AAM  >> Vol. 1 No. 1 (August 2012)

    基于SVAR模型研究实际利率对我国A股市场的影响
    Based on SVAR Model to Research the Actual Interest Rate in the Influence of the A Share Market

  • 全文下载: PDF(481KB) HTML    PP.34-40   DOI: 10.12677/AAM.2012.11005  
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作者:  

刘欢:贵州财经大学数学与统计学院,贵阳

关键词:
股票市场SVAR模型利率调整股票价格交易量The Stock Market; SVAR Model; Interest Rate; Adjust Stock Price; Volume

摘要:
股票市场的变化受很多个因素影响,其中市场利率的变动和也是影响股票市场变化的因素。本文选取SVAR模型对中国A股市场2001~2011年的股票价格与成交量及实际利率变动之间的关系进行实证分析。研究表明:实际利率变化对我国股市波动性存在影响,但这种影响很微弱;实际利率变化与股市波动性的关系为负。

There are many factors affect the change of the stock market, and market interest rate movements is also one of the stock market change factors. This paper selects SVAR model to the A share market 2001-2011 years of stock price and volume, and the actual interest rate changes the relationship between the empirical analysis. Research shows that: The actual interest rate changes of Chinese stock market volatility influence existence, but the effect is very weak; The actual interest rate changes and stock market volatility of negative relationship.

文章引用:
刘欢. 基于SVAR模型研究实际利率对我国A股市场的影响[J]. 应用数学进展, 2012, 1(1): 34-40. http://dx.doi.org/10.12677/AAM.2012.11005