我国货币政策变动对股票市场短期调控效应的实证分析

货币政策变动会对股市造成冲击。本文利用GARCH模型,运用事件研究方法研究利率、存款准备金率调整对股票市场的短期影响。通过实证分析,表明货币政策调整会对股票收益产生影响,但每次政策调整宣告对股票市场的影响程度、作用时间甚至影响方向都有所不同。这种即期影响取决于调整时经济运行的总体状况、股指相对位置、股市盘整的时间等影响因素,同时也取决于市场对政策调整的预期。

An Empirical Analysis of Monetary Policy Adjustment's Short-term Effect on Stock Market in China

This paper uses GARCH models and event study method to study the short-term control effect of interest rates adjustment and deposit reserve rate adjustment policies to stock market. The results show that changes of monetary policy will have impact on stock returns,but the extent,the timing,even the direction of each policy declarations are different. This Immediate impact of policy adjustment depends on factors such as the general state of economy,the relative position of stock index,the stabilization durat...