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一、引言利率上升会对股票市场产生负面影响,本文利用门限自回归条件异方差(TARCH)模型,运用事件分析法研究利率上调对股票市场的影响。利率上升对股票市场的影响程度取决于投资者对利率上升幅度的预期和股票市场的现实状况以及升息事件的信号效应。我认为2006年8月的调息对股票市场产生了一定影响,但程度微弱。
I. INTRODUCTION The rise of interest rates will have a negative impact on the stock market. This paper uses the threshold-based TARCH model and the event analysis method to study the impact of interest rate increases on the stock market. The impact of rising interest rates on the stock market depends on investors’ expectations of the rate of increase in interest rates and the realities of the stock market and the signal effect of the rate hike. I think the parliamentary adjustment in August 2006 had some impact on the stock market, but to a lesser extent.