本文選題：介入分析模型 + 利率與存款準(zhǔn)備金調(diào)整��； 參考：《廈門(mén)大學(xué)》2014年碩士論文

【摘要】：自1965年尤金·法瑪(Eugene Fama)首次提出有效市場(chǎng)(Efficient Market)的概念以來(lái),信息如何影響股票市場(chǎng)收益率就成為學(xué)術(shù)界和實(shí)業(yè)界感興趣的研究?jī)?nèi)容。中國(guó)作為全球第二大經(jīng)濟(jì)體,與發(fā)達(dá)國(guó)家成熟的資本市場(chǎng)相比,其股市的設(shè)立與發(fā)展具有自身的特點(diǎn)。為了研究這種特點(diǎn),本文在有效市場(chǎng)假說(shuō)下,以利率、存款準(zhǔn)備金率調(diào)整以及美聯(lián)儲(chǔ)量化寬松政策為介入事件變量,利用介入事件分析(Intervention Analysis)模型,實(shí)證研究此類(lèi)信息對(duì)中國(guó)股票形成的短期、中期以及長(zhǎng)期影響。這對(duì)于進(jìn)一步完善中國(guó)股票市場(chǎng)和投資者規(guī)避風(fēng)險(xiǎn)均具有現(xiàn)實(shí)參考價(jià)值。 論文的主要研究?jī)?nèi)容包括以下幾方面：(1)對(duì)國(guó)內(nèi)外研究利率、存款準(zhǔn)備金率調(diào)整以及量化寬松政策對(duì)股市影響的文獻(xiàn)和結(jié)果做了系統(tǒng)的總結(jié)和歸納；(2)基于1997年1月2日-2013年12月31日上證綜指日收益率數(shù)據(jù),利用介入分析模型對(duì)利率與存款準(zhǔn)備金率調(diào)整對(duì)中國(guó)股市短期影響進(jìn)行計(jì)量分析,并且在此基礎(chǔ)上,考慮了上調(diào)、下調(diào)利率與存款準(zhǔn)備金率和日歷效應(yīng)對(duì)計(jì)量結(jié)果產(chǎn)生的影響；(3)基于1997年1月2日-2013年12月31日上證綜指以及道瓊斯工業(yè)平均指數(shù)日收益率數(shù)據(jù),分別以QE1-QE4為介入事件,研究美聯(lián)儲(chǔ)每一輪量化寬松政策對(duì)中國(guó)以及美國(guó)股市日收益率在政策期內(nèi)(中期)和政策宣布至2013年12月31日(長(zhǎng)期)可能產(chǎn)生的不同影響；(4)對(duì)相關(guān)的計(jì)量結(jié)果給出理論解釋,并提出相應(yīng)的政策建議。 論文的主要研究結(jié)論體現(xiàn)在以下幾方面：(1)僅從利率與存款準(zhǔn)備金率調(diào)整會(huì)對(duì)中國(guó)股市的影響來(lái)看,其對(duì)股市并不產(chǎn)生影響；(2)在考慮日歷效應(yīng)的情況下(主要是周四效應(yīng)),利率調(diào)整對(duì)股市的影響主要體現(xiàn)降息因素中,其對(duì)上證綜合指數(shù)日收益率影響為負(fù),具體程度為-0.008397；(3)在考慮日歷效應(yīng)的情況下(主要是周一效應(yīng)),存款準(zhǔn)備金調(diào)整對(duì)股市的影響主要體現(xiàn)加存款準(zhǔn)備金的因素中,其對(duì)上證綜合指數(shù)日收益率影響為負(fù),具體程度為-0.007852。(4)降息、加存款準(zhǔn)備金對(duì)股市日收益率并不存在中期影響效應(yīng)；(5)QEl政策期內(nèi)(中期)對(duì)中國(guó)股市日收益率有正向影響,具體程度為0.001688;QE2長(zhǎng)期對(duì)中國(guó)股市日收益率有負(fù)影響,具體程度為-0.000868;(6)QEl政策期內(nèi)(中期)以及QE1長(zhǎng)期對(duì)美國(guó)股市日收益率有顯著影響,且影響為正,具體程度分別為0.00726和0.00344;在考慮QEl政策宣布后長(zhǎng)期對(duì)美國(guó)股市影響的前提下,QE2、QE3、QE4對(duì)美國(guó)股市影響均不顯著；(7)QE2在政策期內(nèi)(中期)以及長(zhǎng)期均對(duì)人民幣兌美元匯率有顯著影響,且影響為負(fù),其影響的具體程度為：-0.000201和-0.000116,這也驗(yàn)證了蒙代爾-弗萊明模型對(duì)量化寬松政策的經(jīng)濟(jì)學(xué)分析。
[Abstract]:Since the concept of efficient Market (efficient Market) was first put forward by Eugene Famain in 1965, how information affects the return rate of stock market has become an interesting research content in academia and industry. As the second largest economy in the world, the establishment and development of China's stock market has its own characteristics compared with the mature capital markets in developed countries. In order to study this characteristic, this paper takes interest rate, reserve ratio adjustment and quantitative easing policy of the Federal Reserve as intervention event variables under the efficient Market hypothesis, and uses intervention Analysis model. This paper empirically studies the short-term, medium-term and long-term effects of this information on the formation of Chinese stocks. This has practical reference value for further perfecting Chinese stock market and avoiding risk. The main research contents of this paper are as follows: (1) A systematic summary