利率调整对我国股票价格影响的实证分析

发布时间：2018-02-11 23:51

本文关键词： 利率上证指数协整检验误差修正模型　出处：《广西师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着社会和经济的发展,人们对资金流通和资本运作的要求越来越高,股票市场适应发展被设立并迅速发展壮大,同时股市的快速发展也对金融市场产生了重大影响,两者相互作用。企业可以通过股票市场进行融资,为其优化资产配置、扩大再生产提供资金支持。除此之外股市还能帮助居民将储蓄转化为投资,丰富居民收入来源。在实际经济活动中,股票价格受到多方面的影响,如货币供应量、经济增长、利率、通货膨胀、财政收支等。在这些因素中,对股价影响最直接、最迅速的莫过于利率因素了。研究这两者之间的关系有利于货币市场和资本市场的互通效果得到优化,从而促进整个国民经济健康发展。本文在前人研究的基础上,借鉴前人的研究成果,先对利率对股价的影响机制进行了理论分析,然后选取2003-2012年的上证指数和利率变动的相关数据作为研究样本,从短期和长期两个角度运用协整检验等方法对二者之间的关系进行实证分析。本文的研究框架是先介绍论文的研究背景和选题意义,接着对国内外的相关研究情况进行了阐述,接着介绍了论文的研究内容和研究方法。其次从理论入手,从股票的定价原理、利率对股票的影响机制以及影响效应等方面说明利率会对股价产生影响的原因。接着从短期和长期两个角度,采用相关分析、回归分析、EG协整检验以及建立误差修正模型进行实证研究,得到研究结论。最后在研究结论的基础上,结合中国股市的发展现状分析原因,提出相关建议。通过实证研究发现,不论在短期还是长期,股价指数变化和利率变动之间均呈现正相关关系,该结论与理论相背离,但与一些学者的研究结果相符。这说明股票价格指数除了利率外还受其他因素的影响。结合中国股市发展现状,并与国外股市发展趋势相对比,本文认为造成这种研究结果的主要原因是目前我国股票市场还处于初级阶段,监管不够规范、题材炒作现象普遍、低效特征明显,利率也没有完全市场化。本文提出了加快利率市场化进程、完善货币传导机制、加强证券市场监管、完善股票上市退市制度等加快中国股市有效市场建立的相关政策建议。
[Abstract]:With the development of society and economy, people have higher and higher demands on capital circulation and capital operation. The stock market has been set up to adapt to the development and developed rapidly. Meanwhile, the rapid development of the stock market has had a great impact on the financial market. Companies can raise money through the stock market to optimize asset allocation and expand reproduction. In addition, the stock market can help residents convert their savings into investments. In real economic activities, stock prices are affected by many factors, such as money supply, economic growth, interest rate, inflation, fiscal revenue and expenditure. The study of the relationship between the two is beneficial to the optimization of the intercommunication effect between the money market and the capital market, thus promoting the healthy development of the national economy as a whole. On the basis of previous research, this paper first analyzes the influence mechanism of interest rate on stock price, and then selects the relevant data of Shanghai Stock Exchange Index and interest rate change from 2003 to 2012 as the research sample. The relationship between them is analyzed empirically by using cointegration test in both short and long term. The research framework of this paper is to first introduce the research background and significance of the topic, then to elaborate the relevant research situation at home and abroad, then to introduce the research content and research methods of the paper. From the aspects of the pricing principle of stock, the influence mechanism of interest rate on stock and the effect of interest rate on stock price, this paper explains the reason why interest rate will affect stock price. On the basis of the conclusion of the research, this paper analyzes the reasons of the development of Chinese stock market, and puts forward some suggestions. The empirical study shows that there is a positive correlation between the change of stock price index and the change of interest rate in both the short and long term. This conclusion deviates from the theory. But it is consistent with the research results of some scholars. This shows that the stock price index is influenced by other factors besides interest rate. Combined with the current situation of stock market development in China, and compared with the development trend of foreign stock market, This paper believes that the main reasons for this kind of research results are that the stock market in China is still in the primary stage, the supervision is not standardized, the subject matter speculation is common, and the characteristics of low efficiency are obvious. This paper puts forward some policy suggestions to accelerate the establishment of effective market of Chinese stock market, such as speeding up the process of marketization of interest rate, perfecting the mechanism of money transmission, strengthening the supervision of securities market and perfecting the system of stock delisting.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F822.0;F224

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