本文選題：利率 + 波動性　； 參考：《西南財經(jīng)大學(xué)》2013年碩士論文

【摘要】：金融市場作為市場經(jīng)濟發(fā)展的產(chǎn)物,隨著我國經(jīng)濟的飛速發(fā)展,金融市場在國民經(jīng)濟中發(fā)揮著越來越重要的作用,而股票市場作為金融市場重要的組成部分,隨著信息技術(shù)的發(fā)展,金融管制的逐步放寬,股票市場在整個金融體系中占據(jù)著至關(guān)重要的地位。股票價格的波動是客觀存在的經(jīng)濟現(xiàn)象,是股市發(fā)展的前提之一。股票價格的適度波動是證券市場賴以生存與發(fā)展的根本保證,是投資者獲取資本利得的基礎(chǔ)和上市公司價值變動的體現(xiàn)。如何有效監(jiān)管股票市場、避免股市過度動蕩給實體經(jīng)濟和社會安定帶來負(fù)面影響,就成為擺在管理層面前一個亟待解決的問題。 我國兩會提出由于貨幣乘數(shù)和貨幣流通越來越不易預(yù)測,貨幣供應(yīng)是否適合繼續(xù)作為我國貨幣政策中介目標(biāo)已經(jīng)受到質(zhì)疑,況且我國央行控制著基準(zhǔn)利率,致使我國貨幣政策通過利率發(fā)揮作用的渠道受到抑制,M2應(yīng)該逐步淡出貨幣政策調(diào)控手段,要更多地發(fā)揮利率的調(diào)節(jié)作用,要從機制上保證和推動利率市場化進程。利率的不斷市場化是一個必然趨勢,利率與股票市場之間的聯(lián)系也將越來越緊密。因此,研究利率與股市波動之間的關(guān)系,是順勢而為。 關(guān)于利率對我國股市波動性影響方面的研究,已經(jīng)有不少國內(nèi)外學(xué)者通過理論與實證來研究兩者之間的關(guān)系�？傮w看來,國外的利率以及股票市場發(fā)展得較為完善,因此大多數(shù)時候利率能夠影響到股票市場的波動性;但是由于我國股票市場還處于不斷建設(shè)與完善時期,關(guān)于利率與股市波動性研究的結(jié)論,存在著各種分歧。 本文從股票定價模型以及利率對股市的傳導(dǎo)機制的角度分析兩者之間的關(guān)系,發(fā)現(xiàn)理論上利率與股價負(fù)相關(guān),利率的變動能夠?qū)墒械牟▌赢a(chǎn)生影響。兩者之間產(chǎn)生影響的主要作用機制在于：一方面,利率能夠改變企業(yè)的融資成本,利率的下降能夠改善企業(yè)經(jīng)營環(huán)境,降低企業(yè)經(jīng)營風(fēng)險,增加企業(yè)的盈利；另一方面,利率改變投資者的資產(chǎn)結(jié)構(gòu),由于儲蓄與投資之間存在著替代關(guān)系,因此,利率的上升會導(dǎo)致投資的機會成本增大,投資者要求的必要收益率上升,導(dǎo)致股票市場大量資金流向銀行儲蓄存款；最后,利率作為一種政策信號,從行為金融學(xué)的角度分析,利率的變動會影響到投資者預(yù)期,進而影響到股市的波動。因此,利率對股市的波動是能夠產(chǎn)生影響的。 但是由于前面這些理論的成立是存在前提條件的,那就是利率由市場決定,以及股票市場能夠反映所有有效信息,不存在信息不對稱等。但本文分析發(fā)現(xiàn),我國目前的利率與股票市場都存在著一定的問題。如目前我國的利率尚未完全市場化,利率機制不靈活,利率的定價機制不健全,基準(zhǔn)利率不能正確引導(dǎo)市場利率等；而我國的股票市場存在著新股發(fā)行“三高”現(xiàn)象,法律法規(guī)尚不健全,內(nèi)幕交易以及股市投機氛圍濃厚等問題。因此,這些問題會使得我國股市波動的實際結(jié)果與理論相悖。這就需要實證來檢驗我國利率與股市波動之間的真實關(guān)系。 通過參考大量的文獻,本文發(fā)現(xiàn)多數(shù)學(xué)者在研究利率對股市的影響這一問題,一般都選取一種股指來反映股市的整體狀況,極少有考慮利率對多個指數(shù)的影響,在利率的選取上也各不相同,并且得出的結(jié)論也并不完全一致。因而推測,我國利率與股指之間的實證關(guān)系,還取決于選取何種利率,何種股指,以及經(jīng)濟發(fā)展水平。正是由于這些原因,本文在數(shù)據(jù)選取上也就需要考慮地更加周全。因此,本文選取上證綜合指數(shù)、深證綜合指數(shù)以及滬深300指數(shù)這三種指數(shù)來綜合反映我國股市狀況。選取這三類股指,主要是因為能夠更加綜合地反映上海證券交易市場、深圳證券交易市場以及跨市場的情況,因此更能代表股市的整體狀況。