货币政策对中国股市连续性波动和跳跃性波动的影响研究

股票价格包括连续和跳跃两个部分,本文基于股市高频数据将中国股市的已实现波动分解为连续性波动和跳跃性波动,通过建立多元线性回归模型和Tobit模型,研究了存款准备金政策和利率政策对不同类型股市波动的影响。研究表明,存款准备金率调整的信息发布对连续性波动没有显著影响,但对跳跃性波动存在显著的影响;存款准备金率的实际调整对连续性波动、跳跃性波动均存在显著影响,但跳跃性波动更多地受到了信息发布时的影响;利率政策的调整对连续性波动和跳跃性波动存在显著影响,中国股市对利率政策变化提前作出反应。

Study on the Effects of Monetary Policy on Continuous and Jump Volatility of China’s Stock Markets

Stock price includes continuous and jump parts.Based on high-frequency data of China’s stock market index,the paper decomposes realized volatility into continuous and jump volatility,and builds multiple linear regression models and Tobit model to study the effects of monetary policy on different volatility.The results show the news announcement of the adjustment of deposit reserve ratio does not significantly affect continuous volatility,whereas the jump volatility is significantly affected.The actual adjustment of the deposit reserve ratio has significant effects on the continuous and jump volatility whereas jump volatility is more impacted by news announcement.Moreover,the adjustment of interest rate policy significantly impacts continuous and jump volatility continuity,and China’s stock markets respond to changes of the interest rate policy in advance.