货币供给与投资者交易行为  

Money Supply and Investors' Trade Behavior

作　　者：吴云峰[1] 宋逢明[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《金融理论与实践》2008年第3期3-6,共4页Financial Theory and Practice

摘　　要：本文针对货币供给对股票市场中投资者交易行为的影响进行了实证检验。市场上有知情交易者和不知情交易者两类投资者,研究发现:货币供给对知情交易者影响很小,但是货币供给对不知情交易者的影响很大。如果货币供给增加,那么知情交易者到达市场的强度会增大,并且信息交易的比例会下降。因此,增大货币供给在提高股市的流动性的同时也会降低股票市场反映信息的效率,那么最优的货币政策应当在这两方面达到一个最优的平衡。This paper makes an empirical study on the relationship between money supply and the trade behavior of stock investors. There are two kinds of investors in the market, informed traders and uninformed traders. It is found that money supply has no significant effect on the informed traders, but it affects the uninformed traders greatly. As money supply increases, the arrival rate of uninformed traders will increase and the proportion of informed trade will decrease. Money supply not only improves the market liquidity but also reduces market＇s efficiency of reflecting private information. So the optimal monetary policy must be a tradeoff between these two effects.

关 键 词：货币供给 投资者交易行为 知情交易者 协整检验 

分 类 号：F820[经济管理—财政学]