本文關(guān)鍵詞： 貨幣政策 股票價(jià)格 VECM模型 GJR-GARCH模型　出處：《上海大學(xué)》2016年博士論文　論文類型：學(xué)位論文

【摘要】：越南股票市場也稱為越南股市,2000年開始作為試點(diǎn)。我的祖國越南股市幾經(jīng)了許多波折,如2007年的蓬勃發(fā)展、或是2008年越南股市因世界經(jīng)濟(jì)危機(jī)而降低效率的情況。這引起越南政府對(duì)其股市所進(jìn)行的一些改變。越南中央銀行為國家經(jīng)濟(jì)控制而頒布出一系列符合目前經(jīng)濟(jì)情況的貨幣政策,以達(dá)成長期的目標(biāo)。為了讀者對(duì)越南股市有更多的了解,如貨幣政策如何影響越南股市、投資者看法如何等,本文將“貨幣政策對(duì)股票價(jià)格的影響——理論與越南實(shí)證研究”作為自己的研究生博士論文題目。本文主要研究內(nèi)容如下:第一,系統(tǒng)研究了貨幣政策對(duì)股票價(jià)格的影響機(jī)理;第二,對(duì)越南股票市場進(jìn)行了介紹和分析;第三,對(duì)越南貨幣政策對(duì)股票價(jià)格影響進(jìn)行實(shí)證分析;第四,對(duì)中越兩國的貨幣政策對(duì)本國股票價(jià)格的影響進(jìn)行比較。本文采用了回歸模型VECM考察越南貨幣政策對(duì)股票價(jià)格影響,運(yùn)用風(fēng)險(xiǎn)評(píng)估模型GIJ-GARCH,以發(fā)現(xiàn)市場信息對(duì)越南股市的影響。此外,本文基于越南投資者對(duì)貨幣政策信息反應(yīng)的問卷調(diào)查,考察了投資者對(duì)貨幣政策信息反應(yīng)對(duì)股價(jià)波動(dòng)的影響。本研究表明,利率、匯率及法定準(zhǔn)備率等因素會(huì)對(duì)越南股票價(jià)格產(chǎn)生負(fù)面影響。這些影響在越南中央銀行改變政策后(1-2月之后)產(chǎn)生重要意義,且在長期產(chǎn)生重要作用。信息沖擊對(duì)股票市場價(jià)格產(chǎn)生一定的影響,好消息沖擊比壞消息具有更強(qiáng)的作用。這說明投資者很重視良好的信息沖擊。當(dāng)市場出現(xiàn)“好消息”的時(shí)候,它會(huì)對(duì)股票價(jià)格產(chǎn)生強(qiáng)烈的變動(dòng)(股票價(jià)格上漲)。但當(dāng)出現(xiàn)“壞消息”的時(shí)候,股價(jià)小幅度下跌。通過筆者對(duì)投資者所進(jìn)行調(diào)查的分析結(jié)果顯示:投資者認(rèn)為利率對(duì)股票市場的影響是最強(qiáng)大的(標(biāo)準(zhǔn)化系數(shù)為0.461)。法定準(zhǔn)備率和匯率對(duì)股票市場也產(chǎn)生一定的影響,(標(biāo)準(zhǔn)化系數(shù)分別為0.302和0.188)。這表明,利率變動(dòng)會(huì)給越南股市帶來很大的影響。同時(shí)投資者認(rèn)為貨幣供應(yīng)政策并不會(huì)給股票市場帶來變化。本文研究尚存在一定的局限性與不足。首先,由于數(shù)據(jù)可獲得性因素,本文統(tǒng)計(jì)數(shù)據(jù)截止到2015年12月份。因此,2016年的更新數(shù)據(jù)可能對(duì)整個(gè)研究模型及數(shù)據(jù)分析過程可能產(chǎn)生一定的變化。其次,在評(píng)估投資者對(duì)貨幣政策的反應(yīng)影響股票市場的問卷調(diào)查設(shè)計(jì)方面。筆者進(jìn)行發(fā)問卷的時(shí)候,樣本可能從個(gè)人角度填寫,從而產(chǎn)生一定的限制,并不能完全表現(xiàn)出整個(gè)越南股票市場的情況。因此,未來研究需要進(jìn)一步進(jìn)行優(yōu)化,比如可以采用隨機(jī)樣本的方法來考察。同時(shí),研究可以多樣化、層次化、地區(qū)化。此外,數(shù)據(jù)更新確實(shí)產(chǎn)生一定的難度,未來研究可以深入思考。
[Abstract]:The Vietnamese stock market, also known as the Vietnamese stock market, began as a pilot in 2000. My native Vietnamese stock market experienced several setbacks, such as the burgeoning development of 2007. In 2008, Vietnam's stock market became less efficient as a result of the world economic crisis. This led to some changes in the Vietnamese government's stock market. Vietnam's central bank issued a series of compliance measures for state economic control. Monetary policy in the former economic situation. In order to achieve long-term goals. For readers to have a better understanding of Vietnam's stock market, such as how monetary policy affects the Vietnamese stock market, investors' views and so on. In this paper, the impact of monetary policy on stock prices-theoretical and empirical studies in Vietnam "as their doctoral thesis title. The main contents of this study are as follows: first. The influence mechanism of monetary policy on stock price is studied systematically. Second, the introduction and analysis of Vietnam stock market; Third, the impact of Vietnam's monetary policy on stock prices is empirically analyzed. In 4th, the paper compares the influence of Chinese and Vietnamese monetary policy on stock price. This paper uses the regression model VECM to investigate the influence of Vietnam monetary policy on stock price. GIJ-GARCH-based risk assessment model is used to find out the impact of market information on Vietnam's stock market. In addition, this paper is based on the questionnaire survey of Vietnamese investors' response to monetary policy information. The effects of investors' response to monetary policy information on stock price volatility are investigated. Factors such as the exchange rate and the statutory reserve rate will have a negative impact on Vietnamese stock prices. These effects will be significant after the change of policy by the Central Bank of Vietnam (1-2 months later). And in the long run has an important role. The impact of information on the stock market price has a certain impact. Good news shocks are more powerful than bad news. This shows that investors value good information shocks. When there is "good news" in the market. It can make a strong change in stock prices (stock price rises). But when there is "bad news". The results of the author's survey of investors show that the investors think that interest rates have the most powerful impact on the stock market (standardized coefficient is 0.461). The statutory reserve rate and exchange rate also have a certain impact on the stock market. (the standardized coefficients are 0.302 and 0.188, respectively.). Changes in interest rates will have a great impact on the Vietnamese stock market. At the same time, investors think that the money supply policy will not bring changes to the stock market. Due to the availability of data, the statistical data in this paper are as of December 2015. The updated data in 2016 may have some changes on the whole research model and data analysis process. Secondly. In the evaluation of investors' response to monetary policy affecting the design of the stock market questionnaire. When the author sent the questionnaire, the sample may be filled out from a personal point of view, resulting in certain limitations. Therefore, the future research needs to be further optimized, such as the use of random samples to investigate. At the same time, the research can be diversified and hierarchical. Regionalization. In addition, the data update does have some difficulty, future research can be further thought.
【學(xué)位授予單位】：上海大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類號(hào)】：F833.33;F823.33

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