介入事件对中国股市影响的实证研究

发布时间：2018-06-18 04:17

本文选题：介入分析模型 + 利率与存款准备金调整　；参考：《厦门大学》2014年硕士论文

【摘要】：自1965年尤金·法玛(Eugene Fama)首次提出有效市场(Efficient Market)的概念以来,信息如何影响股票市场收益率就成为学术界和实业界感兴趣的研究内容。中国作为全球第二大经济体,与发达国家成熟的资本市场相比,其股市的设立与发展具有自身的特点。为了研究这种特点,本文在有效市场假说下,以利率、存款准备金率调整以及美联储量化宽松政策为介入事件变量,利用介入事件分析(Intervention Analysis)模型,实证研究此类信息对中国股票形成的短期、中期以及长期影响。这对于进一步完善中国股票市场和投资者规避风险均具有现实参考价值。论文的主要研究内容包括以下几方面：(1)对国内外研究利率、存款准备金率调整以及量化宽松政策对股市影响的文献和结果做了系统的总结和归纳；(2)基于1997年1月2日-2013年12月31日上证综指日收益率数据,利用介入分析模型对利率与存款准备金率调整对中国股市短期影响进行计量分析,并且在此基础上,考虑了上调、下调利率与存款准备金率和日历效应对计量结果产生的影响；(3)基于1997年1月2日-2013年12月31日上证综指以及道琼斯工业平均指数日收益率数据,分别以QE1-QE4为介入事件,研究美联储每一轮量化宽松政策对中国以及美国股市日收益率在政策期内(中期)和政策宣布至2013年12月31日(长期)可能产生的不同影响；(4)对相关的计量结果给出理论解释,并提出相应的政策建议。论文的主要研究结论体现在以下几方面：(1)仅从利率与存款准备金率调整会对中国股市的影响来看,其对股市并不产生影响；(2)在考虑日历效应的情况下(主要是周四效应),利率调整对股市的影响主要体现降息因素中,其对上证综合指数日收益率影响为负,具体程度为-0.008397；(3)在考虑日历效应的情况下(主要是周一效应),存款准备金调整对股市的影响主要体现加存款准备金的因素中,其对上证综合指数日收益率影响为负,具体程度为-0.007852。(4)降息、加存款准备金对股市日收益率并不存在中期影响效应；(5)QEl政策期内(中期)对中国股市日收益率有正向影响,具体程度为0.001688;QE2长期对中国股市日收益率有负影响,具体程度为-0.000868;(6)QEl政策期内(中期)以及QE1长期对美国股市日收益率有显著影响,且影响为正,具体程度分别为0.00726和0.00344;在考虑QEl政策宣布后长期对美国股市影响的前提下,QE2、QE3、QE4对美国股市影响均不显著；(7)QE2在政策期内(中期)以及长期均对人民币兑美元汇率有显著影响,且影响为负,其影响的具体程度为：-0.000201和-0.000116,这也验证了蒙代尔-弗莱明模型对量化宽松政策的经济学分析。
[Abstract]:Since the concept of efficient Market (efficient Market) was first put forward by Eugene Famain in 1965, how information affects the return rate of stock market has become an interesting research content in academia and industry. As the second largest economy in the world, the establishment and development of China's stock market has its own characteristics compared with the mature capital markets in developed countries. In order to study this characteristic, this paper takes interest rate, reserve ratio adjustment and quantitative easing policy of the Federal Reserve as intervention event variables under the efficient Market hypothesis, and uses intervention Analysis model. This paper empirically studies the short-term, medium-term and long-term effects of this information on the formation of Chinese stocks. This has practical reference value for further perfecting Chinese stock market and avoiding risk. The main research contents of this paper are as follows: (1) A systematic summary and summary of the literature and results of domestic and foreign research on interest rate, reserve ratio adjustment and quantitative easing policy on stock market; Based on the daily yield data of Shanghai Composite Index from January 2, 1997 to December 31, 2013, this paper uses the intervention analysis model to analyze the short-term impact of the adjustment of interest rate and reserve ratio on Chinese stock market. Based on the daily yield data of the Shanghai Composite Index and the Dow Jones Industrial average from January 2, 1997 to December 31, 2013, QE1-QE4 is the intervention event. To study the different effects that each round of quantitative easing of the Federal Reserve may have on the daily yields of China and the United States stock market during the policy period (medium term) and on the policy announcement to 31 December 2013 (long-term); 4) giving the theoretical explanation to the relevant measurement results and putting forward the corresponding policy suggestions. The main conclusions of this paper are as follows: (1) only from the impact of the adjustment of interest rate and reserve ratio on the Chinese stock market, it has no effect on the stock market; (2) under the consideration of calendar effect (mainly Thursday effect, the influence of interest rate adjustment on stock market mainly reflects the factor of reducing interest rate, the influence on the daily yield of Shanghai Composite Index is negative, the specific degree is -0.008397; Under the consideration of calendar effect (mainly Monday effect, the effect of reserve adjustment on stock market mainly reflects the factor of adding deposit reserve, its influence on the daily yield of Shanghai Composite Index is negative, and the specific degree is -0.007852.44). There is no medium term effect on the daily yield of stock market with the addition of deposit reserve. During the period of QEl policy, there is a positive effect on the daily yield of Chinese stock market in the period of QEl policy. The specific degree is 0.001688 / QE2, which has a negative effect on the daily yield of Chinese stock market for a long time. The specific degree is -0.000868 / 6 QEl policy period (in the medium term) and QE1 has a significant impact on the daily return of the US stock market, and the effect is positive. The specific degrees are 0.00726 and 0.00344 respectively. On the premise of the long-term impact on the US stock market after the announcement of QEl policy, QE2QE3QE4 has no significant impact on the US stock market. Both QE 2 and QE 2 have a significant impact on the exchange rate of RMB against the US dollar during the policy period (medium term) and in the long run. And the effect is negative, the specific degree of influence is: -0.000201 and -0.000116.This also verifies the economic analysis of quantitative easing by the Mondal-Fleming model.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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