【作者】 李伟；

【导师】 任永平；

【作者基本信息】 上海大学 ， 管理科学与工程， 2018， 博士

【摘要】 资本市场作为金融体系的重要组成部分,发挥着优化资源配置的重要作用。而资本市场能否实现资源最优配置,体现市场配置效率和成熟程度,关键在于股票价格能否及时、真实、准确地反映诸如盈利能力、偿债能力、营运能力、增发配股等公司特质信息。中国作为新兴的资本市场,股票价格尚不能完全反映公司特性,反而更多的是在市场因素的作用下表现出“同涨同跌”,即股价同步性较高。过高的股价同步性会降低资产定价效率和经济运行效率,干扰证券市场筛选机制的运转,影响经济增长,产生消极的经济后果。同时,在经济发展过程中,由于多重宏观经济目标难以同时达到均衡,各种政策调控目标在短期内的相对重要性会频繁变动,货币政策因其灵活性、常规性和精确性特点逐渐成为政府及其相关部门调控宏观经济运行及发展的主要选择。但当国家频繁使用货币性手段对宏观经济进行调控时,作为金融市场核心组成部分的股票市场必然会受到相关货币政策冲击的影响。从我国货币政策实施以及股票市场波动情况也可以看出,国家用于宏观经济调控的货币政策确实对股票市场产生了冲击,股票市场“同涨同跌”现象也是频频发生,市场风险陡增。因此,为避免股价“同涨同跌”带来负面影响,实现宏观经济和金融市场的健康稳定发展,理清货币政策对股价同步性的影响效应具有重要的理论与现实意义。本文依据我国特有的股票市场环境与政策制度背景,探讨货币政策对股价同步性的影响机理,分析货币政策对股价同步性的时变影响和时点影响。首先,在阅读相关文献的基础上,梳理了货币政策对股价同步性影响的相关理论和已有研究成果,进行了简要评述。其次,借鉴已有文献研究结果,从理论上分析了货币政策对股价同步性的影响渠道,利用理论推演方式论证了利率政策、汇率政策及货币政策不确定性对股价同步性的作用机制。再次,在理论分析的基础上进行货币政策对股价同步性影响的实证研究:基于多重分形理论,利用多重分形去趋势交叉相关性分析法(MF-DCCA)分别研究了利率政策和汇率政策与股价同步性之间的交叉相关性,发现利率政策和汇率政策对股价同步性具有正持续性作用,且与股价同步性之间的交叉相关性具有多重分形特征,并结合股市指数、货币政策宽松程度作了进一步分析;运用带有随机波动的时变参数向量自回归模型(TVP-VAR)对货币政策不确定性对股价同步性的影响效应进行了实证分析,发现货币政策不确定性对股价同步性具有时变影响;利用时变参数向量自回归模型(TVP-VAR)的时变参数特性对利率政策、汇率政策及货币政策不确定性作用于股价同步性的影响进行时点分析,发现利率政策、汇率政策及货币政策不确定性对股价同步性的影响具有时点差异。最后,基于实证分析结果,从正确看待市场关系、市场监控评估、政策稳定性及市场建设引导四个方面提出政策建议,并指出本文不足和未来研究方向。通过理论分析和实证研究,本文主要研究结论如下:一是利率与股价同步性之间存在交叉相关性,且两者的交叉相关性具有多重分形特征。利率与股价同步性之间的交叉相关性主要表现为正持续性,即利率提高,股价同步性增强,且这种交叉相关性始终存在波动;通过滚动窗口分析得到的实证结果显示,股市价格上涨时,利率对股价同步性的正持续性影响会逐渐增强,股市价格下跌时,利率对股价同步性的正持续性影响会逐渐减弱。二是人民币汇率与股价同步性之间的交叉相关性具有多重分形特征。人民币汇率与股价同步性之间存在正持续性的交叉相关性,人民币指数上升,股价同步性也会相应增强;但该正持续性强度存在波动性。通过货币政策宽松和紧缩时期的对比分析,发现在宽松的货币政策下,人民币汇率对股价同步性的正持续性影响强度逐渐减弱;在紧缩的货币政策下,人民币汇率对股价同步性的正持续性影响强度逐渐增强。三是货币政策不确定性在短期和中期对股价同步性主要为正向影响,时变性较强,而长期影响虽仍为正向影响,但影响程度微弱。货币政策有效性对股价同步性的短期和长期影响随时间在方向和强度上均具有明显的波动特征。投资者情绪可以抑制股价同步性,投资者情绪对股价同步性的负向影响在短期最为明显,长期则较弱。四是利率对股价同步性的影响主要是短期和中期的影响,利率向上或向下波动均会对股价同步性产生即期的正向影响,且该即期影响主要是通过投资者情绪渠道发挥作用;汇率对股价同步性的作用主要是即期和中期的正向影响,汇率波动对股价同步性的作用比较稳定,且具有更长时期的作用效果;货币政策不确定性的提升会促使股价同步性的增强,但在不同时间点上的影响程度和作用时间存在差异。进一步考虑不同外界因素冲击,利率、汇率和货币政策不确定性对股价同步性的影响存在时点差异。更多还原

