货币政策环境与股票收益——基于多个国家的经验研究

本文研究以贴现率变动度量的不同货币政策环境是否对股票收益产生影响。根据最近一次贴现率变动把货币政策环境分为扩张性货币政策环境和紧缩性货币政策环境,本文采用包含4个发达国家和3个发展中国家1991年1月至2010年9月的月度数据检验货币政策环境与股票收益的相关性。与之前的研究结论不同,本文的回归结果表明,在样本期内,不管是国内货币政策环境还是国际货币政策环境,对股票收益都没有影响。

Discount Rate Changes, Monetary Environment and Stock Returns-Empirical Study Based on Developed and Developing Countries

The focus of this paper is to determine whether stock returns are associated with both local and international monetary environments.We classify the monetary environments as either expansive or restrictive based on the most resent discount rate change.We examine monthly data from January 1991 to September 2010.Four developed countries and three developing countries are included in our samples.Inconsistent with the previous findings,our results indicate that both local monetary environment and international monetary environment can not affect the stock returns.