The Empirical Analysis About An Effect Of The Interest Rate Changed--The Industries' Rate Of Return Per Day And Volatile In China Stock Market

Chinese stock market has developed for more ten years. The market plays the important role to change Chinese economic structure, expand the channel of financing, and improve the economy. The people's bank of China had changed the interest rate for many times in the middle of the 1990's, which affected Chinese macro-economy, stock market, and industrial profit.Chinese, foreign scholars have studied effects of the interest rate policy on the stock market, the different size of industries, but they have not discussed the volatility and the rate of return per day of the different industries in the stock market, and used the IBOR (Inter Bank Offering Rate) or marketing interest rate instead of the basic interest rate.The dissertation studied effects of interest rate policy on the rate of return per day and the volatility of real estate, public utility, service industry and agriculture in the stock market when the central bank changed the basic interest rate in 23 October 2003, 1 July 1998 and 10 June 1999. In the dissertation, firstly, analyzing the rate of return per dayabout four industries with the statistics and test; secondly, using the dummy variable for the interest rate changed, and the EGARCH-M model to analyze the effect of the changing interest rate on the rate of return per day and volatile about four industries; finally, explaining the empirical result.With that way, the dissertation analyzed the three questions. Firstly, did there exist the effect of the different industries' the rate of return per day and volatile in SSE's A Share, when the central bank changed the interest rate. Secondly, is it different that the interest rate, changed by the central bank, affected the rate of return per day and volatile in the unlike industries. Thirdly, did it exist the reason about this effect and difference...