A Study On The Impact Of Interest Rate Adjustment On Stock Price In China

Interest rate policy is one of the important means of the adjustment of the stock market of our country. since our stock market was established in 1990, the growth of the scale of our stock transactions is rapid,we ranked as the second one in the global stock market.The impact of interest rate changes on stock prices have a certain cumulative effect. China’s interest rate for transmission speed and quality of stock prices compared with the previous research results have been greatly improved, but compared with developed countries in terms of long-term or short-term point of view there is a certain gap.This paper selects the February 2002 to December 2015 the one-year deposit interest rate and Shanghai Composite Index closing price data, during includes the 38 times interest rate adjustment data, sample size larger, compared with the previous research, this paper has the advantages of strong data, can increase the accuracy of the results of empirical research in a certain extent. In the empirical research, this paper adopts the research methods of time series. I have used the integration theory, Grainger causality theory, unit root test theory and error correction model theory.At the end of this paper, the following conclusions are drawn: the relationship between the fixed deposit rate and the closing price of the Shanghai composite index is a long-term and stable cointegration relationship. From February 2002 to December 2015 between the interest rate data and the Shanghai stock index data can be measured out, when the central bank will adjust the one-year deposit rate, the stock index will reverse adjust. At a significant level of 5%, the deposit rate is the cause of the Shanghai stock index Grainger, while the Shanghai index is not the reason for the deposit rate of Grainger. Deposit rates can cause changes in the Shanghai stock index of Shanghai stock index, but can not change the deposit rate. The adjustment of the interest rate for the stock has a long-term effect in the long term, interest rates continued to affect the trend of Shanghai stock index, and the degree of the influence showed an increasing trend.