Research On Premium Effect Of Liquidity In Chinese Stock Market Under The Impact Of Monetary Policy

The stock market is an extremely important part in China’s financial market structure.The stock’s own liquidity status determine the healthy and stable development of the stock market.However,the stock market liquidity has a relatively weak anti-risk ability and is susceptible to the macroeconomic environment.With the occurrence of many financial crises,monetary authorities and financial regulators pay more attention to the problems related to liquidity and liquidity risk premiums.In this paper,based on the stock trading data of China’s Shenzhen and A-share market to verify the model of A-LCAPM,VAR model and MS-VAR.The modification capital asset pricing model is effective,the existence of a significant liquidity premium exist in the two markets and further explores the impact of monetary policy shocks on the stock market liquidity and the liquidity premium effect.First of all,the article reviews the existing literature from the aspects of stock market liquidity,liquidity premium,capital asset pricing model,the impact of monetary policy on the liquidity of the stock market and the asymmetric impact,and compares the research results at home and abroad,To further determine the research ideas and research indicators.Relying on the deep board and the small and medium board market,the traditional capital asset pricing model is gradually compared.Based on the improved Fama-French model and the effectiveness of the A-LCAPM model,it is verified that the liquidity premium effect exists in the stock market of our country and the improvement After the A-LCAPM model interpretation ability has improved significantly.Secondly,the impact of monetary policy shock on the stock market liquidity and liquidity premium effect is analyzed by the VAR model as a whole.The impulse response function is used to explain the impact of the impact of the monetary policy on the stock market more intuitively,further variance analysis is used to analyze the variables The contribution of the index to the liquidity index shows that the impact of the index on the stock market is greater than that of the money supply index and reaches the unification conclusion in the two markets.Loose monetary policy helps to improve the liquidity of the stock market,the tight currency Policies will reduce the liquidity of the stock market,andtheir better liquidity stocks are less susceptible to monetary policy,and illiquid stocks are more sensitive to policy changes.However,when examining the effect of monetary policy on the stock market liquidity premium,the two markets showed the opposite characteristics.Especially in the stock market turmoil,in face of the tightening monetary policy,the liquidity premium in main board of stock market shows a rise tendency.The characteristics of SME board that show a decrease in the liquidity premium are largely related to investors’ psychological expectations.Finally,based on the results of the above empirical analysis and the actual development of the stock market in our country,we put forward some policy recommendations mainly for the monetary policy authorities and the market supervisors so as to provide a new perspective for the healthy and stable development of the Chinese stock market.