中国央行降息对股市影响的实证分析

从实证的角度讨论了时间序列方法在实际经济活动中的应用。应用时间序列分析方法,对反映中国市场经济晴雨表的股市进行了实证研究,不仅使用大家熟知的平稳时间序列建模过程,而且更重要的是,在考察政府干预--央行降息对股市影响方面,这里并未采用以往的假设统计检验(即检验降息前后的均值、方差是否有显著性差异,如果差异显著,则认为该干预是有影响的,否则,该干预对整个市场的影响可以忽略不计,它所能回答的只是有无影响的问题,而不能回答影响程度如何的问题),而是通过一种定量分析模型-干预模型来进行研究。该部分没有以个股股价为例,而是以反映整个股票市场的大盘指数-深成指、上证30为研究对象,从定量的角度得出与股价、利息率呈反向变动这一理论相吻合的实证结果。

A Demonstration for the Impacts Resulting From the Lowering Interest of China Bank on Chinese Stock Market

In this paper, from a demonstrative perspective, how to apply the time series analysis in economical activities is discussed. The time series modeling methods are used to study the stock market of China that serves as the barometer of Chinese market economy. In our research the well known process of stable time series has been used, and what is more, to study the impacts resulting from lowering interest of China Bank on the stock market of our country, a quantitative model--the Intervention Analysis Model instead of the hypothesis statistic test hasn't been used(hypothesis statistics test is a method to test whether there is a distinguish difference in average and mean-square deviation between before and after lowering bank interest. If there is, then the intervention is regarded as an influential one, otherwise, the influence can be ignored. This method can only answer the problem if there exists influence, can not answer the problem about influence degree). This work does not take particular share price as an example, but take the grail index being able to reflect the trend of the whole economic market as study object. Thus quantitatively demonstrative results has been obtained , which coincides with the theory of stock price varying in reverse to the interest varying.