货币政策公布效应、投资者情绪与市场状态

从世界范围来看,我国证券市场属于新兴资本市场。所以从实践来看,宏观经济政策调控会对证券市场产生影响,其传递路径主要通过对投资者心理产生作用,进而会影响到投资者价值与价格的比较判断,最终导致证券市场的非正常波动。本文在结合国内外研究的基础上构建基于最小二乘的多元回归模型研究货币政策公布效应。研究结果显示:投资者心理指标的变动与证券指数有显著的相关性,而货币政策的调整幅度、虚变量市场状态对应的P值大于对应的显著性水平α,显示货币政策信息公布时点及调整幅度在市场处于牛市或熊市下不能一致性地产生溢价收益。

Currency policy announced effect,investor mood and market situation

Our stock market can be defined as an emerging market from worldwide scope,so it will be affected by macroeconomic policies,especially to the news of monetary policy announcement,through the path of sentiments of investors,as the psychological value will be changed,which will influence the investment decision making process.This paper applies the OLS model to investigate the complex relationship between the indicators of psychology and the comprehensive index of Chinese stock market,the results imply there exists positive correlation between changes of psychology and the comprehensive index,while the P-value is bigger than the significance level α,which tell us that the range of monetary adjustment and market regime can not influence the revenue of stock market significantly,which means that in bear or bull market,there is no consistent conclusion with the monetary policy announcement.