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The Analysis of the Relevance of SHIBOR and Shanghai Tock Index S

Author: LiLiang
Tutor: LiuJunQi
School: Liaoning University
Course: Finance
Keywords: Interest Rate SHIBOR Stock Prices Shanghai composite index
CLC: F832.3
Type: Master's thesis
Year: 2013
Downloads: 34
Quote: 0
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Abstract


Chinese stock market history is short and it decided to start piloting in1989, howeverShanghai stock exchange and Shenzhen stock exchange was founded on December19,1990and July3,1991respectively, after that, Chinese stock market developed rapidly.Interest rate is an important economic category and economic indicator. Generally in termsof form, it refers to regulatory flux ratio of the total amount of loan capital in a certainperiod of time, and can also be described as the level of interest rate for a unit of currencyin a unit amount of time. For borrowers and lenders, interest rate is the price of loan capital.Therefore, the interest rate is an important tool and indicator for the government toformulate and implement monetary policy, as well as important parameters for marketparticipants in the economic behavior and decision-making. Then, there has been a largenumber of researches about the relation between stock market prices and interest rates bothat home and abroad. Regarding the national interbank funding center in Shanghai as atechnology platform, computing, publishing and naming, SHIBOR has become the interestrate which is the focus of the market and had receive much attention on behalf of thebenchmark interest rate market interest rates in2007.As money market benchmark interest rate, the SHIBOR’s main function has threeaspects: the intermediary function in the macro-control; function in the pricing of financialproducts; role in the process of marketization of interest rates. The SHIBOR the formationmechanism with the most prevailing LIBOR exactly the same, so although SHIBOR in2007to launch, but the launch is soon to become a major financial giants important toolindicators, the performance of major financial giants have started based on SHIBOR RMBinterest rate swap transactions, which SHIBOR its inherent mechanism advantage canquickly firmly secured the position of the Chinese money market benchmark interest rate,expressed the true relationship between supply and demand of funds in the money market,as money market product pricing provides a good reference.This paper makes full use of the properties of SHIBOR, and studies and therelationship between SHIBOR and the Shanghai composite index, and analyzes the mutualinfluences between the two. The following conclusions: SHIBOR changes did produce theShanghai Composite Index, change is the Shanghai Composite Index Granger cause changes, and this effect is reversed, the Shanghai Composite Index decreased SHIBOR rise.The SHIBOR very small change on the Shanghai Composite Index, the ShanghaiComposite Index does not change plays an important role. Third, in turn, the ShanghaiComposite Index fluctuations SHIBOR impact, the Shanghai Composite Index change isnot SHIBOR changes Granger cause.This paper includes the following aspects: First of all, in the Introduction sectionintroduces the papers the background of the problem, before the combination of a numberof foreign and domestic scholars on the relationship between interest rates and stock pricesfully considered ripe for research ways and means of full-text content and the structuralarrangements. Secondly, in the second part of the article describes the new Bank ofShanghai SHIBOR the emergence of inter-bank interest rates, the nature of the marketSHIBOR views. Analysis the SHIBOR location in the whole market and its role, from theperspective of market expectations depicts SHIBOR market position; and then a briefintroduction to the history and current status of the Shanghai Composite Index. Again, inthe third part, the interaction between SHIBOR and the Shanghai Composite Index isanalyzed theoretically. According to data from2007to the end of2011, from an empiricalperspective on the relationship between the analysis, the establishment of a binary linearregression equation, and Granger test found that the SHIBOR the change is the ShanghaiComposite Index, based on the results the Granger cause fluctuations, the SHIBORchanges in the degree of influence on the Shanghai Composite Index is very small, theShanghai Composite Index does not change plays an important role. Volatility of theShanghai Composite Index SHIBOR not have an impact, the Shanghai Composite Indexchange is not SHIBOR Granger cause changes. In the last part, according to the previousanalysis, draw conclusions and make recommendations accordingly.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks
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