本文關鍵詞： 利率調(diào)整 股票價格 非對稱性 投資者情緒　出處：《南京大學》2014年碩士論文　論文類型：學位論文

【摘要】：作為我國貨幣政策的重要組成部分,利率調(diào)整是也是我國實行貨幣政策的重要工具之一。中國人民銀行根據(jù)宏觀經(jīng)濟狀況的需要,適時適量地施用利率工具,對利率水平和利率結構進行不同程度的調(diào)整,以影響社會資金量的供求,促成貨幣政策既定目標的實現(xiàn)。近年來,中國人民銀行對利率調(diào)整的頻度有所提升,且調(diào)整形式更加靈活,調(diào)控機制日漸成熟。雖然貨幣政策制定者實施利率政策并不直接針對股票市場,但是股票市場會受到利率政策的影響,進而對實體經(jīng)濟產(chǎn)生沖擊,這在學界是基本被認同的事實。并且理論上,利率變動方向與股票價格變動方向應當成負相關關系,這在針對國外市場的實證研究中基本得到了證實,但是國內(nèi)學者針對我國市場的研究結論卻存在明顯爭議。本文認為主要原因可能在于沒有區(qū)分利率調(diào)整的方向和研究方法的選取存在問題,以及這些研究多成文于2006年以前,而那時我國的利率調(diào)整事件相對較少,樣本量有限,一定程度上制約了結論的有效性。本文選取截至到2013年12月31日的數(shù)據(jù),先對我國歷次利率調(diào)整當日股票價格的漲跌情況進行了描述性分析,結果發(fā)現(xiàn)每次利率調(diào)整之后,股票指數(shù)的走勢并沒有如理論所描述的那樣呈現(xiàn)出負相關的規(guī)律性。但是這樣的分析本身是淺顯和缺乏嚴謹性的,只具有參考意義,為了深入探究這個問題,本文采用在國外證券市場研究中已經(jīng)非常成熟的事件研究法進行計量建模,把利率調(diào)整區(qū)分為利率上調(diào)和利率下調(diào),以深證行業(yè)分類指數(shù)為研究對象,對我國股票價格的利率調(diào)整效應進行研究。實證結果表明,無論利率上調(diào)還是下調(diào),都對股票價格存在顯著的影響。但是這種影響并不是理論所預期的完全負相關,也不是相反的完全正相關,而是存在上調(diào)和下調(diào)的非對稱性,即利率上調(diào)與股票價格正相關,利率下調(diào)與股票價格負相關。這說明就我國而言,利率上調(diào)的有效性不及利率下調(diào),利率上調(diào)可能會對股票市場,進而對實體經(jīng)濟產(chǎn)生和政策預期相反的效果。同時,利率上調(diào)和利率下調(diào)都存在較為明顯的預期效應和持續(xù)性,利率下調(diào)還存在滯后效應。在影響程度方面,利率下調(diào)時的正效應比利率上調(diào)更加明顯,說明利率下調(diào)對股價的影響更大。具體進行行業(yè)分析時,本文發(fā)現(xiàn)金融保險業(yè)由于其主營業(yè)務的特殊性表現(xiàn)為對加息最為樂觀,對降息則較為保守；房地產(chǎn)業(yè)的表現(xiàn)是所有行業(yè)中最接近理論預期的,即在利率上調(diào)時悲觀情緒最濃,利率下調(diào)時樂觀情緒最高；作為其上游產(chǎn)業(yè)的建筑業(yè)對利率調(diào)整的反應與其類似,但其對加息的悲觀情緒持續(xù)時間更長,對降息的反應則相對房地產(chǎn)業(yè)更加平穩(wěn)。最后,本文對產(chǎn)生非對稱性的原因進行了定性分析,并認為投資者情緒可能在利率政策傳導到股票市場的過程中扮演了重要的角色。
[Abstract]:As an important part of China's monetary policy, interest rate adjustment is also one of the important tools for China to carry out monetary policy. The people's Bank of China, in accordance with the needs of the macroeconomic situation, applies the interest rate instrument in an appropriate and timely manner. The level of interest rate and the structure of interest rate have been adjusted to varying degrees in order to influence the supply and demand of social capital and promote the realization of the fixed target of monetary policy. In recent years, the people's Bank of China has increased the frequency of interest rate adjustment. Moreover, the adjustment form is more flexible and the regulatory mechanism is becoming more mature. Although monetary policy makers do not directly target the stock market, but the stock market will be affected by the interest rate policy, which will have an impact on the real economy. In theory, the direction of interest rate change and the direction of stock price should have a negative correlation, which has been confirmed in the empirical research on foreign markets. However, the research conclusions of domestic scholars on the market in China are obviously controversial. This paper argues that the main reasons may lie in the lack of differentiation between the direction of interest rate adjustment and the problems in the selection of research methods, as well as the fact that these studies were written before 2006. At that time, China's interest rate adjustment events were relatively small and the sample size was limited, which to some extent restricted the validity of the conclusion. First of all, the paper makes a descriptive analysis of the stock price fluctuation on the day of each interest rate adjustment in China. The results show that after each interest rate adjustment, The trend of the stock index does not show the negative correlation as described in theory. However, the analysis itself is simple and lack of rigor, which is only of reference significance, in order to explore this problem in depth. In this paper, the econometric model is established by using the event research method which has been very mature in the foreign stock market research. The interest rate adjustment is divided into interest rate increase and interest rate decline, and the Shenzhen Stock Exchange Industry Classification Index is taken as the research object. This paper studies the effect of interest rate adjustment on stock price in China. The empirical results show that whether the interest rate is raised or lowered, there is a significant impact on the stock price, but this effect is not completely negative correlation as expected by theory. It is not exactly the opposite positive correlation, but the asymmetry of upward and downward adjustment, that is, the interest rate increase is positively correlated with the stock price, and the interest rate cut is negatively correlated with the stock price. This shows that in our country, Interest rate increases are less effective than interest rate cuts, and they may have the opposite effect on the stock market and the real economy. At the same time, interest rate increases and interest rate cuts have more obvious expected effects and sustainability. In terms of the degree of influence, the positive effect of interest rate reduction is more obvious than that of interest rate increase, indicating that the impact of interest rate reduction on stock price is greater. This paper finds that because of the particularity of its main business, the financial insurance industry is most optimistic about raising interest rates, and more conservative to interest rate cuts, and the performance of the real estate industry is the closest to the theoretical expectation in all industries, that is, the most pessimistic sentiment is when the interest rate rises. The interest rate cut was the most optimistic; the construction industry, its upstream industry, reacted similarly to the rate adjustment, but its pessimism about the rate rise lasted longer, and the response to the rate cut was smoother than that of the real estate sector. This paper makes a qualitative analysis of the causes of asymmetry and holds that investor sentiment may play an important role in the transmission of interest rate policy to the stock market.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.5

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本文編號：1514520