上证指数近期波动的市场关联因素分析利率汇率和融资融券的影响比较
本文在回顾相关研究文献的基础上，首先从理论方面归纳了利率、汇率、融资融券对上证指数的作用机制。然后从实证分析角度入手，以2014年9月至2015年4月的上证指数、利率、汇率、融资买空、融券卖空为研究对象，建立VAR模型，并运用协整分析、脉冲响应函数以及方差分解的方法，探索了利率、汇率以及融资融券规模与上证指数之间的关系。结果表明，上证指数与相关影响因素间存在着长期均衡的关系；利率、汇率对上证指数有影响，但是作用不大；上证指数在此期间的持续上涨过程中，融资融券加剧了证券指数的波动。30240
关键词 上证指数 影响因素 VAR模型
毕业论文外文摘要
Title The Analysis of Market Related Factors of the
Recent Volatility in the Shanghai Composite Index
--Comparison of the Effects of Interest Rate, Exchange Rate and Margin
Abstract
Since the second half of 2014, trading in China's securities market has become increasingly active, the Shanghai index and the stock price rose sharply. Analyzing the factors that can influence the capital source of market price is significant for us to analyze the phenomenon of stock market. This paper used the Shanghai composite index which is the most common and the most important index in China's securities market as the research object, the correlation degree of stock index and interest rate, exchange rate, and margin scale factors are analyzed.
This paper is based on a lot of literature. First, analyzing the mechanism of interest rate, exchange rate and margin of Shanghai index from the theory. Then, starting from the empirical aspect, using the Shanghai stock index, interest rate, exchange rate, financing to buy and sell securities on 2014 September to 2015 April as the research object, establishing the VAR model and using cointegration analysis, impulse response function and variance decomposition method, to explore the relationship among interest rate, exchange rate, margin and Shanghai stock index. The results show that there is a long-run equilibrium relationship between them; the interest rate and the exchange rate has a impact on the Shanghai index, however, does little; in the process of rising continuously of the Shanghai composite index, the margin exacerbated the fluctuations of Shanghai Composite index.
Keywords The Shanghai Composite Index Influence factors VAR model
目 次
1 引言 1
1.1 研究背景及意义 1
1.2 研究思路 1
2 文献综述 2
2.1 利率对股价的影响 2
2.2 汇率对股价的影响 3
2.3 融资融券对股价的影响 4
3 理论框架 6
3.1 利率对上证指数的影响机制 6
3.2 汇率对上证指数的传导机制 7
3.3 融资融券对上证指数的影响机制 8
4 影响上证指数的因素的实证分析 11
4.1 样本及变量 11
4.2 变量平稳性检验 11
4.3 协整分析 12
4.4 VAR模型检验 13
4.5 脉冲响应 14
4.6 方差分解 16
结论 17
致谢 19
参考文献 20
附录A VAR(2)模型回归结果 22
图表目次
图3.1 融资买入作用机制图 9
图3.2 融券卖空作用机制图 10