利率選取上,本文選取全國銀行間同業(yè)拆借加權(quán)平均利率,主要是因為該利率自1996年就放開管制,走向市場化道路,同時反映金融機構(gòu)實際交易成本。并最終選取了2005年4月8日到2012年12月31日利率與三種股指的日數(shù)據(jù)。數(shù)據(jù)長度包括了股市的上升、下降以及調(diào)整期,因此可以排除由于經(jīng)濟周期所導(dǎo)致的結(jié)論性差異。 由于GARCH系列模型能夠很好地預(yù)測金融時間序列的波動性,因此本文通過GARCH系列模型來進行實證分析。實證結(jié)果如下： 第一,不同股指本身的波動性存在共性以及特性。共性為上證綜合指數(shù)、深證綜合指數(shù)以及滬深300指數(shù)收益率都不服從正態(tài)分布,收益率序列表現(xiàn)出“尖峰厚尾”的特點。特性為上證綜合指數(shù)以及滬深300指數(shù)并不存在明顯的杠桿效應(yīng),而深證綜合指數(shù)波動性呈現(xiàn)出明顯的杠桿效應(yīng),即負(fù)面消息比正面消息對股市的波動性效果更大,表現(xiàn)出上證綜合指數(shù)與滬深300指數(shù)相較于深證綜合指數(shù),投資者更為理性。 第二,利率對不同股指波動性的影響程度是不一樣的。利率的上升會增加深證綜合指數(shù)的波動性,利率的下降會減少深證綜合指數(shù)的波動性,利率變化對上證綜合指數(shù)和滬深300指數(shù)波動性影響并不顯著。 第三,滯后期利率對三類股指的波動性影響不同。滯后期利率對深證綜合指數(shù)波動性產(chǎn)生影響,對上證綜合指數(shù)和滬深300指數(shù)影響并不顯著。滯后期利率的上升增加了深證綜合指數(shù)的波動,滯后期利率的下降降低了深證綜合指數(shù)的波動,這個結(jié)論與當(dāng)期利率對深證綜合指數(shù)波動的影響是一致的,并且滯后期利率變動對上證綜指及滬深300指數(shù)波動性的影響與當(dāng)期利率對這兩個股指的影響是一致的。 因此,不能單從某一股指去分析利率對股市波動性的影響,因為某一股指的波動情況不能反映整個股市的波動狀況,利率變動對不同股指波動性的影響是不同的,對待不同交易市場,在條件允許的條件下,應(yīng)該采取不同的措施。 本文在實證結(jié)果的基礎(chǔ)上,分析了產(chǎn)生結(jié)果的原因主要有： 首先,我國不同的交易市場之間的信息傳導(dǎo)還存在一定的阻礙,導(dǎo)致不同的股指對利率變動的敏感程度不一致。其次,各股指包含的股票數(shù)量不同,個股的風(fēng)險也不同,導(dǎo)致其波動性不一致。再次,股市的波動性受其他因素的影響,其他因素產(chǎn)生的效果抵消了利率變動對股市波動性所產(chǎn)生的影響。另外,銀行同業(yè)拆借利率仍然不能反映整體的市場利率水平。最后,目前的市場利率還不能完全反映市場的真實水平,且我國的股票市場還存在一定的缺陷。 關(guān)于本文的研究框架,主要分五大章節(jié)來進行研究分析。 第一章是緒論,主要介紹選題的背景、意義和目的,論文的研究內(nèi)容、方法、框架及國內(nèi)外研究現(xiàn)狀。第二章是分析利率對股市波動性的作用機制,主要為理論分析。從四方面來寫,包括波動性的概念和衡量標(biāo)準(zhǔn),股市波動的經(jīng)濟效應(yīng),股票定價模型及利率傳導(dǎo)機制,但這些理論成立是有其前提條件的,因此本章最后又分析了我國利率市場化以及股市發(fā)展的現(xiàn)狀。第三章為樣本數(shù)據(jù)的選取和描述性統(tǒng)計,分析了數(shù)據(jù)選取的原因,以及實證部分將要使用的GARCH模型的基本理論,從而為下文實證部分提供了理論以及數(shù)據(jù)支持。第四章是利率變動對我國股市波動性影響的實證研究。主要從四部分來進行實證分析：第一部分,不同股指的波動性特點是否相同,存在哪些差異。第二部分,當(dāng)期利率變動對上述三種股指的波動性分別產(chǎn)生何種影響,為何產(chǎn)生該影響。第三部分,為了增強結(jié)論的可靠性,文章引入了滯后期利率變動對股指波動性影響的實證分析,最后分析實證結(jié)果產(chǎn)生的可能原因。第五章是結(jié)論,主要包括結(jié)論及論文的不足和展望。 盡管本文在寫作過程中,難以避免地有去借鑒一些相關(guān)學(xué)者的研究方法以及理論依據(jù),但所謂先模仿后創(chuàng)新。因此本文也有兩點自己的創(chuàng)新： 首先,論文通過比較分析不同股指的波動性差異,進而分析利率對股市波動性的影響,通過分析利率對上證綜指、深證綜指以及滬深300指數(shù)波動的影響,更全面地反映股市波動對利率的敏感性。 其次,論文考慮了利率政策的時滯效應(yīng),因此引入了滯后期利率變動的平均值,研究滯后期利率能否對股市波動產(chǎn)生影響,進而驗證實證結(jié)果的可靠性。
[Abstract]:As the product of the development of the market economy, financial market is playing a more and more important role in the national economy with the rapid development of our country's economy. As an important part of the financial market, the stock market is becoming more and more relaxed with the development of information technology, and the stock market is occupied in the whole financial system. The fluctuation of the stock price is an objective economic phenomenon and one of the prerequisites for the development of the stock market. The moderate fluctuation of the stock price is the fundamental guarantee for the survival and development of the stock market. It is the basis for the gain of the capital and the change of the value of the listed company. The negative impact of excessive volatility on the real economy and social stability has become an urgent problem before the management level.
China's two meetings have proposed that the monetary multiplier and currency circulation are becoming more and more difficult to predict. Whether the monetary supply is suitable to continue to be the intermediary target of China's monetary policy has been questioned. Moreover, the Central Bank of China controls the benchmark interest rate, which has led to the suppression of the channel of monetary policy through the interest rate, and the M2 should gradually fade out of the monetary policy. It is necessary to ensure and promote the process of interest rate marketization. The continuous marketization of interest rate is an inevitable trend, and the relationship between interest rate and stock market will become more and more closely. Therefore, the study of the relationship between interest rate and stock market fluctuation is a trend.