and summary of the literature and results of domestic and foreign research on interest rate, reserve ratio adjustment and quantitative easing policy on stock market; Based on the daily yield data of Shanghai Composite Index from January 2, 1997 to December 31, 2013, this paper uses the intervention analysis model to analyze the short-term impact of the adjustment of interest rate and reserve ratio on Chinese stock market. Based on the daily yield data of the Shanghai Composite Index and the Dow Jones Industrial average from January 2, 1997 to December 31, 2013, QE1-QE4 is the intervention event. To study the different effects that each round of quantitative easing of the Federal Reserve may have on the daily yields of China and the United States stock market during the policy period (medium term) and on the policy announcement to 31 December 2013 (long-term); 4) giving the theoretical explanation to the relevant measurement results and putting forward the corresponding policy suggestions. The main conclusions of this paper are as follows: (1) only from the impact of the adjustment of interest rate and reserve ratio on the Chinese stock market, it has no effect on the stock market; (2) under the consideration of calendar effect (mainly Thursday effect, the influence of interest rate adjustment on stock market mainly reflects the factor of reducing interest rate, the influence on the daily yield of Shanghai Composite Index is negative, the specific degree is -0.008397; Under the consideration of calendar effect (mainly Monday effect, the effect of reserve adjustment on stock market mainly reflects the factor of adding deposit reserve, its influence on the daily yield of Shanghai Composite Index is negative, and the specific degree is -0.007852.44). There is no medium term effect on the daily yield of stock market with the addition of deposit reserve. During the period of QEl policy, there is a positive effect on the daily yield of Chinese stock market in the period of QEl policy. The specific degree is 0.001688 / QE2, which has a negative effect on the daily yield of Chinese stock market for a long time. The specific degree is -0.000868 / 6 QEl policy period (in the medium term) and QE1 has a significant impact on the daily return of the US stock market, and the effect is positive. The specific degrees are 0.00726 and 0.00344 respectively. On the premise of the long-term impact on the US stock market after the announcement of QEl policy, QE2QE3QE4 has no significant impact on the US stock market. Both QE 2 and QE 2 have a significant impact on the exchange rate of RMB against the US dollar during the policy period (medium term) and in the long run. And the effect is negative, the specific degree of influence is: -0.000201 and -0.000116.This also verifies the economic analysis of quantitative easing by the Mondal-Fleming model.
【學(xué)位授予單位】：廈門(mén)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F832.51

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