order. Therefore, we should pay attention to the grasp of time, in the short-term trading operations.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F822.0

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