货币政策对中国股市影响的统计分析——基于独立样本t检验的实证研究

本文应用独立样本t检验,分析了2004年以来的央行4次加息对中国股市的短期影响效应,结合协整方法实证检验了货币政策对中国股市的长期影响效应。研究结果表明,短期内中国股市对加息具有一定的敏感度和滞后性,长期而言,利率与股指呈现负相关,而货币供应量与股指之间的关系自2004年以来发生明显改变,由以前的负相关转变为2004年以后的正相关。

Statistics analysis of currency policy's influence on China stock market——demonstrative research basing on independent texperiment

In this article,authors study the impact on the stock market resulted from increase of interest rate by central bank since 2004 by using event study.And it makes the co-integration and Granger causality tests among stock prices,interest rate and money supply(M2) in China.The results shows,the interest rate policy has the sensitivity effect and the time-lag effect in short time,in long time,the interest rate has negative effects on the stock market and the money supply(M2) has Positive effects on the stock market.