## GARCH模型市场利率对股市的作用研究

Title     To study the effect of market interest rates on  the stock market
Abstract
With the rapid development of China’s economy ,financial market ,as a product of market economy,is playing an increasingly important role in national economy.And the stock market is an important and essential part of the financial markets.As a result of the money multiplier and currency circulation are more and more difficult to predict,China’s government will make the interest rates play a role in the stock market.Interest rate marketization is an inevitable trend.The relationship of the interest rates and the stock market is closer and closer.Therefore, it’s necessary to study the relationship of the interest rates and the stock market.To study it ,the paper uses GARCH model and the event study method.First,I use the best GARCH model to do the fitting of the data of the estimated period.Then,construct cumulative abnormal returns and test the results.The results show that,the interest rates has the impact on the Composite index and Hushen 300 index ,but not on Shenzhen Composite index.

Keywords  the interest rates  GARCH model  the event study method    cumulative abnormal returns

1  引言  1
1.1 研究背景和意义  1
1.2 研究内容和方法  1
1.3 主要研究结果  2
1.4创新和不足   2

3  利率影响股市的理论基础  5
3.1 市场利率与股票的定价理论  5
3.2 市场利率对股票价格的影响机制  5
4  样本数据的选取和说明  7
5  方法介绍  9
5.1 事件研究法  9
5.2 ARCH模型和GARCH模型 10
5.3 用EVIEWS做线性回归分析 11
5.4 本文思路  12
6  实证分析和结果解释  13
6.1 对各股指进行最小二乘法回归分析  13
6.2 各股残差的统计性描述分析  15
6.3 确定GARCH（p,q）中的p,q值  17
6.4 上证指数，深证综指和沪深300的实证分析  20
6.5 实证分析的结果解释  26

1  引言
1.1  研究背景和意义
1.1.1  研究背景

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