THE STOCK MARKET PORTFOLIO WITH THE DEPOSIT RESERVE RATE SHIFTS: EVIDENCE FROM CHINA

In this paper the policy intervention model and ARIMA model are applied for the research on the impact of deposit rate shifts on the stock market and conducting mechanism based on the Shanghai Stock Exchange (SSE) Composite index that varied with the deposit reserve rate adjustment from January of 2010 to the end of 2011. The empirical results show that the impacts of the deposit reserve rate adjustment on the stock market support our hypothesis. That is, the stock market and the adjustment of the deposit reserve rate in the short term do not show a simple positive and negative relationship, and in the long term they are inversely related. The central bank deposit reserve policy on the stock market in the long term continues producing function.