本文關(guān)鍵詞： 利率 上證指數(shù) 協(xié)整檢驗(yàn) 誤差修正模型　出處：《廣西師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著社會(huì)和經(jīng)濟(jì)的發(fā)展,人們對(duì)資金流通和資本運(yùn)作的要求越來越高,股票市場(chǎng)適應(yīng)發(fā)展被設(shè)立并迅速發(fā)展壯大,同時(shí)股市的快速發(fā)展也對(duì)金融市場(chǎng)產(chǎn)生了重大影響,兩者相互作用。企業(yè)可以通過股票市場(chǎng)進(jìn)行融資,為其優(yōu)化資產(chǎn)配置、擴(kuò)大再生產(chǎn)提供資金支持。除此之外股市還能幫助居民將儲(chǔ)蓄轉(zhuǎn)化為投資,豐富居民收入來源。在實(shí)際經(jīng)濟(jì)活動(dòng)中,股票價(jià)格受到多方面的影響,如貨幣供應(yīng)量、經(jīng)濟(jì)增長、利率、通貨膨脹、財(cái)政收支等。在這些因素中,對(duì)股價(jià)影響最直接、最迅速的莫過于利率因素了。研究這兩者之間的關(guān)系有利于貨幣市場(chǎng)和資本市場(chǎng)的互通效果得到優(yōu)化,從而促進(jìn)整個(gè)國民經(jīng)濟(jì)健康發(fā)展。 本文在前人研究的基礎(chǔ)上,借鑒前人的研究成果,先對(duì)利率對(duì)股價(jià)的影響機(jī)制進(jìn)行了理論分析,然后選取2003-2012年的上證指數(shù)和利率變動(dòng)的相關(guān)數(shù)據(jù)作為研究樣本,從短期和長期兩個(gè)角度運(yùn)用協(xié)整檢驗(yàn)等方法對(duì)二者之間的關(guān)系進(jìn)行實(shí)證分析。 本文的研究框架是先介紹論文的研究背景和選題意義,接著對(duì)國內(nèi)外的相關(guān)研究情況進(jìn)行了闡述,接著介紹了論文的研究?jī)?nèi)容和研究方法。其次從理論入手,從股票的定價(jià)原理、利率對(duì)股票的影響機(jī)制以及影響效應(yīng)等方面說明利率會(huì)對(duì)股價(jià)產(chǎn)生影響的原因。接著從短期和長期兩個(gè)角度,采用相關(guān)分析、回歸分析、EG協(xié)整檢驗(yàn)以及建立誤差修正模型進(jìn)行實(shí)證研究,得到研究結(jié)論。最后在研究結(jié)論的基礎(chǔ)上,結(jié)合中國股市的發(fā)展現(xiàn)狀分析原因,提出相關(guān)建議。 通過實(shí)證研究發(fā)現(xiàn),不論在短期還是長期,股價(jià)指數(shù)變化和利率變動(dòng)之間均呈現(xiàn)正相關(guān)關(guān)系,該結(jié)論與理論相背離,但與一些學(xué)者的研究結(jié)果相符。這說明股票價(jià)格指數(shù)除了利率外還受其他因素的影響。結(jié)合中國股市發(fā)展現(xiàn)狀,并與國外股市發(fā)展趨勢(shì)相對(duì)比,本文認(rèn)為造成這種研究結(jié)果的主要原因是目前我國股票市場(chǎng)還處于初級(jí)階段,監(jiān)管不夠規(guī)范、題材炒作現(xiàn)象普遍、低效特征明顯,利率也沒有完全市場(chǎng)化。本文提出了加快利率市場(chǎng)化進(jìn)程、完善貨幣傳導(dǎo)機(jī)制、加強(qiáng)證券市場(chǎng)監(jiān)管、完善股票上市退市制度等加快中國股市有效市場(chǎng)建立的相關(guān)政策建議。
[Abstract]:With the development of society and economy, people have higher and higher demands on capital circulation and capital operation. The stock market has been set up to adapt to the development and developed rapidly. Meanwhile, the rapid development of the stock market has had a great impact on the financial market. Companies can raise money through the stock market to optimize asset allocation and expand reproduction. In addition, the stock market can help residents convert their savings into investments. In real economic activities, stock prices are affected by many factors, such as money supply, economic growth, interest rate, inflation, fiscal revenue and expenditure. The study of the relationship between the two is beneficial to the optimization of the intercommunication effect between the money market and the capital market, thus promoting the healthy development of the national economy as a whole. On the basis of previous research, this paper first analyzes the influence mechanism of interest rate on stock price, and then selects the relevant data of Shanghai Stock Exchange Index and interest rate change from 2003 to 2012 as the research sample. The relationship between them is analyzed empirically by using cointegration test in both short and long term. The research framework of this paper is to first introduce the research background and significance of the topic, then to elaborate the relevant research situation at home and abroad, then to introduce the research content and research methods of the paper. From the aspects of the pricing principle of stock, the influence mechanism of interest rate on stock and the effect of interest rate on stock price, this paper explains the reason why interest rate will affect stock price. On the basis of the conclusion of the research, this paper analyzes the reasons of the development of Chinese stock market, and puts forward some suggestions. The empirical study shows that there is a positive correlation between the change of stock price index and the change of interest rate in both the short and long term. This conclusion deviates from the theory. But it is consistent with the research results of some scholars. This shows that the stock price index is influenced by other factors besides interest rate. Combined with the current situation of stock market development in China, and compared with the development trend of foreign stock market, This paper believes that the main reasons for this kind of research results are that the stock market in China is still in the primary stage, the supervision is not standardized, the subject matter speculation is common, and the characteristics of low efficiency are obvious. This paper puts forward some policy suggestions to accelerate the establishment of effective market of Chinese stock market, such as speeding up the process of marketization of interest rate, perfecting the mechanism of money transmission, strengthening the supervision of securities market and perfecting the system of stock delisting.
【學(xué)位授予單位】：廣西師范大學(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;F224

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