货币政策、投资者情绪与中国股票市场波动性:理论与实证  

Monetary Policy,Investor Sentiment and Volatility of Chinese Stock Market:Theory and Evidence

作　　者：陈其安[1] 雷小燕 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044 [2]中南民族大学经济学院,湖北武汉430074

出　　处：《中国管理科学》2017年第11期1-11,共11页Chinese Journal of Management Science

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)

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。The reaction of the stock market to monetary policy has always been an important issue for government regulatory departments,investors and academics.When investors have irrational psychological preferences such as optimistic or pessimistic mood,the effect of monetary policy on the stock market should be different from that when investors are completely rational.Therefore,systematically and deeply researching the relationship among monetary policy,investor sentiment and volatility of stock market is of great academic and practical significance.It will contribute to improving the government's regulatory efficiency on the stock market and ensuring Chinese stock market to healthily and stably development.First,referring to the utility measuration method of Holmstrom and Milgrom(1987),using interest rate as monetary policy variable,and taking the utility maximization as the investors' decision objection,the mathematical model is constructed to theoretically research the effect mechanism of monetary policies and investment sentiment on the volatility of stock market under the hypothesis conditions that investors are risk averse and have optimistic or pessimistic emotion.The results of theoretical model show that the volatility of stock market is positively related to investor sentiment and negatively related to interest rates.In addition,investor sentiment would weaken the regulatory function of monetary policies on the volatility of stock market to a certain extent,and make the actual reaction of stock market to monetary policies deviate from the regulation target of monetary policies.Then,the short-term Haodan index surveyed by Stock Market Trend Analysis Weekly is used to construct investor sentiment indicator.Taking the SHIBOR(Shanghai Interbank Offered Rate)and the net currency issuance of Chinese open market as monetary policy indicators,the ARCH model is setting up to empirically test the results of above-mentioned theoretical model based on the weekly data of Chinese stock market from October 2006 to September

关 键 词：货币政策 投资者情绪 价格波动性 中国股票市场 

分 类 号：F2[经济管理—国民经济]