Relationships between Return of Stock Price Index and Interest Rate

DOI

10.2991/icmcs-18.2018.84How to use a DOI?

Keywords

Stock market volatility; Interest rate; GARCH model

Abstract

The stock market has an increasingly significant impact on China's macro economy, but the risk and volatility of the stock market itself has also received more attention. How to prevent stock market risk is also one of the important topics of government work. Interest rate is one of policies and this factor can affect the price of the stock. This article selects the yield rate which comes from the Shanghai Stock Exchange and the interbank lending rate which comes from Shanghai Bank. The ARMA model was established based on the returns from the Shanghai Stock Exchange Index and the GARCH model was established using Shanghai Bank's interbank lending rate. Finally, using the Granger test, we conclude that there is a long-term co-integration relationship between the two, but the causal relationship is not obvious.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jiajia Chen
PY  - 2018/10
DA  - 2018/10
TI  - Relationships between Return of Stock Price Index and Interest Rate
BT  - Proceedings of the 8th International Conference on Management and Computer Science (ICMCS 2018)
PB  - Atlantis Press
SP  - 412
EP  - 418
SN  - 2352-538X
UR  - https://doi.org/10.2991/icmcs-18.2018.84
DO  - 10.2991/icmcs-18.2018.84
ID  - Chen2018/10
ER  -