In the study of the effect of interest rate on the volatility of China's stock market, many domestic and foreign scholars have studied the relationship between them through theory and empirical study. In general, foreign interest rates and stock markets have developed more perfectly. Therefore, interest rates can affect the volatility of the stock market most of the time; but because of China's stock market, the interest rate can affect the volatility of the stock market. The market is still in the period of continuous improvement and construction. There are various divergences about the conclusion of interest rate and stock market volatility.
This paper analyzes the relationship between the stock pricing model and the transmission mechanism of the interest rate on the stock market. It is found that the interest rate is negatively related to the stock price, and the change of interest rate can affect the volatility of the stock market. The main mechanism of the effect between them is that the interest rate can change the cost of financing of the enterprise on the one hand. The decline of the rate can improve the business environment, reduce the business risk and increase the profit of the enterprise. On the other hand, the interest rate changes the investor's asset structure, because there is a substitution relationship between the savings and the investment. Therefore, the increase of interest rate will lead to the increase of the opportunity cost of investment and the increase of the necessary income rate required by the investors, leading to the stock of the investors. A large amount of money in the ticket market flows to the bank savings deposit. Finally, interest rate is used as a policy signal. From the perspective of behavioral finance, the change of interest rate will affect the investor's expectation and affect the volatility of the stock market. Therefore, the interest rate can have a sound effect on the volatility of the stock market.
However, since the establishment of these theories is precondition, that is, the interest rate is determined by the market, and the stock market can reflect all the effective information, and there is no information asymmetry. However, it is found that the current interest rate and the stock market in our country have a definite problem. For example, the interest rate in our country is not yet completely market. In the field, the interest rate mechanism is not flexible, the pricing mechanism of interest rate is not sound, the benchmark interest rate can not correctly guide the market interest rate, while the stock market in our country has the "three high" phenomenon of new issue, the laws and regulations are not perfect, the insider trading and the stock market speculating atmosphere are strong and so on. Therefore, these problems will make the stock market fluctuate in our country. The actual result is contrary to theory, which requires empirical analysis to test the real relationship between interest rate and stock market volatility.
By referring to a large number of literature, this paper finds that most scholars have chosen a stock index to reflect the overall situation of the stock market in the study of the effect of interest rates on the stock market. The empirical relationship between the national interest rate and the stock index depends on what interest rate, which index, and the level of economic development. It is for these reasons that this paper also needs to be considered more carefully in the selection of data. Therefore, this paper selects the Shanghai Composite Index, the Shenzhen Composite Index and the Shanghai and Shenzhen 300 index to reflect the three indices. The selection of these three kinds of stock index is mainly because it can more comprehensively reflect the Shanghai securities market, the Shenzhen securities trading market and the cross market situation, so it can represent the overall situation of the stock market. The interest rate selection is selected, this paper selects the weighted average interest rate of interbank interbank lending in China, mainly because the interest rate is from 1. 996 years of deregulation, to the market road, and reflect the actual transaction costs of financial institutions. And finally selected the daily data of interest rates and three stock indexes from April 8, 2005 to December 31, 2012. The length of the data includes the rise, decline and adjustment period of the stock market, so it can exclude the conclusive differences caused by the economic cycle.
Because the GARCH series model can predict the volatility of the financial time series well, this paper carries out an empirical analysis through the GARCH series model. The empirical results are as follows:
First, the volatility of the stock index itself has the commonness and characteristics. The commonness is the Shanghai Composite Index, the Shenzhen Composite Index and the Shanghai and Shenzhen 300 index returns do not obey the normal distribution, and the return sequence shows the characteristics of "the peak and the thick tail". The characteristics of the Shanghai and Shenzhen Composite Index and the Shanghai and Shenzhen 300 index do not have obvious leverage effect. The volatility of the Shenzhen composite index shows a significant leverage effect, that is, the negative news is more volatile than the positive news to the stock market, showing that the Shanghai Composite Index and the Shanghai and Shenzhen 300 index are more rational than the Shenzhen composite index.
