本文關(guān)鍵詞：我國利率變動(dòng)對(duì)創(chuàng)業(yè)板股票收益率影響的實(shí)證研究　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 利率 股票收益率 Granger因果檢驗(yàn) VAR模型估計(jì)

【摘要】：過去的一段時(shí)間里中國股市經(jīng)歷了股市的大波動(dòng),股價(jià)由2014年3月的低點(diǎn)即2066點(diǎn)漲到2015年6月的最高點(diǎn)即5423點(diǎn),之后到了2015年又開始直線下跌至2760點(diǎn)。這一事實(shí)充分說明了股票市場(chǎng)具有典型的波動(dòng)性特征,正是這一特征導(dǎo)致許多投機(jī)者利用價(jià)差來進(jìn)行投機(jī),而使其他投資者面臨較大的投資風(fēng)險(xiǎn)。為了促進(jìn)股市的健康發(fā)展,政府經(jīng)常采取了一定的政策措施,而貨幣政策的重要工具之一就是利率,它對(duì)股票市場(chǎng)有著顯著的影響,因此對(duì)市場(chǎng)中的各方參與者來說,研究這兩者之間的關(guān)系具有重要的參考價(jià)值及教育意義。以前在分析這兩者之間的關(guān)系時(shí),一些研究者們存在著一些不足之處,如有的只分析長期方面,有的只分析短期方面,均帶有一定的片面性,將長短期這兩者結(jié)合起來思考,能更全面的理解利率與股票收益率的關(guān)系,從而更好地參與到股市中去,促進(jìn)股票市場(chǎng)的良性發(fā)展。本文共包括四章:第一章介紹本文的研究背景及意義,對(duì)國內(nèi)外的相關(guān)研究情況進(jìn)行闡述,并介紹了本文的研究內(nèi)容、研究框架及創(chuàng)新點(diǎn);第二章介紹利率與股票收益率的相關(guān)理論研究情況,首先對(duì)與股票收益率和利率相關(guān)的典型傳統(tǒng)理論進(jìn)行了詳細(xì)的表述,其次是提出系統(tǒng)的股市利率傳導(dǎo)途徑。第三章是本文研究的重點(diǎn),本章依據(jù)選取的相關(guān)時(shí)間序列數(shù)據(jù)的動(dòng)態(tài)關(guān)系進(jìn)行實(shí)證分析,包括數(shù)據(jù)的選取和模型的設(shè)定、數(shù)據(jù)的時(shí)間序列平穩(wěn)性檢驗(yàn)、Granger因果檢驗(yàn)、最優(yōu)滯后項(xiàng)數(shù)確定,VAR模型估計(jì),并給出相關(guān)的經(jīng)濟(jì)意義解釋,最后得出實(shí)證結(jié)論。第四章是針對(duì)上一章的實(shí)證結(jié)果,分析可能造成這一結(jié)果的原因并給出相關(guān)政策建議。第五章對(duì)全文進(jìn)行總結(jié),以及提出需進(jìn)一步解決的問題。本文的研究表明,一個(gè)月期的國債收益率與創(chuàng)業(yè)板股票收益率之間整體存在著負(fù)相關(guān)的關(guān)系,這是符合傳統(tǒng)理論所呈現(xiàn)出的關(guān)系,并且這種影響在滯后一階時(shí)表現(xiàn)最強(qiáng),時(shí)間越久,影響越小。對(duì)于國債收益率、創(chuàng)業(yè)板股票收益率本身而言,都會(huì)受到自身滯后量的影響,而且這種關(guān)系有時(shí)為正、有時(shí)為負(fù),并不是固定的關(guān)系,說明市場(chǎng)前期的波動(dòng)會(huì)影響到后期股票價(jià)格的變化,投資行為的表現(xiàn)形式就是投資者的追漲殺跌、也不乏出現(xiàn)逆向投資的行為。所以投資者可以根據(jù)一個(gè)月期的國債收益率的變動(dòng)情況來進(jìn)行投資決策,即當(dāng)一個(gè)月期的國債收益率上升的時(shí)候,預(yù)期創(chuàng)業(yè)板股票收益率會(huì)下降,應(yīng)該提前賣出股票,反之買入。由于在滯后一階時(shí),這種負(fù)相關(guān)的關(guān)系最顯著,所以應(yīng)該注意時(shí)間的把握,在短期內(nèi)進(jìn)行買賣操作。
[Abstract]:China's stock market has experienced a period of volatility in the past, with shares rising from a low of 2, 066 in March 2014 to a peak of 5, 423 in June 2015. The fact that the stock market had a typical volatility feature that led many speculators to use the spread to speculate was well illustrated by the fact that in 2015 the stock market had plummeted to 2, 760. In order to promote the healthy development of the stock market, the government often takes certain policy measures, and one of the important tools of monetary policy is interest rate. It has a significant impact on the stock market, so for the participants in the market, the study of the relationship between the two has important reference value and educational significance. Some researchers have some shortcomings, for example, some only analyze long-term aspects, some only analyze short-term aspects, all of them have certain one-sidedness. Can fully understand the relationship between interest rates and stock returns so as to better participate in the stock market and promote the sound development of the stock market. This paper includes four chapters: the first chapter introduces the background and significance of this paper. The related research situation at home and abroad is expounded, and the research content, research framework and innovation of this paper are introduced. The second chapter introduces the relevant theories of interest rate and stock return. Firstly, the typical traditional theories related to stock yield and interest rate are described in detail. The third chapter is the focus of this study. This chapter is based on the selected time series data dynamic relationship analysis, including data selection and model setting. The time series stationary test and Granger causality test, the optimal lag number to determine the VAR model estimation, and the relevant economic significance explanation are given. Finally, the empirical conclusions. 4th chapter is the empirical results of the previous chapter, analysis of the possible causes of this result and give the relevant policy recommendations. 5th chapter to summarize the full text. The research of this paper shows that there is a negative correlation between the yield of one-month bond and the return of gem stock. This is in line with the relationship presented by the traditional theory, and this effect is the strongest in the lag of the first order, the longer the time, the smaller the impact. For the bond yield, gem stock yield itself. All will be affected by their own lag, and this relationship is sometimes positive, sometimes negative, is not a fixed relationship, indicating that the pre-market volatility will affect the later stock price changes. The form of investment behavior is that investors chase up and fall, but also there is no lack of adverse investment behavior. Therefore, investors can make investment decisions according to the change of the yield of one-month Treasury bonds. That is, when the Treasury bond yield of one month rises, it is expected that the gem stock yield will fall, should sell stocks ahead of time, and buy on the contrary. The negative correlation is the most significant because of the lag of the first order. Therefore, we should pay attention to the grasp of time, in the short-term trading operations.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F822.0

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