短期利率对中国股市的非对称影响

The Asymmetric Reactions of Stock Markets to the Volatility of Short-Term Interest Rates in China

本文应用马尔科夫状态转换模型将中国股票市场划分为牛市、震荡市与熊市三种市场状态,并发现在熊市状态下,短期利率波动对股票收益并没有显著性影响,而在牛市与震荡市中则有显著的负向影响。此外,短期利率波动与股票市场风险不存在显著性的相关关系。本文结论对于分析宏观因素对股票市场的影响具有重要意义,从一个新的角度阐述了利率变动与股市震荡之间存在的非线性关系。

The paper adopts Markov-switching model to partition the state of China＇s market into bull market, volatility market and bear market, and finds that the short-term interest rates do not affect the stock return in bear market, but have significant effects in bull and volatility market. In addition , the short-term interest rates do not affect the market risk （ variance of stock return） in all market regimes. This paper documents a nonlinear relation between the volatility of short term interest rate and stock market performance, which has economic factors on China＇s stock market important implications for identifying the impacts of macro-economic factors on China＇s stock market.