预期视角下利率调整对股票价格影响的实证研究

发布时间：2018-03-08 00:31

本文选题：利率调整　切入点：股价指数　出处：《东华大学》2014年硕士论文　论文类型：学位论文

【摘要】：利率政策是央行货币政策三大主要工具之一,它的变动引起了市场参与者的广泛关注,市场总是会根据利率的调整形成预期并反映到当前的股票市场中。由于利率调整的力度和公告的时机很难被市场所把握,所以市场会对利率调整存在着预期偏差,而这种偏差就是利率调整中的未预期部分。根据市场有效理论,现有的市场价格已经充分体现了已知的所有影响因素的状况,只有未被市场预期的新信息才能够对市场造成冲击。因此,在利率调整对于股市的影响方面,国内外学者开始纷纷引入预期因素,利用各种市场工具变量对央行利率调整进行分解,从而考察央行利率调整的未预期部分对市场的影响。本文首先通过一年期存款利率和一月期银行间同业拆借利率之间存在的长期均衡关系,将政策性利率调整转变为市场利率变动,然后利用不同期限同业拆借利率中隐含的远期利率将市场利率分解为已预期部分和未预期部分,最后通过构建事件窗口,运用线性回归模型、GARCH模型和SVAR模型实证检验了我国利率调整在不同的市场背景下对股市的即期、短期以及长期影响。研究发现,在不同市场背景下,股票价格对不同性质的未预期利率调整的即期冲击反应呈现出显著的负向关系；不同性质的和不同市场背景下的未预期利率调整的即期冲击效应都存在非对称性。在短期内,牛市中的未预期的利率调整对股价的短期影响显著；此外,未预期利率调整一般都会加剧股市的短期波动水平,不同市场背景和不同性质的未预期利率调整对股市短期波动的影响都存在非对称性。利率调整对股市具有中长期效应,牛市中实际利率变动与股价变动成正向关系但影响效果不显著,而熊市中实际利率变动与股价成反向关系且影响效果显著；此外,市场预期对股市具有显著的长期影响效应。
[Abstract]:Interest rate policy is one of the three major tools of the central bank's monetary policy, and its changes have aroused widespread concern among market participants. The market will always form an expectation according to the adjustment of interest rate and reflect it into the current stock market. Because the intensity of the interest rate adjustment and the timing of the announcement are difficult to be grasped by the market, the market will have an expected deviation in the interest rate adjustment. This deviation is the unexpected part of the interest rate adjustment. According to the market efficiency theory, the existing market prices have fully reflected the situation of all known influencing factors. Only new information that has not been expected by the market can impact the market. Therefore, in terms of the impact of the interest rate adjustment on the stock market, domestic and foreign scholars have begun to introduce the expected factor in succession. This paper uses various market tool variables to decompose the central bank's interest rate adjustment, so as to investigate the impact of the unexpected part of the central bank's interest rate adjustment on the market. Through the long-term equilibrium relationship between the one-year deposit rate and the January interbank offered rate, this paper first changes the policy interest rate into the market interest rate change. Then the market interest rate is decomposed into the expected part and the unanticipated part by using the forward interest rate implied in the interbank offered rate of different maturity. Finally, the event window is constructed. By using the linear regression model GARCH model and SVAR model, this paper examines the spot, short and long term effects of interest rate adjustment on the stock market in different market backgrounds. It is found that under different market background, the stock price has a significant negative relationship with the unexpected interest rate adjustment of the spot shock response of different properties; The spot impact effect of unexpected interest rate adjustment in different nature and different market background is asymmetric. In the short run, unexpected interest rate adjustment in bull market has a significant short-term effect on stock price. The unanticipated interest rate adjustment will generally aggravate the short-term fluctuation level of the stock market, and the influence of the unexpected interest rate adjustment of different market background and nature on the short-term volatility of the stock market is asymmetric. The interest rate adjustment has a medium and long-term effect on the stock market. In bull market, the change of real interest rate has a positive relationship with stock price, but the effect is not significant, while in bear market the change of real interest rate has a reverse relationship with stock price and the effect is significant. In addition, market expectation has a significant long-term effect on the stock market.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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