货币政策对股票价格的影响—理论与越南实证研究

发布时间：2018-02-03 23:27

本文关键词： 货币政策股票价格 VECM模型 GJR-GARCH模型　出处：《上海大学》2016年博士论文　论文类型：学位论文

【摘要】：越南股票市场也称为越南股市,2000年开始作为试点。我的祖国越南股市几经了许多波折,如2007年的蓬勃发展、或是2008年越南股市因世界经济危机而降低效率的情况。这引起越南政府对其股市所进行的一些改变。越南中央银行为国家经济控制而颁布出一系列符合目前经济情况的货币政策,以达成长期的目标。为了读者对越南股市有更多的了解,如货币政策如何影响越南股市、投资者看法如何等,本文将“货币政策对股票价格的影响——理论与越南实证研究”作为自己的研究生博士论文题目。本文主要研究内容如下:第一,系统研究了货币政策对股票价格的影响机理;第二,对越南股票市场进行了介绍和分析;第三,对越南货币政策对股票价格影响进行实证分析;第四,对中越两国的货币政策对本国股票价格的影响进行比较。本文采用了回归模型VECM考察越南货币政策对股票价格影响,运用风险评估模型GIJ-GARCH,以发现市场信息对越南股市的影响。此外,本文基于越南投资者对货币政策信息反应的问卷调查,考察了投资者对货币政策信息反应对股价波动的影响。本研究表明,利率、汇率及法定准备率等因素会对越南股票价格产生负面影响。这些影响在越南中央银行改变政策后(1-2月之后)产生重要意义,且在长期产生重要作用。信息冲击对股票市场价格产生一定的影响,好消息冲击比坏消息具有更强的作用。这说明投资者很重视良好的信息冲击。当市场出现“好消息”的时候,它会对股票价格产生强烈的变动(股票价格上涨)。但当出现“坏消息”的时候,股价小幅度下跌。通过笔者对投资者所进行调查的分析结果显示:投资者认为利率对股票市场的影响是最强大的(标准化系数为0.461)。法定准备率和汇率对股票市场也产生一定的影响,(标准化系数分别为0.302和0.188)。这表明,利率变动会给越南股市带来很大的影响。同时投资者认为货币供应政策并不会给股票市场带来变化。本文研究尚存在一定的局限性与不足。首先,由于数据可获得性因素,本文统计数据截止到2015年12月份。因此,2016年的更新数据可能对整个研究模型及数据分析过程可能产生一定的变化。其次,在评估投资者对货币政策的反应影响股票市场的问卷调查设计方面。笔者进行发问卷的时候,样本可能从个人角度填写,从而产生一定的限制,并不能完全表现出整个越南股票市场的情况。因此,未来研究需要进一步进行优化,比如可以采用随机样本的方法来考察。同时,研究可以多样化、层次化、地区化。此外,数据更新确实产生一定的难度,未来研究可以深入思考。
[Abstract]:The Vietnamese stock market, also known as the Vietnamese stock market, began as a pilot in 2000. My native Vietnamese stock market experienced several setbacks, such as the burgeoning development of 2007. In 2008, Vietnam's stock market became less efficient as a result of the world economic crisis. This led to some changes in the Vietnamese government's stock market. Vietnam's central bank issued a series of compliance measures for state economic control. Monetary policy in the former economic situation. In order to achieve long-term goals. For readers to have a better understanding of Vietnam's stock market, such as how monetary policy affects the Vietnamese stock market, investors' views and so on. In this paper, the impact of monetary policy on stock prices-theoretical and empirical studies in Vietnam "as their doctoral thesis title. The main contents of this study are as follows: first. The influence mechanism of monetary policy on stock price is studied systematically. Second, the introduction and analysis of Vietnam stock market; Third, the impact of Vietnam's monetary policy on stock prices is empirically analyzed. In 4th, the paper compares the influence of Chinese and Vietnamese monetary policy on stock price. This paper uses the regression model VECM to investigate the influence of Vietnam monetary policy on stock price. GIJ-GARCH-based risk assessment model is used to find out the impact of market information on Vietnam's stock market. In addition, this paper is based on the questionnaire survey of Vietnamese investors' response to monetary policy information. The effects of investors' response to monetary policy information on stock price volatility are investigated. Factors such as the exchange rate and the statutory reserve rate will have a negative impact on Vietnamese stock prices. These effects will be significant after the change of policy by the Central Bank of Vietnam (1-2 months later). And in the long run has an important role. The impact of information on the stock market price has a certain impact. Good news shocks are more powerful than bad news. This shows that investors value good information shocks. When there is "good news" in the market. It can make a strong change in stock prices (stock price rises). But when there is "bad news". The results of the author's survey of investors show that the investors think that interest rates have the most powerful impact on the stock market (standardized coefficient is 0.461). The statutory reserve rate and exchange rate also have a certain impact on the stock market. (the standardized coefficients are 0.302 and 0.188, respectively.). Changes in interest rates will have a great impact on the Vietnamese stock market. At the same time, investors think that the money supply policy will not bring changes to the stock market. Due to the availability of data, the statistical data in this paper are as of December 2015. The updated data in 2016 may have some changes on the whole research model and data analysis process. Secondly. In the evaluation of investors' response to monetary policy affecting the design of the stock market questionnaire. When the author sent the questionnaire, the sample may be filled out from a personal point of view, resulting in certain limitations. Therefore, the future research needs to be further optimized, such as the use of random samples to investigate. At the same time, the research can be diversified and hierarchical. Regionalization. In addition, the data update does have some difficulty, future research can be further thought.
【学位授予单位】：上海大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F833.33;F823.33

【相似文献】