Empirical Study On The Impact Of China's Interest Rate Fluctuation On The Stock Returns

Over the past period of time the Chinese stock market experienced a large volatility in the stock market,the stock price rose from 2066 points in March 2014 to 5423 points in June 2015,and then began straight down to 2760 points.This fact shows that the stock market has a typical volatility characteristics,it is this feature led to many speculators to use the spread to speculation,leaving other investors face greater investment risk.In order to promote the healthy development of the stock market,the government has taken some policy measures,and one of the important tools of monetary policy is interest rate,it has a significant impact on the stock market,so the study of this The relationship between the two has important reference value and educational significance for the participants in the market.This paper includes four chapters: The first chapter introduces the research background and significance of this paper,elaborates the relevant research situation at home and abroad,and introduces the research content,research frame and innovation point of this paper.The second chapter introduces the interest rate and stock return rate,and analyzes the typical traditional theories related to stock returns and interest rates,and then puts forward the system of stock market interest rate transmission.The third chapter is the focus of this paper,which makes an empirical analysis based on the dynamic relationship of the relevant time series data,including the selection of data and the setting of the model,the time series stationary test of data,Granger causality test,the optimal hysteresis number of determinants,the VAR model estimates,and gives the relevant economic significance of the interpretation,and finally draws the empirical conclusion.The fourth chapter is for the empirical results of the previous chapter,the analysis may lead to the results of the reasons and give the relevant policy recommendations.The fifth chapter summarizes the full text and raises questions that need to be addressed further.The research in this paper shows that there is a negative correlation between the one-month bond yield and the GEM stock return as a whole,which is consistent with the traditional theory,and this effect is the most strong,the longer the time,the smaller the impact.For the bond yields and the GEM stock rate themselves,will be affected by their own lagging effect,and this relationship is sometimes positive,sometimes negative,not a fixed relationship,indicating that the pre-market fluctuations will affect the late stock Price changes,the performance of investment behavior is the form of investors chase sell,there is no lack of reverse investment behavior.So investors can be based on a month's bond yields to make investment decisions,that is,when a month's bond yields rise,it is expected that the GEM stock rate of return will drop,should be sold in advance,and vice versa to buy in.Because of the lagged first order,this negative correlation is most significant,so we should pay attention to the time to grasp,in the short term to carry out the operation.