Money Supply And Shibor On Stock Returns Influence Of Statistical Model And Empirical Analysis

This paper investigates the impact of different types of monetary policy variables on the stock yield by establishing different statistical models,thus further analyzing the impact of quantitative monetary policies and price-type monetary policies on stocks of different market values in China,with a view to providing certain decision-making support and empirical support for monetary authorities and investors.To study the impact of quantitative monetary policy on the stock price of large-cap and small-cap stocks,in this paper,the vector autoregressive model is used to link the two stock price indices representing large and small cap stocks to the money supply,interbank lending rate,consumer price index and gross domestic product The influence of the money supply on the stock price index of large-cap and small-cap stocks was studied in January 2005,the different levels of money supply in April 2016.The results show that MO,M1 and M2 have no significant influence on the stock price.The MO has a slightly larger impact on the price of the small plate stock than the big central stock,but the duration is shorter.Mi and M2 have little effect on the fluctuation of small-cap stock price.In addition to the reality of the markets in our country,it will be the first time that the stock market has been ignored and the Banks of the Shanghai interbank lending rate(Shibor)have been trading in the VAR-MGARCH-BEKK model An empirical analysis of the effect of the overnight fluctuation of Shibor on the change of the yield of large-cap and small-cap stocks from January 2007 to April 2016 was carried out.The empirical results show that the continuous fluctuation of Shibor yield has a more significant effect on the long-term effect of small-cap stock yield,while the continuous fluctuation of the yield of large-cap stocks is more significant to the future Shibor yield.It means that the volatility ofthe money market has been much more important to the small stock market,but the monetary policy is more concerned with the impact of the return on the big,mid-range stock market.The empirical results of comparison of quantitative monetary policy and price monetary policy can be seen,In terms of the stock market,the conduction effect of Shibor is better than the transmission effect of money supply,which means that the price type of monetary policy is better than the quantitative transmission effect.