Analysis of the Relation between Interest Rate Policy and the Stock Market in China

Analysis of the Relation between Interest Rate Policy and the Stock Market in China

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摘要 Based on the modern monetary theory, this paper analyze the relation between interest rate policy and Shanghai and Shenzhen Stock Exchange by using event study and co\|integration model method. We point out that the interest rate policy have some abnormal effects on the stock market in short time and have negative effects on the stock market in long run. The influence of the interest rate is different on Shanghai Stock Exchange and Shenzhen Stock Exchange. Based on the modern monetary theory, this paper analyze the relation between interest rate policy and Shanghai and Shenzhen Stock Exchange by using event study and co\|integration model method. We point out that the interest rate policy have some abnormal effects on the stock market in short time and have negative effects on the stock market in long run. The influence of the interest rate is different on Shanghai Stock Exchange and Shenzhen Stock Exchange.

作者 WANG Jun\|bo,\ DENG Shu\|hui Laboratory of Management, Decision and Information Systems Institute of System Science, Academia Sinica, Beijing 100080, China

出处《Systems Science and Systems Engineering》 CSCD 1999年第4期89-107,共19页 系统科学与系统工程学报（英文版）

关键词 interest rate policy event study co\|integration and error\|correction model stock market interest rate policy event study co\|integration and error\|correction model stock market

分类号 N94 [自然科学总论—系统科学]

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Systems Science and Systems Engineering

1999年第4期

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Analysis of the Relation between Interest Rate Policy and the Stock Market in China

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