货币政策对不同企业股价的影响

发布时间：2018-04-13 21:41

本文选题：货币政策 + 未预期利率变动　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：我国实体经济的正常运转和快速增长一直受助于金融市场的稳定发展,人民银行和其货币政策在规范中国金融系统,在维持经济稳定运行所扮演的作用显得越来越重要。任何货币政策的改变都会影响投资者对未来经济的预期,不但影响上市公司的股价,也会由股票市场传递到实体经济。而且因为不同上市公司的情况各有不同,他们受到货币政策的影响也不尽相同。国内外研究者针对货币政策与股票市场的关系这一问题已经进行了广泛而深入的研究,他们利用M1,M2货币供应量,市场利率,联邦基金基准利率调整等货币政策变量,定性定量的研究了货币政策与股票市场之间的关系。但是我国研究的重点大都放在了对股票市场整体的影响,缺少对于不同上市公司所受影响差异的分析。本文在对货币政策对股票市场的影响进行理论分析的基础上,利用1996年至2016年的数据进行了实证分析。根据利率期限结构理论,构建了市场对利率变动的预期,分解出未预期的利率变动,并分析了未预期的存款利率变动对不同行业,不同市值,不同资产负债率,不同现金流比净利润比率,不同市盈率,不同托宾q的上市公司的影响。实证结果证实了未预期的货币政策变动与股票市场收益率之间的负向关系,证实了未预期的利率变动对不同上市公司的影响,因其所属行业,市值大小,负债情况,市盈率不同,盈利能力的差异而不同。因此,人民银行在制定货币政策时应当关注其政策对股票市场影响的不对称性。
[Abstract]:The normal operation and rapid growth of the real economy in China have been aided by the steady development of the financial market. The people's Bank of China and its monetary policy play an increasingly important role in standardizing China's financial system and maintaining the stable operation of the economy.Any change in monetary policy will affect investors' expectations of the future economy, not only the stock prices of listed companies, but also the stock market to the real economy.And because different listed companies have different situations, they are influenced by monetary policy.Researchers at home and abroad have carried out extensive and in-depth research on the relationship between monetary policy and the stock market. They have made use of M1M 2 money supply, market interest rate, federal funds benchmark rate adjustment and other monetary policy variables.The relationship between monetary policy and stock market is studied qualitatively and quantitatively.However, most of the researches in China focus on the impact on the stock market as a whole, and lack of analysis of the differences in the impact on different listed companies.Based on the theoretical analysis of the influence of monetary policy on the stock market, this paper makes an empirical analysis based on the data from 1996 to 2016.According to the term structure theory of interest rate, this paper constructs the market expectation of interest rate change, decomposes the unexpected interest rate change, and analyzes the unexpected deposit interest rate change to different industries, different market value, different asset-liability ratio.Different cash flow ratio net profit ratio, different P / E ratio, different Tobin Q listed company's influence.The empirical results confirm the negative relationship between unexpected monetary policy changes and stock market returns, and the impact of unexpected interest rate changes on different listed companies, due to their industries, size of market value, debt situation,The price / earnings ratio is different and the profitability is different.Therefore, the people's Bank of China should pay attention to the asymmetry of its policy to the stock market when making monetary policy.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F822.0

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