本文選題：利率 + 上海銀行間同業(yè)拆借率　； 參考：《遼寧大學(xué)》2013年碩士論文

【摘要】：中國的股票市場歷史短暫，1989年才開始決定試點(diǎn)，但是在1990年12月19日上海證券交易所和1991年7月3日深圳證券交易所成立之后，中國股市發(fā)展迅速。利率是一個重要的經(jīng)濟(jì)范疇和經(jīng)濟(jì)指標(biāo)，總體上就表現(xiàn)形式來說，指一定時期內(nèi)利息額同借貸資本總額的比率，也可形容為單位貨幣在單位時間內(nèi)的利息水平。對借款人和貸款人來說，利率是借貸資本的價格。因此，利率是政府制定和推行貨幣政策的重要指標(biāo)和工具，同時也是市場中參與者進(jìn)行經(jīng)濟(jì)行為和決策的重要參數(shù)。于是，國內(nèi)外一直存在著大量關(guān)于股票市場價格和利率之間關(guān)系的研究。在2007年，以上海的全國銀行間同業(yè)拆借中心為技術(shù)平臺計算、發(fā)布并命名的SHIBOR開始成為市場上關(guān)注和寄予厚望的代表市場基準(zhǔn)利率的利率品種。 SHIBOR作為貨幣市場基準(zhǔn)利率，其功能主要有三個方面：在宏觀調(diào)控中的中介功能；在金融產(chǎn)品定價中的功能；在利率市場化進(jìn)程中的作用。由于SHIBOR的形成機(jī)制同國際最通行的LIBOR如出一轍，所以雖然SHIBOR在2007年才推出，但在推出后很快就成為了各大金融巨頭重要的工具指標(biāo)，表現(xiàn)為各大金融巨頭紛紛開始基于SHIBOR的人民幣利率掉期交易，，這就說明了SHIBOR以其與生俱來的機(jī)制優(yōu)勢能夠迅速的坐穩(wěn)中國貨幣市場基準(zhǔn)利率的位置，能夠很好的表示出貨幣市場上資金的真實(shí)供求關(guān)系，為貨幣市場產(chǎn)品定價提供了很好的參考。 本文就是充分利用了SHIBOR的上述性質(zhì)，通過理論分析和數(shù)據(jù)實(shí)證分析兩種方法，研究了SHIBOR和上證綜指之間的關(guān)系，分析了兩者之間的相互影響關(guān)系。得到以下結(jié)論：第一，SHIBOR的變動對上證綜指確實(shí)產(chǎn)生了影響，其變化是上證綜指變化的格蘭杰原因，而且這種影響是反向的，即SHIBOR上升時上證綜指下降。第二，SHIBOR的變化對上證綜指的影響程度很小，不對上證綜指的變化起重要作用。第三，反過來上證綜指的波動對SHIBOR不產(chǎn)生影響，上證綜指的變化不是SHIBOR變動的格蘭杰原因。 本文包括以下幾個方面：首先，在緒論部分介紹了論文選題背景及問題的提出，結(jié)合之前國外和國內(nèi)眾多學(xué)者對利率和股票價格之間關(guān)系的研究，充分考慮了各種已經(jīng)成熟的研究方法和手段，說明全文的研究內(nèi)容與結(jié)構(gòu)安排。其次，在文章的第二部分介紹了國內(nèi)新出現(xiàn)的上海銀行間同業(yè)拆借利率SHIBOR的出現(xiàn)、性質(zhì)以及市場對SHIBOR的看法。分析了SHIBOR在整個市場中所處的位置和其作用，從市場期待的角度描繪了SHIBOR的市場地位；而后也簡單介紹了上證綜合指數(shù)的歷史和現(xiàn)狀。再次，在第三部分中，從理論上分析了SHIBOR和上證綜指之間的相互影響關(guān)系。又根據(jù)從2007年到2011年底的數(shù)據(jù)，從實(shí)證的角度對兩者之間的關(guān)系進(jìn)行了分析，建立二元線性回歸方程，又進(jìn)行格蘭杰檢驗，根據(jù)結(jié)果發(fā)現(xiàn)SHIBOR的變化是上證綜指波動的格蘭杰原因，但SHIBOR的變化對上證綜指的影響程度很小，不對上證綜指的變化起重要作用。同時上證綜指的波動對SHIBOR不產(chǎn)生影響，上證綜指的變化不是SHIBOR變動的格蘭杰原因。在最后一部分內(nèi)容中，根據(jù)之前的分析得出結(jié)論，并且提出相應(yīng)的建議。
[Abstract]:China's stock market has a short history. It began to decide on 1989, but after the establishment of the Shanghai stock exchange in December 19, 1990 and the Shenzhen stock exchange in July 3, 1991, the Chinese stock market developed rapidly. The interest rate is an important economic category and economic indicator. In general, the amount of interest for a certain period of time refers to the amount of interest. The ratio of the total amount of the loan capital can also be described as the level of interest per unit time per unit time. For the borrower and the lender, the interest rate is the price of the borrowing capital. Therefore, the interest rate is an important indicator and tool for the government to formulate and implement monetary policy, and is also an important reference for the participants in the market to conduct economic behavior and decision-making. As a result, there has been a lot of research on the relationship between stock market prices and interest rates at home and abroad. In 2007, the national inter-bank lending center in Shanghai was calculated on the technical platform, and the SHIBOR, which was published and named, began to become a variety of interest rates in the market which paid great attention to the benchmark interest rate of the market.
