| Since the reform and opening-up policy began to carry out in China, the economy of China has been developing at a high speed and the totalizing of GDP has jumped to the second place in the world rank. The economic growth in 2015 was 6.9%. As though the numerical value was not very striking, we can still find out that GDP growth will outperform than many other countries at a growth rate 6.9%. Thus, how to achieve a high speed, healthy and orderly development is the core issue in current economic field. Among great economic events in 2015, the most concerned was that A-share stock market experienced A bull bear market volatility, during which Shanghai composite index has been rising from 2026.36 points in April 2014 to seven years peak by 5178 on June 12,2015, and then dropped to near 3500. Although China had been introduced various rescue policy, the market is still in the shaking stage, in which the lowest point dropped to 2687 points. Due to the bull market of this year, a lot of new investors had been attracted, thus biggest characteristic of the crash was suffering losses widely, the investor's enthusiasm was greatly reduced. So, revitalization of the stock market has become the economic priority in current China. The development of Chinese stock market has experienced more than 30 years, during which the reform of non-tradable shares, the stock index futures of exit, the establishment of gem and margin were successively carried on to promote the reform of stock market. However, the current stock market is still immature, we should gradually let go of the macro-control hand, let the market plays its proper role, also give certain guiding policy, so as to promote the healthy development of stock market.Among three of the traditional monetary policies, the legal deposit reserve rate is often seen as "the iron fist" due to its strong effect. On the one hand, the legal deposit reserve rate can simultaneously affect the money multiplier and the monetary base, on the other hand, it tends to convey the monetary authorities' strong intention for achieving the final regulation of base amount of money. However, because its effect is too strong, developed countries in European and the United States have many arguments for the deposit reserve rate as the monetary policy tools, then it gradually withdraw from the historical stage in the last twenty years. Since 2007, China began to frequently use the deposit reserve policy of raising the deposit reserve rate many times to curb inflation and decrease the impact of fast increasing of foreign exchange, the highest deposit reserve rate reached 21.5%, so the deposit reserve rate itself has a certain decline space. With the developing of economy, benefits of many industry declined, especially after the stock market crash of 2015, vast number of investors suffered big losses as stock markets slumped. In order to stimulate the development of the stock market, promote the orderly conduct of the economy, the central bank cut deposit twice in the second half of 2015. On February 29 in 2016, a 0.5% cut in the reserve requirement ratio was announced, which was a piece of great news for the stock market. If the relationship between deposit reserving rate and the stock market could be accurately analyzed, it will be conducive to make the deposit reserving rate as the monetary policy having accurate effect on the stock market, enabling the stock market to recover.When analyzing the relationship between the deposit reserve rate and the stock market, the listed bank's share price analysis was applied in this paper, mainly due to the following two reasons:firstly, think of the correlation coefficient, the correlation of the deposit reserve rate and listed bank's share price was greater than the correlation of the deposit reserve rate and the whole stock market. As the wide coverage of the whole stock market, which involves many industries, accurate analysis of direct effect of the deposit reserve rate may could not get accurately using comprehensive analysis, which may lead to inaccurate conclusions; Secondly, the bank could be directly affected by the deposit reserve rate. Changing the size of the monetary multiplier affects bank credit expansion ratio, which can affect the whole macro market such as the number of money supply, interest rates, lending. Stock market is an important part of the capital market, whose development is closely related to the size of these indicators. If the accurate effect of the size of the reserving deposit ratio on bank stocks could be analyzed, the reserving deposit could be used as an efficient tool to regulate and control.This paper was divided into six parts, Chapter one was introduction, mainly introduced the researching background and the significance, as well as a comprehensive review of Chinese and foreign researching documents. Foreign documents meanly gave an introduction of the reserve requirement ratio analysis method, while the Chinese documents studied the definition of deposit reserve rate and the mechanism of action, as well as introduced the research methods and the basic framework. The Chapter two was mainly study on the function of reserve in China in a detailed summary, introduced the definition, classification, historical origin of the deposit reserve and the credit creation process, followed by the theoretical basis analysis of the deposit reserve effecting on the stock market and Banks, reviewed how deposit reserve rate'changing affected on the stock market in recent years and why bank's share price was chosen as a research object. In chapter 3 and 4, the empirical analysis of the effect of deposit reserve rate adjustment on the bank and stock market was analyzed. Chapter 3 was the analysis of the long-term effect, including three sections, in the