發(fā)布時(shí)間：2018-01-05 15:22

  本文關(guān)鍵詞：我國(guó)利率與股價(jià)相關(guān)關(guān)系研究　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 利率變動(dòng) 股票價(jià)格

【摘要】：股市作為企業(yè)籌融資和投資者投資的重要場(chǎng)所,其重要性對(duì)國(guó)民經(jīng)濟(jì)、對(duì)投資者的不言而喻。然而股市在運(yùn)行過(guò)程中,也會(huì)產(chǎn)生泡沫或者處于蕭條。2007年在股市一路向上,最終攀上6124的高點(diǎn),在這個(gè)過(guò)程中央銀行連續(xù)五次上調(diào)金融機(jī)構(gòu)存款基準(zhǔn)利率,但是這也沒(méi)有改變股市上攻的趨勢(shì)。利率調(diào)整作為重要的貨幣政策之一,是央行進(jìn)行宏觀調(diào)控經(jīng)濟(jì)股市的重要工具,也是央行調(diào)控股市的重要手段。但是我們可以發(fā)現(xiàn),并不是每一次的利率調(diào)整都會(huì)帶來(lái)和理論相一致的結(jié)果：從理論上來(lái)講,利率上調(diào)會(huì)導(dǎo)致股市下跌,反之則反是。我們認(rèn)為這是因?yàn)楣墒械臐q跌是由多方面的因素共同作用而成的,利率的調(diào)整效果顯然要受一些條件的影響：包括股市的基本趨勢(shì)以及我國(guó)基本的經(jīng)濟(jì)情況等。本文深入研究了利率和股市的相關(guān)關(guān)系,研究工作從兩個(gè)方面展開(kāi)。其一是利率調(diào)整對(duì)股市的短期影響,在有效市場(chǎng)理論的基礎(chǔ)上,運(yùn)用事件研究法對(duì)利率調(diào)整對(duì)帶來(lái)的影響進(jìn)行了差異性分析,認(rèn)為利率調(diào)整對(duì)股市的影響不是很明顯,股指的走勢(shì)更多地依賴于當(dāng)時(shí)的市場(chǎng)氛圍,牛市或者熊市的投資者情緒,利率調(diào)整只有順勢(shì)而為,或者在牛市和熊市轉(zhuǎn)換的時(shí)期才是有效的；其二是提出了基準(zhǔn)市場(chǎng)利率的概念,并利用單位根檢驗(yàn)、協(xié)整檢驗(yàn)以及格蘭杰因果檢驗(yàn)等方法實(shí)證檢驗(yàn)了基準(zhǔn)市場(chǎng)利率和股市的長(zhǎng)期相關(guān)關(guān)系,認(rèn)為市場(chǎng)利率和股市之間存在長(zhǎng)期均衡,市場(chǎng)利率是股市的格蘭杰原因�；谝陨戏治�,本文認(rèn)為盡管利率調(diào)整對(duì)股價(jià)的影響不大,然而從長(zhǎng)期看市場(chǎng)利率是股市的格蘭杰原因,我們可以認(rèn)為利率調(diào)整存在一定的時(shí)滯,也就是說(shuō)利率調(diào)整帶來(lái)的各種效應(yīng)需要一定的反應(yīng)時(shí)間,因此短期影響不明天,但是長(zhǎng)期的均衡關(guān)系明顯。政府以后如果要進(jìn)行調(diào)控,就要大力推進(jìn)利率市場(chǎng)化,市場(chǎng)化的利率才能反映投資者要求的收益率,只有影響市場(chǎng)利率才能更好地調(diào)控股市。
[Abstract]:An important place for the stock market as a business financing and investment, its importance to national economy, it is self-evident. However, the stock market for investors in the operation process, will produce foam or depressed.2007 in the stock market all the way up, eventually climbed to 6124 highs, the central bank raised five consecutive deposits of financial institutions the benchmark interest rate, but this did not change the market upside trend. The adjustment of interest rate as an important monetary policy of the central bank, is an important tool for macroeconomic regulation of the stock market, the central bank is also an important means of regulation of the stock market. But we can find that not every time the interest rate adjustment will bring consistent and theoretical results: theoretically speaking, interest rates will lead to decline in the stock market, and vice versa. We think this is because the stock price is determined by many factors together However, the effect of interest rate adjustment is clearly affected by some conditions: including the basic trend of the stock market and China's economic situation. This paper studies the correlation between interest rates and stock market, the research work from two aspects. One is the short-term impact of interest rate adjustment on the stock market, based on the efficient market on the theory of interest rate adjustment of the difference analysis on the impact of using the event study method, which considers the effect of interest rate adjustment on the stock market is not obvious, the trend of the stock depends more on the market atmosphere, a bull or bear market investor sentiment, the interest rate adjustment only flow, or conversion in bull market and bear market period it is effective; second is the concept of the benchmark market interest rates, and the use of unit root test, cointegration test and causality test method to test the Grainger benchmark The long-term relationship between the market rate and the stock market, that there is a long-term equilibrium between market interest rates and the stock market, the market interest rate is the Grainger reason of the stock market. Based on the above analysis, this paper argues that although the effect of interest rate adjustment on stock prices is not big, but in the long term the market interest rate is the Grainger reason of stock market, we can think that the interest rate adjustment there is a certain time lag that is to say, all the effects of interest rate adjustment of the reaction time is certain, so the short-term impact of tomorrow, but the long-term equilibrium relationship is obvious. The government later if you want to control, we must vigorously promote the marketization of interest rate, the market interest rates in order to reflect the required rate of return, only the market interest rates in order to better control the stock market.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F822.0

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

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本文編號(hào)：1383704