| The dynamic changes of China’s stock market index are not only affected by macro and micro factors such as company management and domestic economic situation,but also related to international economic factors and social situation.With the deepening of economic globalization,among many macroeconomic factors,the international economic situation has become one of the most important factors affecting China’s stock market.Since the reform and opening up,China’s economy has made remarkable achievements,and its connection with the world economy is becoming deeper and deeper.While the capital market is constantly improving,it is also actively in line with international standards.As the wind vane of China’s stock market,Shanghai stock index has gradually become one of the core targets of global asset allocation.As an important global macroeconomic indicator and the benchmark interest rate of the financial market,US bond yield is deeply linked with the international economic trend and the direction of monetary policy,and plays an important role in the pricing of risky assets all over the world.With the deepening of the opening-up of China’s financial system and the increasing participation of foreign capital in China’s stock market,the US bond interest rate will guide the allocation of foreign capital to China’s stock market and have an increasingly prominent impact on China’s stock price.In recent years,the fluctuation of US bond yield has also attracted more and more attention from investors in domestic financial market.Its trend has become an important reference variable for institutional investors to judge China’s asset price(stock market).Studying the internal logic of the impact of US bond yield on China’s stock market is of profound significance for promoting China’s financial opening and improving the investment concept.The first chapter is the introduction,which mainly discusses the research background and significance of this paper.As the core index of the Federal Reserve’s monetary policy,the yield of US bonds is an important inducing variable of RMB exchange rate,capital flow and short-term interest rate spread,which is very important to China’s stock market.The second chapter is literature review.Most of the ideas about the relationship between US bond yield and China’s stock market come from the research of existing literature.This paper combs the research literature on stock market price determination,monetary policy spillover effect,exchange rate and capital flow,and fully analyzes the relationship between various research objects.Based on the existing research results,this paper establishes the analysis framework of the impact of US bond yield on domestic stock market price.The third chapter is the theoretical basis and research model of this paper.In terms of theoretical basis,firstly,the essence of stock price change is asset pricing.This paper combs the asset pricing theory and stock valuation model,including the determination methods of expected return and asset price,and establishes the theoretical framework of the determinants of stock price in China;Secondly,based on Keynes’ s liquidity preference theory and Tobin’s portfolio selection theory,this paper studies the theoretical way of the interaction between US bond yield as an interest rate index and stock price;Finally,under the condition of open economy,the cross-border transmission of international interest rates such as US bond interest rate to China’s financial market is based on the interest rate parity theory and monetary policy spillover theory.Its essence is the spillover effect of international interest rate on China’s financial system.In terms of model,according to the principle of cash flow discount and considering the theory of open economy,this paper establishes the micro and macro analysis model of the transmission path from US bond yield to China’s stock market price,which lays a theoretical foundation for the analysis of transmission mechanism.The model holds that the US bond yield has a direct impact on China’s stock market by changing the risk-free interest rate,the exchange rate between China and the United States and the risk premium of the stock market.The fourth chapter is another core of this paper.According to the model framework established in the third chapter,this chapter systematically analyzes the main ways and effectiveness of the impact of US bond yield on China’s stock market,including capital flow channels,interest rate linkage channels,exchange rate channels and expectation and stock market linkage channels,It is proved theoretically that the rise of US bond yield will have a negative impact on China’s stock market price through capital flow and economic connection.The fifth chapter is the empirical analysis.This paper selects the corresponding intermediate variables of each mechanism,establishes the structural vector autoregressive model(SVAR),and tests the effectiveness and direction of each transmission channel.The empirical results confirm the conclusion of the theoretical analysis.First of all,the rise of US bond yield directly leads to the tightening of global liquidity,the rise of capital cost and the deterioration of liquidity expectation,which suppresses the price of China’s stock market;Secondly,through the cross-border transmission of interest rate,there is a linkage effect between US bond yield and China’s domestic financial market interest rate,resulting in the interactive effect between US bond interest rate and China’s stock price;Thirdly,the change of interest rate difference between China and the United States is an important inducing variable of China’s exchange rate and cross-border capital flow,and the appreciation of RMB plays a guiding role in the incremental funds(such as northward funds)flowing into China’s stock market from abroad,resulting in the increase of demand and price of China’s stock market;Finally,as a core financial variable and economic indicator,the yield of US bonds is an important reference for global asset allocation.It will affect investors’ expectations and psychological factors,directly change the risk premium of China’s stock market,and then affect the demand and price level of the stock market.The sixth chapter is the research summary of this paper.In essence,the yield of US bonds is a risk-free interest rate commonly used in the global financial market.It is not only the capital cost of global investors,but also the core indicator of the Federal Reserve’s monetary policy and the liquidity of the financial system.Through capital flow channels,interest rate linkage channels,exchange rate channels and expectation channels,the rise of US bond yield will have an impact on the capital,fundamentals and risk premium of China’s stock market,make all kinds of funds flow out of China’s stock market,and inhibit stock market valuation and price.The internal logic of the transmission channel can be summarized into two aspects: on the one hand,the US bond yield changes the allocation strategy of international capital in China’s stock market;On the other hand,factors such as changing the liquidity level of the domestic financial market will affect the trading decisions of domestic stock market investors. |
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