| The central bank has been nurturing Shanghai interbank offered rate (Shibor) as the market benchmark interest rate. Since its launch in January4,2007, it is running in good condition, and reflects the market supply and demand of funds to some extent, and provides the basis for the pricing of financial products. Changes in interest rates will impact on the stock market through the transmission pathway, most of academia theoretical and empirical research results have indicated a negative correlation between interest rates and stock prices. This paper studies the impact of changes in Shibor on China’s banking industry stock price. Commercial banks are the most important intermediaries in money market and main listed company in stock market, to study the relationship between interest rates and China’s bank stock price can refer to interactive links between the capital market and money market.This paper uses the error correction model to empirically study the relationship between the interest rate and stock price. Selecting Shibor overnight rate, the exchange rate of the RMB against the U.S. dollar, the Shanghai Composite Index and self-built banking stock index as main variables, comparing the fitting effect of three-variable model to four-variable model, the empirical results show that the four-variable model demonstrates better explanatory power. The relationship between interest rate movements and bank stock prices is not significantly positive in the short term, the impact of interest rate changes on bank stock prices is significantly negative in the long term.Finally, we propose to continuously push forward the market-oriented reform of the interest rate market and improve the stock market, the commercial banks strengthen management and risk control to weaken the adverse effect of frequent fluctuations in interest rates on commercial bank stock prices. |
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