货币政策、投资者情绪对股市流动性的影响研究——基于A股市场的实证分析  

Research on the Impact of Monetary Policy and Investor Sentiment on Stock Market Liquidity——Empirical Analysis Based on A-share Market

作　　者：廖昕[1] 程心怡 LIAO Xin;CHENG Xin-yi(School of Management,Shanghai University for Science and Technology,Shanghai 200093,China)

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《经济研究导刊》2022年第14期111-117,共7页Economic Research Guide

摘　　要：以我国2010—2021年宏观货币政策、投资者情绪和股票市场相关数据为样本,基于格兰杰因果检验、脉冲响应函数和方差分解等方法,对货币供应量、银行间7天同业拆借利率、ISI投资者情绪指标和股市流动性之间的动态关系进行分析。结果表明,货币政策和投资者情绪均对股市流动性产生正向影响,其中,市场利率对股市流动性变化的贡献率最高,货币供应量的贡献率最低;货币政策对股市流动性冲击的响应强度最大,货币供应量对股市流动性的影响时长明显短于市场利率和投资者情绪。Based on the relevant data of China’s macro monetary policy, investor sentiment and stock market from 2010 to 2021, this paper analyzes the dynamic relationship between money supply, 7-day interbank offered rate, investor sentiment index and stock market liquidity through Granger causality test, impulse response function and variance decomposition. The results show that both monetary policy and investor sentiment have a positive impact on stock market liquidity, in which the contribution rate of market interest rate to stock market liquidity is the highest and the contribution rate of money supply is the lowest;monetary policy has the strongest response to the impact of stock market liquidity, and the impact of money supply on stock market liquidity is significantly shorter than market interest rate and investor sentiment.

关 键 词：股市流动性 货币政策 投资者情绪 

分 类 号：F830.9[经济管理—金融学]