As the benchmark interest rate of the currency market, SHIBOR has three main functions: the intermediary function in the macro regulation and control; the function in the pricing of the financial products; the role in the process of the interest rate marketization. Since the formation mechanism of SHIBOR is similar to the most popular LIBOR in the world, although SHIBOR was introduced in 2007, it has been introduced after its introduction. It soon became an important tool for the major financial giants, showing that the big financial giants began to deal with the RMB Interest Rate Swap Based on SHIBOR, which shows that SHIBOR can quickly sit on the position of the benchmark interest rate in the Chinese currency market with its inherent mechanism advantages, which can well show the money market capital. The real supply and demand relationship of gold provides a good reference for the pricing of money market products.
This paper makes full use of the above properties of SHIBOR. Through two methods of theoretical analysis and data empirical analysis, the relationship between SHIBOR and Shanghai composite index is studied and the relationship between the two is analyzed. The following conclusions are obtained: first, the changes of SHIBOR do have an impact on the Shanghai Composite Index, and the change is the change of the Shanghai Composite Index. Grainger reason, and this effect is reverse, that is, the SHIBOR rise when the Shanghai Composite Index drops. Second, SHIBOR changes to the Shanghai composite index is very small, not the change of the Shanghai Composite Index plays an important role. Third, in turn, the volatility of the Shanghai Composite Index has no impact on the SHIBOR, the Shanghai composite index is not a SHIBOR change of the grid. The cause of Lanjie.
This article includes the following aspects: first, in the introduction part, it introduces the background and problems of the thesis, and combines the previous foreign and domestic scholars to study the relationship between interest rate and stock price, and fully considers all kinds of research methods and means that have already matured, and discusses the content and structure of the full text. Secondly, The second part of the article introduces the emergence of the newly emerging interbank lending rate SHIBOR in Shanghai, its nature and the view of the market to SHIBOR. It analyzes the position and role of SHIBOR in the whole market, depicts the market position of SHIBOR from the perspective of market expectation, and then briefly introduces the Shanghai Composite index. Again, in the third part, the relationship between the SHIBOR and the Shanghai composite index is analyzed theoretically. According to the data from 2007 to the end of 2011, the relationship between the two is analyzed from an empirical point of view, the two element linear regression equation is established, and the Grainger test is carried out, and the changes of the SHIBOR are found according to the results. The change of the Shanghai composite index is the Grainger reason, but the change of SHIBOR has little influence on the Shanghai Composite Index, and it does not play an important role in the change of the Shanghai Composite Index. At the same time, the fluctuation of the Shanghai composite index does not affect the SHIBOR, and the change of the Shanghai composite index is not the original cause of the change of the SHIBOR. The conclusion is drawn out and the corresponding suggestions are put forward.

【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.3;F832.51

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