投资者对降息的市场反应——基于A股的数据实证

Investor Behavior Effect on Interest-reduction: Empirical Analysis Based on A-Share Market

研究利息调整对市场投资者影响的绝大多数文献都从波动性和流动性角度展开。文章以上海A股市场数据为样本,采用事件分析方法并以计量模型检验2015年5次利率调整过程中,股票市场买卖集中度的变动趋势。以此实证检验投资者是否对降息可以有较好的预判,并倾向于选择哪种类型的股票进行操作。文章为市场监管和货币政策的制定提供了参考依据。

Most of the articles that studied the effect of interest rate adjustment on the market are from the perspective of volatility and liquidity. This paper,taking Shanghai a-share market data as sample,uses the event study method and a measuring model to examine the movements of the market average concentration,and analyzes whether there exist insider trading activities during these five interest rate adjustments in 2015. The analysis would suggest whether the market may have a good expectation on interest reduction or a group of market players could correctly predict the reduction of interest rate. Meanwhile,the results can be a good reference for market regulators.