货币政策、投资者情绪与中国股票市场波动性:理论与实证

发布时间：2018-01-04 05:00

本文关键词：货币政策、投资者情绪与中国股票市场波动性:理论与实证　出处：《中国管理科学》2017年11期 　论文类型：期刊论文

【摘要】：股票市场对货币政策的反应一直是政府监管部门、投资者和学术界关注的重要问题。本文首先在假设投资者风险厌恶、且存在乐观和悲观情绪的条件下,以利率为货币政策变量,以投资者效用最大化为决策目标,建立数学模型从理论上研究货币政策和投资者情绪对中国股票市场波动性的影响机理;其次,以2006-2014年期间的中国货币政策数据、投资者情绪数据和股票市场指数收益数据为样本,对理论模型所得结果进行实证检验。理论和实证研究结果表明,中国股票市场价格波动性与投资者情绪正相关,与市场利率负相关;投资者情绪在一定程度上弱化了货币政策对股票市场波动性的调控作用,进而使得股票市场对货币政策的实际反应偏离了货币政策调控目标。论文研究结果基于投资者情绪视角对中国股票市场不符合传统理论的货币政策效应做出了合理解释。
[Abstract]:Stock market response to monetary policy has always been an important concern of government regulators, investors and academia. Firstly, this paper assumes that investors are risk-averse, and there is optimism and pessimism. With interest rate as monetary policy variable and investor utility maximization as decision goal, a mathematical model is established to study theoretically the influence mechanism of monetary policy and investor sentiment on the volatility of Chinese stock market. Second, take China's monetary policy data, investor sentiment data and stock market index earnings data for the period 2006-2014 as a sample. The theoretical and empirical results show that the volatility of Chinese stock market price is positively correlated with investor sentiment and negatively correlated with market interest rate. To some extent, investor sentiment weakens the role of monetary policy in regulating the volatility of the stock market. Therefore, the actual response of stock market to monetary policy deviates from the target of monetary policy regulation. Based on the investor sentiment perspective, this paper makes a combination of the monetary policy effect of Chinese stock market which does not conform to the traditional theory. Reasonable explanation.
【作者单位】：重庆大学经济与工商管理学院;中南民族大学经济学院;
【基金】：重庆市社会科学规划重点项目(2016ZDGL12) 国家自然科学基金面上项目(71673034)
【分类号】：F832.51
【正文快照】： 1引言股票市场价格走势及其波动性是众多投资者交易行为的合力结果,而投资者的交易决策行为又将不可避免地受到货币政策和投资者情绪等众多因素的影响。在投资者具有乐观或悲观情绪等非理性心理状态时,股票市场对货币政策的反应也与投资者完全理性条件下的情况存在较大差异。

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