The Impact Of Chinese Mainland's Monetary Policy On Shanghai,Shenzhen And Hongkong Stock Markets

Monetary policy,as a means of national macroeconomic regulation and control,has been a hot topic for policymakers and academia.Whether the transmission channels of monetary policy is smooth,can affect the regulation and direction of monetary policy to economic.The stock market as a barometer of the national economy,it reflects the operation of a country's economy.The development of the stock market opens a new way for the transmission of monetary policy.The adjustment of monetary policy can not only achieve the goal of direct regulation of economic development by changing money supply and interest rates,but also indirectly affect the investment behavior of investors through the fluctuation of stock market,and then promote the effective allocation of resources.The impact of monetary policy on stock market is closely related to the operating tools of monetary policy,as well as the validity of the stock market.With the continuous development of economic globalization,China's status in the world economy continues to improve.The implementation of China's mainland monetary policy can not only affect the mainland stock market,but also have spillover effect on other countries and regions.There are a lot of domestic and foreign literature research shows that US monetary policy have an impact on China and the global economy,with the RMB internationalization process is accelerating,the economic exchanges between China and the surrounding areas are becoming more and more frequent.China's monetary policy is likely to affect the price of the stock market in the surrounding areas through import and export trade,international capital flows and other means.Based on this background,this paper use the intermediate target of Chinese mainland's monetary policy studies the impact of Chinese mainland's monetary policy on Shanghai,Shenzhen and Hongkong stock markets.Firstly,this paper briefly introduces the concept of monetary policy and the theory that it affects the stock price,and reviews the development history of China's mainland monetary policy,Shanghai,Shenzhen and Hongkong stock markets.According to these theories,this paper analyzes the influence channels of China's mainland monetary policy on Shanghai,Shenzhen and Hongkong stock markets.Secondly,uses the univariate Markov model to test the regime-switching characteristics of Shanghai,Shenzhen and Hongkong stock markets.And on the basis of the univariate Markov model,the multivariate Markov model was used to analyze the influence of China's mainland monetary policy on Shanghai,Shenzhen and Hongkong stock markets under different regimes from January 1997 to June 2016.Finally,this paper empirically tests the effect of monetary policy through the state-dependent impulse response,and further analyzes the asymmetric effect of China's mainland monetary policy on Shanghai,Shenzhen and Hongkong stock markets under different regimes.Through the empirical analysis,this paper draws the following conclusions:(1)There are significant characteristics of regime-switching in Shanghai,Shenzhen and Hongkong stock markets.(2)The impact of Chinese mainland's monetary policy on Shanghai,Shenzhen and Hongkong stock markets is asymmetric.The impact of monetary policy on the stock market is different under different regimes.The impact of different monetary policies on Shanghai,Shenzhen and Hongkong stock markets is also different.(3)The spillover effect of the Chinese mainland's monetary policy on Hongkong stock market is mainly conducted through the Chinese mainland stock market.(4)The response of Shanghai and Shenzhen stock markets to Chinese mainland's monetary policy is mainly reflected in the short-term volatility,and for Hongkong stock market,the transmission effect of monetary policy is more inclined to long-term effect.Based on the above empirical results,we give the following policy recommendations:(1)The monetary policy making need to consider the current state of the stock market(2)Promote the construction of interest rate liberalization(3)Accelerate the process of internationalization of RMB(4)Improve the efficiency of the securities market and cultivate the rational expectations of investors(5)Deepening the reform of financial market...