Empirical Study on the Influence of Market Interest Rate on Stock Market Volatility in China : from a Dynamic Perspective
In this paper1, the present writers take the frequency and asymmetry of sharp rises and falls into account at the same time considering the asymmetry and time-varying of financial data and referring to previous studies which focused on the influence of interest rate fluctuation on stock index fluctuation.The authors use the threshold autoregressive conditional density model of exogenous information shocks to quantitatively analyze the impact of overnight Shibor changes on the next days CSI 300Index changes from the dynamic perspective.And the study reveals that the information impact of interest rate influences the volatility of the stock market significantly but the dynamic impact of interest rate on the frequency of sharp rises and falls in the stock market is not significant.At the same time, the impact of interest rate rise on the stock market asymmetry is significant.These show that Chinese money market and capital market has been integrated partially and marketization of interest rate has achieved preliminary results so that monetary policy can affect the stock market.
Shibor Stock Market Conditional Density Market Volatility
Zhen Ye Yue Wang
Department of Information Management,School of Information, Central University of Finance and Economics, Beijing, China
国际会议
郑州
英文
431-435
2018-09-21（万方平台首次上网日期，不代表论文的发表时间）