The Study On The Impact Of Rate Adjustment To The Stock Market

With the communication technology and financial liberalization, domestic and international transmission mechanism of financial markets is faster, and the stock market as a barometer of the national economy, more and more shows from its effect on the economy. As part of monetary policy tools of interest rates affect the stock price is an important factor. Theoretically, lower interest rates, stock prices higher; higher interest rates, stock prices lower. Therefore, a country, often make use of interest rate policy, to guide the healthy development of the stock market, and thus to achieve a specific macroeconomic objectives. In our country, with the deepening of market economy, the central government also need to use interest rate policy to guide the stock market and the healthy development of the national economy.In order to study the relationship between the Interest rates and China's stock market, by statistical analysis, cointegration theory and error correction model econometric methods, the impact of the rate adjustments to the stock market is studied.First of all, this paper outlines a simple interest rate theory, and then, analyzes the theoretical model and the interaction mechanism between the interest rates and the stork markets, and reviews simply the course of China's stock market and interest rate policy. Empirical aspects, first of all, this paper makes use of statistical analysis methods, to study the short-term impact of the one-year deposit interest rate adjustments to the stock price, in Shanghai stock market and Shenzhen stock market, since the establishment of the stock market to the December 2007, which the scope is only the interest rate adjustment on the day , the interest rate adjustment of days before and after 1,3,5,7,10 and 1,3,5,7,10-day average to the stock index.Then, in view of China's stock market was established not long, and in 1997 the financial crisis, this article selects the monthly average index closed finished ended of the Shanghai composite index (SH) and the Shenzhen component index (SZ), and the real interest rate , from January 1998 to December 2008, on a total of 132 data. Given the interest rate and stock price index are time-series data, in order to avoid spurious regression, which firstly have unit root test (ADF), test that the two sequences are integrated of 1 series. Therefore, on this basis, they have cointegration test.In the course of cointegration test, the residuals of the regression model of the interest rate and the stock price, in shanghai and shenzhen securities market, are stable, and also passed the relevant tests. It is drawn, in the Shanghai stock market and Shenzhen stock market, interest rates and stock prices have long-term cointegration relationship. And on this basis, this paper is to establish the error correction model.The above results show that the interest rate and stock prices in the Shanghai and Shenzhen stock markets have significant cointegration relationship, that is, interest rates and stock prices of long-term stable relationship exists, and the adjustment of interest rates has a negative correlation to the stock market. This is the traditional economic theory is in line. These studies have an important significance on, how to configure, rational expectations and seize the interest rates to prevent investment risks for portfolio investors, government makes interest rate policy to guide the healthy development of the stock market.Finally, this article also explains the prolems of the impact about the interest rate adjustments to the stock prices index, and analies its reasons. And on this basis, this paper puts forward some recommendations.