本文關(guān)鍵詞：我國(guó)利率政策對(duì)股票市場(chǎng)的影響：基于行業(yè)視角的分析　出處：《吉林大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 利率政策 股票市場(chǎng) 計(jì)量模型 實(shí)證分析 政策建議

【摘要】：隨著我國(guó)股票市場(chǎng)的不斷發(fā)展與完善,股票市場(chǎng)作為國(guó)民經(jīng)濟(jì)晴雨表的功能已越來(lái)越得到普遍的認(rèn)可,尤其是股票市場(chǎng)與貨幣政策相互作用的問(wèn)題,近年來(lái)也受到越來(lái)越多的關(guān)注,作為調(diào)控國(guó)民經(jīng)濟(jì)最直接的政策工具,利率政策與股票市場(chǎng)的關(guān)系成為許多學(xué)者研究的前沿性問(wèn)題。因此,研究我國(guó)利率政策對(duì)股票市場(chǎng)的影響,以及相應(yīng)的策略建議具有重要的理論及現(xiàn)實(shí)意義。 為了檢驗(yàn)利率政策與股票市場(chǎng)的關(guān)系,本文將股票市場(chǎng)細(xì)分為22個(gè)行業(yè)板塊,分別研究股票市場(chǎng)對(duì)上證綜指以及22個(gè)行業(yè)板塊的影響。在研究利率政策對(duì)股票市場(chǎng)影響的基礎(chǔ)上,分析了產(chǎn)生這種影響的原因,并提出了相應(yīng)的政策建議。 本文的結(jié)構(gòu)主要分為以下五個(gè)部分： 第一部分主要介紹了本文的選題背景、研究意義以及國(guó)內(nèi)外學(xué)者的研究成果,在此基礎(chǔ)上提出了本文研究的創(chuàng)新及不足之處。 第二部分從理論方面分析了利率對(duì)股票價(jià)格的影響,介紹了幾種常用的股票定價(jià)模型,包括股息貼現(xiàn)模型、零增長(zhǎng)模型和固定增長(zhǎng)模型,并從存款收益率、企業(yè)行為、消費(fèi)者預(yù)期和宏觀經(jīng)濟(jì)環(huán)境四個(gè)渠道分析了利率與股票價(jià)格波動(dòng)的理論關(guān)系。一般來(lái)說(shuō),利率與股票價(jià)格呈反比關(guān)系,利率升高,股票價(jià)格下降,利率下降,股票價(jià)格提高。 第三部分介紹了本文研究利率政策對(duì)股票市場(chǎng)影響的計(jì)量方法,主要包括單位根檢驗(yàn)、協(xié)整檢驗(yàn)、LM檢驗(yàn)、誤差修正模型,為下文的實(shí)證分析打下基礎(chǔ)。 第四部分進(jìn)行實(shí)證研究。本文選取2002年1月至2010年12月的上證綜合指數(shù)(股票代碼SH000001)以及22個(gè)行業(yè)指數(shù)的月平均收盤(pán)價(jià)格指數(shù)數(shù)據(jù),月實(shí)際利率,共108期樣本數(shù)據(jù),研究利率對(duì)股票市場(chǎng)整體價(jià)格以及22個(gè)行業(yè)價(jià)格的影響。首先對(duì)數(shù)據(jù)進(jìn)行ADF檢驗(yàn),證實(shí)樣本數(shù)據(jù)是一階單整序列,在此基礎(chǔ)上分別進(jìn)行利率與上證綜指、利率與22個(gè)行業(yè)的協(xié)整檢驗(yàn)。協(xié)整檢驗(yàn)的結(jié)果指出,股票價(jià)格與上證綜指、22個(gè)行業(yè)指數(shù)回歸模型的殘差序列都是平穩(wěn)的,通過(guò)了檢驗(yàn),由此得出利率與股票價(jià)格之間存在長(zhǎng)期穩(wěn)定協(xié)整關(guān)系的結(jié)論,同時(shí)建立ECM模型分析長(zhǎng)期均衡情況。文章最后對(duì)檢驗(yàn)結(jié)果進(jìn)行總結(jié),并分析了差異產(chǎn)生的原因,主要包括：第一,由我國(guó)股票市場(chǎng)發(fā)展現(xiàn)狀決定；第二,貨幣市場(chǎng)發(fā)展不完善；第三,股票市場(chǎng)的標(biāo)準(zhǔn)市盈率相對(duì)于利率的彈性較低；第四,我國(guó)股票一級(jí)市場(chǎng)收益率較高；第五,我國(guó)利率政策對(duì)股票市場(chǎng)的杠桿作用未得到體現(xiàn)；第六,各行業(yè)對(duì)利率的敏感度不同。 第五部分針對(duì)上文的實(shí)證結(jié)果及分析,提出了相應(yīng)的政策建議。主要包括：第一,發(fā)展完善股票市場(chǎng)；第二,加快利率市場(chǎng)化進(jìn)程；第三,根據(jù)行業(yè)特點(diǎn)制定利率政策。
[Abstract]:With the continuous development and improvement of China's stock market, the stock market as a barometer of the national economy has become widely recognized, especially in the stock market and monetary policy interaction problems in recent years has also attracted more and more attention, as the most direct policy tools to control the national economy, the relationship between interest rate policy and the stock market become a frontier problem for many scholars. Therefore, study on the impact of China's interest rate policy on the stock market, which has important theoretical and practical significance as well as the corresponding strategies and suggestions.
In order to test the relationship between interest rate policy and the stock market, the stock market will be divided into 22 sectors, respectively, to study the stock market of Shanghai Composite Index and 22 industry sectors. Based on studying the effect of interest rate policy on the stock market, analysis the reason of this influence, and puts forward relevant policy suggestions.
