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The Empirical Research Of The Adjustment Of Rate Impacting On China Stock Market

Posted on:2015-03-12Degree:MasterType:Thesis
Country:ChinaCandidate:Y LiuFull Text:PDF
GTID:2269330431458424Subject:Applied Statistics
Abstract/Summary:PDF Full Text Request
With the development of the productivity and economy, the stock market has been developing gradually and rapidly. As we all know, stock market has a great impact on economic development. It can help enterprises expand their reproduction and scale through financing. It also can optimize the allocation of resources, improve production efficiency, and can help the residents savings into investment. In the actual economic activities, the stock price is affected by a series of factors, such as economic growth, money supply, interest rate, price index, inflation, fiscal revenue and expenditure. Among these factors, the impact from interest rate is more rapid and more direct than other factors. Researching relationships between the two has an interactive effect for capital market and monetary market to be optimized, and it can help promotes the entire national economy developing in a more health way.Based on the previous research, first, the paper analyze the influence mechanism of interest rate impacting on stock market. Secondly, it selected the statistics of changes in Shanghai composite index and interest rate from2003to2012, and then carried on the empirical study from the short-term and the long-term.The research framework of this paper is that, firstly, introduce the background and significance of the research, described the research situation in domestic and abroad, and then introduce the contents and research methods.Secondly,it introduced the stock pricing principle and the mechanism of interest rate impacting on stock market from the theory. Next, the paper carried out the empirical analysis by using regression analysis, correlation analysis,cointegration test and ECM from the short-term and long-term. Finally it got the conclusion and found the reasons of the results to be combined with the current circumstance of Chinese stock market, and came up with the reasonable proposals.Through the empirical study, we find that no matter in the short-term or in the long-term, there is a positive influential relationship between the stock price index and the interest rate. The result is deviated from the theory, but other scholar’s ever got the similar result. This is because the stock price index is impacted by some other factors in addition to the interest rate. Considering the present situation of the China stock market, compared to the development trend of the foreign stock markets,it considers that the main reason leading to the result is that China stock market is still in its primary stage, and some parts of the market system is not standard and efficient. The interest rates are not fully market-oriented,either. In order to speed up the establishment of efficient stock market in China, the paper also put forward some related suggestions, such as:accelerating the process of interest rate liberalization, improving the monetary transmission mechanism, strengthening the security supervision of the market and optimizing the listed or delisted policies.
Keywords/Search Tags:Interest Rates, Stock Index, Cointegration Test, Error Correction Model
PDF Full Text Request
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