first section, the unit root test, cointegration test, granger causality test, simple regression model and error correction model and impulse response function was used respectively to analyze of the negative effect the deposit reserve rate adjustment had on the stock market, to get the dialectical analysis of the influence; In the second section, EGARCH model, residual equation, analysis of the asymmetry of volatility were established and analyzed, which lead the conclusion:the promoting effect of raising the deposit reserve rate had on the stock market was greater than the inhibitory effect of lowering the deposit reserve rate had on the stock market; The third section is a comparative analysis of different performance of state-owned Banks and joint-stock Banks under the impact of deposit reserve rate adjustment, it was concluded that the influence of deposit reserve rate changing on joint-stock Banks was greater than that on state-owned Banks. In chapter four, the deposit reserve rate changes having the short-term impact on bank's share price was analyzed by using the method of event study. On the one hand, compared the adjustment direction of deposit reserve rate and plus or minus of cumulative abnormal returns, judged the relationship between positive and negative; On the other hand, established a regression equation of the deposit reserve rate and cumulative abnormal returns, introduced a virtual variables, (when the deposit reserve was cut, set as 1, when raised, set as 0), also obtained the conclusion that the promoting effect of raising the deposit reserve rate had on the stock market was greater than the inhibitory effect of lowering the deposit reserve rate had on the stock market. In chapter five, the results of empirical research were summarized and the causes were analyzed. The main reasons were from the following five aspects:the first was the inherent property in monetary policy:transmission mechanism and reaction time delay; Secondly, market preference, it tended to react to good information; the third, different operating characteristics of state-owned Banks and joint-stock Banks led to the two different reactions to deposit reserve rate; the fourth, different expectations of investors led to different market reaction; the fifth, it also had other influential factors outside, such as macroeconomic environment, political environment, as well as the enterprise's own characteristics etc. After causes of conclusion being analyzed, policies and suggestions to these reasons were put forward in the sixth part from the view of central bank, commercial Banks, the stock market and investors respectively to get effectiveness during the whole process of policy transfer.In this paper, the innovation of the research is mainly manifested in the following aspects:1.Compared with other study, the effect of the deposit reserve had on the stock market, especially in bank process was analyzed instead of emphasizing the history of the deposit reserve or lengthy statement of related mechanism and theory, which led a great for the following research.2.The biggest innovation in this paper is the analysis of asymmetry between the deposit of the principal changes and the impact on the stock market instead of single analysis of the negative relationship between them. What's more, the point of view on the asymmetry in this paper was aimed at the deposit reserve, analyzing from the rise and down of the different effects. While, at home and abroad, many researches on asymmetry analysis for the impact of deposit reserve rate had on stock market were from the perspective of the stock market, or different performance of the deposit reserve rate between bull market and bear market. Most of them were not complete. A long-term and short-term comprehensive analysis had been carried on in this paper, long-term EGARCH non-symmetric model was established, while short-term event study method was used, a complete analysis was made by studying the comprehensive process of the role of the reserve requirement ratio in stock market.3.In this paper, comparison and analysis of listed state-owned Banks and joint-stock Banks were carried on. The conclusion was that the influence of deposit reserve rate on the listed joint-stock Banks is greater than its impact on the state-owned Banks no matter from the perspective of negative influence, or the asymmetric effects. In theory, as a result of the state-owned Banks depositing more than joint-stock Banks, the effect of changes in the reserve requirement ratio on state-owned Banks should be greater than the effect on the joint-stock Banks. Through the analysis, the different goals and business philosophy of bank management were speculated as the mean reasons for the different reaction of changes in required reserves t for the two types of Bank.This study had the following two weak points:Firstly, the weighted stock index of listed Banks was used to calculate the cumulative abnormal returns by using the event study method without different Banks for statistics. As a result, the data amount was relatively small only enough for numerical calculation to analyze the negative influence between them, the analysis of the statistical index t value was not included and the accuracy might be insufficient.On the analysis of the influence of deposit reserve rate change had on stock market, stability test should been done because the stock price changed on the day and the following days when deposit reserve rate announced been changed. Other events in the period of time would appear to have an influence on stock price. However, because of difficulty of collecting data and statistic, this part of the analysis was not involved in this paper, which might lead to incomplete of whole process of analysis. |
PDF Full Text Request