利率政策对股市个人投资者行为影响的实证检验

以中国部分基本利率调整为研究对象,采用事件研究分析法,对相关时间段内的股市个人投资者交易频率和交易额度的累积差异情况进行了计算。结果显示利率变动前后投资者的交易频率和交易额度均有显著变化,但变化时期短,从而验证了利率政策对个体投资者行为有显著影响,同时表明了投资者行为存在非理性特征,揭示出中国证券市场存在非有效性,为中国宏观货币政策的调整提供借鉴。

Exploration of Influence of Interest Rate Policy on the Behavior of Individual Securities Investors

In this paper,the author employs Event Study Methodology,and chooses the adjustment of basic interest rate of China at a certain period as the subject in an attempt to investigate the differences between transaction frequencies and transaction amounts of individual securities investors.The result shows that there are significant changes in the individual investors' frequency and amount of transaction after the adjustment of the interest rate,which verifies that the policy of interest rate has a significant impact to individual investors' behavior,although the changes may last only a short time.The findings also indicate irrationality of individual investors' behavior and the ineffectiveness of the Chinese securities market.The study in this paper will be helpful to the modulation of macro monetary policy in China