Second, the effect of interest rate on the volatility of different stock indexes is different. The rise of interest rate will increase the volatility of the Shenzhen composite index. The decline of interest rate will reduce the volatility of the Shenzhen composite index. The fluctuation of interest rate changes is not significant to the volatility of Shanghai Composite Index and the Shanghai and Shenzhen 300 index.
Third, the lag period interest rates have different effects on the volatility of the three types of stock index. The lag interest rate has an impact on the volatility of the Shenzhen composite index, and the impact on the Shanghai Composite Index and the Shanghai and Shenzhen 300 index is not significant. The rise of the hysteresis interest rate increases the volatility of the Shenzhen composite index, and the decline of the interest rate in the late period reduces the volatility of the Shenzhen composite index. This conclusion is consistent with the impact of the current interest rate on the volatility of the Shenzhen composite index, and the effect of the change of interest rate on the volatility of the Shanghai Composite Index and the Shanghai and Shenzhen 300 index is consistent with the impact of the current interest rate on the two indexes.
Therefore, the effect of interest rate on the volatility of the stock market can not be analyzed only from a certain stock index, because the fluctuation of a certain stock index can not reflect the volatility of the whole stock market. The influence of interest rate fluctuation on the volatility of different stock indexes is different. Different measures should be taken to treat different market and under conditions allowed.
Based on the empirical results, this paper analyzes the causes of the results:
First, there are some obstacles in the transmission of information between different trading markets in China, and the sensitivity of different stock indexes to the change of interest rates is inconsistent. Secondly, the number of shares of each stock index is different, the risk of the stock is different, and the volatility is inconsistent. Again, the volatility of the stock market is affected by other factors, and other factors are affected by other factors. The effect of the production of the element is offset by the effect of the interest rate fluctuation on the volatility of the stock market. In addition, the interbank lending rate can not reflect the overall market interest rate. Finally, the current market interest rate can not fully reflect the real level of the market, and there are still some defects in the stock market of our country.
The research framework of this article is divided into five chapters to carry out research and analysis.
The first chapter is the introduction, which mainly introduces the background, significance and purpose of the topic, the content of the research, the method, the framework and the present situation at home and abroad. The second chapter is the analysis of the mechanism of the interest rate on the volatility of the stock market, which is mainly theoretical analysis. From four aspects, it includes the concept and measure of volatility, the economic effect of the stock market fluctuation, and the stock setting. Price model and interest rate transmission mechanism, but the establishment of these theories is precondition, so this chapter finally analyzes the current situation of China's interest rate marketization and the development of the stock market. The third chapter is the selection and descriptive statistics of sample data, analysis of the reasons for the selection of data and the basic theory of the GARCH model to be used in the empirical part. The fourth chapter is the empirical study on the effect of interest rate fluctuation on the volatility of China's stock market. The main part is the empirical analysis from four parts: the first part, whether the volatility characteristics of different stock indexes are the same and what differences exist. The second part, the current interest rate changes to the above three stocks. The third part, in order to enhance the reliability of the conclusion, the article introduces the empirical analysis of the effect of the interest rate fluctuation on the volatility of the stock index, and finally analyzes the possible causes of the empirical results. The fifth chapter is the conclusion, mainly including the conclusion and the deficiency and the prospect of the paper.
Although in the process of writing, it is difficult to learn from the research methods and theoretical basis of some relevant scholars, but the so-called first imitation after innovation. Therefore, this paper also has two innovations:
First, the paper compares the volatility of different stock indexes, and then analyzes the effect of interest rate on the volatility of the stock market, and through the analysis of the impact of interest rates on the Shanghai Composite Index, the Shenzhen Composite Index and the Shanghai and Shenzhen 300 index, more comprehensively reflects the sensitivity of the stock market volatility to the interest rate.
Secondly, the paper considers the time lag effect of interest rate policy, so the average value of the interest rate change in the lag period is introduced, and the effect of the interest rate on the stock market fluctuation can be studied, and the reliability of the empirical results is verified.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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