摘要
在把中国股票市场划分为熊市、牛市的基础上,利用1999年1月到2012年1月的月度经济数据,实证分析了货币政策调整对股价的影响,结果表明,利率和货币供应量在不同市场态势下对股价影响的方向和力度存在显著差异;货币政策对股票价格的非对称影响十分明显;从不同股市态势下投资者的反应差异来看,卡纳曼的预期理论在中国股票市场也是成立的。
Nowadays, more and more scholars pay attention to the influence of monetary policy on stock price, however, literatures ignore whether or not this impact is asymmetry. By using monthly data from January 1999 to February 2011 ,this paper divides stock market in- to＂ bull market＂ and＂ bear market＂, empirically analyzes the effect of adjustment of inter - bank borrowing rate and money supply on stock price. The results show that the impact of rate and money supply on stock price in different market situation has a significant differ- ence in terms of adjustment direction and strength;the asymmetric influence of monetary policy on stock price is obvious and significant;the different responses of investors in two market situation declares that Kahneman＇ s prospect theory is tenable in China.
出处
《广东金融学院学报》
CSSCI
北大核心
2012年第3期53-63,共11页
Journal of Guangdong University of Finance
基金
教育部新世纪优秀人才支持计划项目(NCET-08-0450)
西安交通大学"985二期"项目(07200701)
关键词
货币政策
股票价格
非对称影响
monetary policy
stock price
asymmetric effects
