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利率和汇率水平变化是导致一国股票市场资金供应量变化的两个主要因素。然而,行业板块指数对利率和汇率水平变化的敏感性如何?通过构建双因子理论分析模型,并对2006年10月8日至2008年4月8日中国股票市场行业板块指数波动性进行的实证研究结果表明,不同行业板块指数对利率和汇率变化的反应存在不同程度的“超调”或“惯性”现象,而且各自的反应速度也有明显差异。行业板块指数波动对利率和汇率变化的反应特征表明,要实现中国股票市场的长期整体有效,就必须提高各行业板块的有效性。
Changes in interest rates and exchange rates are two major factors that lead to changes in the supply of funds in a country’s stock market. However, how sensitive is the sector index to changes in the interest rates and exchange rates? By constructing a two-factor theoretical analysis model and demonstrating the volatility of China’s stock market sector indices from October 8, 2006 to April 8, 2008 The results show that there are different degrees of “overshoot ” or “inertia ” in response to changes in interest rates and exchange rates in different sectors, and their response rates are also significantly different. The reaction characteristics of the volatility of the sector indices to the changes in interest rates and exchange rates show that in order to achieve the overall long-term overall effectiveness of the Chinese stock market, the effectiveness of various sectors must be enhanced.