The structure of this article is divided into the following five parts:
The first part mainly introduces the background and significance of the research, and the research results of scholars at home and abroad. On this basis, it puts forward the innovation and shortcomings of this research.
The second part analyzes the impact of interest rate on the stock price from the theory aspect, introduces several common stock pricing models, including the dividend discount model, zero growth model and the constant growth model, and rate of enterprise behavior from the deposit income, consumer expectations and macroeconomic environment four channel analysis theory the relationship between interest rate and stock price volatility in general, the inverse relationship between interest rates and stock prices, interest rates rise, the stock price decline, falling interest rates, the stock price increase.
The third part introduces the measurement methods of interest rate policy's impact on stock market, including unit root test, cointegration test, LM test and error correction model, which lay a foundation for the following empirical analysis.
The fourth part of the empirical research. The paper selected from January 2002 to December 2010 the Shanghai Composite Index (SH000001) and the 22 industry index average monthly closing price index data, monthly real interest rates, a total of 108 sample data of interest rate on the overall stock market price and the impact of 22 industry price. Firstly, ADF test was performed on the data that confirms that the sample data is a single whole sequence, respectively based on the interest rate and Shanghai Composite Index, cointegration test rate and the 22 industries. The cointegration test results indicate that the stock price and the Shanghai Composite Index, the residual sequence of 22 industry index regression model are stable, which pass the test. Concludes that there is a long-term stable relationship of cointegration between the interest rate and the stock price of the conclusion, and the establishment of the ECM model to analyze the long-term equilibrium situation. Finally, the test results were analyzed and summarized. The reason, differences include: first, decided by the development of the status quo of China's stock market; second, the development of the money market is not perfect; third, the standard price earnings ratio of the stock market interest rate elasticity is lower compared to fourth; China's stock market has a higher rate of return; fifth, China's interest rate policy leverage on stock the market has not been reflected; sixth, each industry has different sensitivity on interest rate.
The fifth part puts forward the corresponding policy recommendations for the above empirical results and analysis. It includes: first, develop and improve the stock market; second, speed up the marketization of interest rate; third, formulate interest rate policy according to the characteristics of the industry.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F822.0;F832.51;F224

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