| 我国证券市场对利率反应特性的理论分析与实证研究 |
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| 引用本文： | 李育林,张成虎,吴鸣. 我国证券市场对利率反应特性的理论分析与实证研究[J]. 东北大学学报(社会科学版), 2009, 11(1): 40-46 |
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| 作者姓名： | 李育林 张成虎 吴鸣 |
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| 作者单位： | 西安交通大学经济与金融学院,陕西西安,710061 |
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| 基金项目： | 国家自然科学基金，西安交通大学面向21世纪教育振兴行动计划（985计划） |
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| 摘 要： | 以威廉斯股票估价模型为基础,站在市场的角度,重点考察了证券市场对各期名义利率与实际利率变化的反应结果,构建了我国证券市场对利率变化的反应模型.利用沪深证券交易所自成立以来18年的相关数据进行了实证分析和检验,并对实证结果进行了理论解释.研究表明:我国证券市场对利率变化的反应是逆向的,且对长期利率变化反应较为显著,而对短期利率变化反应不显著,对名义利率变化比对实际利率变化反应更为显著,同时与自身滞后期的波动情况密切相关.
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| 关 键 词： | 证券市场 利率 反应特性 多元线性回归分析 |
Theoretical Analysis and Empirical Study on Characteristics of Response to Interest Rate in China's Security Markets |
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| LI Yu-lin,ZHANG Cheng-hu,WU Ming. Theoretical Analysis and Empirical Study on Characteristics of Response to Interest Rate in China's Security Markets[J]. Journal of Northeastern University(Social Science), 2009, 11(1): 40-46 |
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| Authors: | LI Yu-lin ZHANG Cheng-hu WU Ming |
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| Affiliation: | School of Economics and Finance;Xi'an Jiaotong University;Xi'an 710061;China |
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| Abstract: | Based on the Williams stock evaluation model and from the perspective of market,what resulted from the security markets when they responded to the changes of nominal and actual interest rates are emphatically studied,thus developing a model of response to the change of interest rate in China's security markets.Empirical tests and analyses were done using the related 18-year data from both Shanghai and Shenzhen Stock Exchanges since they were started,with the results theoretically explained.It was revealed t... |
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| Keywords: | security market interest rate characteristics of response multiple linear regression analysis |
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