【Abstract】 As an important part of the financial system,the capital market plays an important role in optimizing resource allocation.Whether the capital market can achieve the optimal allocation of resources,reflect the efficiency and maturity of market allocation or not,the key is whether the stock price can reflect the company’s trait information such as profitability,solvency,operational capability and additional shares allotment in a timely,true and accurate manner.As an emerging capital market,China’s stock price still can’t fully reflect the company’s characteristics.On the contrary,it is more likely to show “the same rise and fall” under the influence of market factors,which means the higher stock price synchronicity.Excessive stock price synchronicity will reduce asset pricing efficiency and economic operational efficiency,interfere with the operation of the securities market screening mechanism,affect economic growth,and have negative economic consequences.At the same time,in the process of economic development,as multiple macroeconomic goals are difficult to achieve equilibrium at the same time,the relative importance of various policy control objectives will change frequently in the short term.Monetary policy gradually becomes the main choice of the government because of its flexibility,regularity and accuracy.And its related departments control the main choices of macroeconomic operation and development.However,when the state uses monetary frequently means to regulate the macro economy,the stock market,which is a core component of the financial market,will inevitably be affected by the impact of relevant monetary policies.From the implementation of China’s monetary policy and the volatility of the stock market,it can be seen that the monetary policy used by the state for macroeconomic regulation and control has indeed had an impact on the stock market.The phenomenon of “the same rise and fall” in the stock market has also occurred frequently,and the stock price synchronicity is high.The market risk has increased sharply.Therefore,in order to avoid the negative impact of stock price “the same rise and fall” and achieve healthy and stable development of macroeconomic and financial markets,it has great theoretical and practical significance to clarify the impact of monetary policy on stock price synchronicity.Based on China’s unique stock market environment and policy system background,this paper explores the impact mechanism of monetary policy on stock price synchronicity,and analyzes the time-varying and time-point effects of monetary policy on stock price synchronicity.Firstly,on the basis of reading related literatures,the related theories and existing research results of the influence of monetary policy on stock price synchronicity are reviewed,and a brief review is made.Secondly,based on the results of existing literature research,the paper analyzes the channel of influence of monetary policy on stock price synchronicity,and uses theoretical deduction to demonstrate the mechanism of interest rate policy,exchange rate policy and monetary policy uncertainty on stock price synchronicity.Thirdly,on the basis of theoretical analysis,an empirical study on the impact of monetary policy on stock price synchronicity: Based on multi-fractal theory,the MF-DCCA method is used to study the cross-correlation between interest rate policy and exchange rate policy and stock price synchronicity.Interest rate policy and exchange rate policy have a positive effect on stock price synchronicity,and the cross-correlation between stock price synchronicity has multiple fractal features,and we further analyze the cross-correlation combination with the stock market index and monetary policy easing;The TVP-VAR model is used to empirically analyzed the effect of monetary policy uncertainty on stock price synchronicity,and we find that monetary policy uncertainty has a time-varying effect on stock price synchronicity;We also use the time-varying parameter characteristics of TVP-VAR model to analyze the impact of interest rate policy,exchange rate policy and monetary policy uncertainty to the stock price synchronicity.It is found that the impact of interest rate policy,exchange rate policy and monetary policy uncertainty on stock price synchronicity has a time difference.Finally,based on the results of empirical analysis,the paper puts forward policy recommendations from four aspects: market relationship,market monitoring and evaluation,policy stability and market construction guidance,and points out the shortcomings and future research directions.Through theoretical analysis and empirical research,the main conclusions of this paper are as follow:First,there is a cross-correlation between interest rate and stock price synchronicity,and the cross-correlation between the two has multiple fractal features.The cross-correlation between interest rate and stock price synchronicity is mainly positive,that is,interest rate increases,stock price synchronism increases,and this cross-correlation always fluctuates;empirical results obtained through rolling window analysis show that stock market prices rise At that time,the positive and sustained effects of interest rates on stock price synchronic will gradually increase.When stock prices fall,the positive and sustained effects of interest rates on stock price synchronic will gradually weaken.Second,the cross-correlation between RMB exchange rate and stock price synchronicity has multiple fractal features.There is a positive cross-correlation between the RMB exchange rate and stock price synchronicity.As the RMB index rises,the stock price synchronicity will increase accordingly;but the positive persistence intensity is volatile.Through the comparative analysis of the loosening of monetary policy and the tightening period,it is found that under the loose monetary policy,the positive impact of the RMB exchange rate on the stock price synchronization is gradually weakened.Under the tight monetary policy,the RMB exchange rate is continuing to the stock price synchronization.The intensity of sexual influence gradually increased.Third,the uncertainty of monetary policy is mainly positive in the short-term and medium-term stock price synchronicity,and the time-varying is strong,while the longterm impact is still positive,but the degree of influence is weak.The short-term and long-term effects of monetary policy effectiveness on stock price synchronicity have significant volatility in both direction and intensity over time.Investor sentiment can suppress stock price synchronicity.The negative impact of investor sentiment on stock price synchronicity is most obvious in the short term and weak in the long run.Fourth,the impact of interest rates on stock price synchronicity is mainly the shortterm and medium-term effects.Upward or downward interest rate fluctuations will have a positive impact on stock price synchronicity,and the immediate impact is mainly through investor sentiment channels.Role;the effect of exchange rate on stock price synchronicity is mainly the positive impact of the current and medium term.The effect of exchange rate fluctuation on stock price synchronicity is relatively stable and has a longer-term effect;the increase of monetary policy uncertainty will promote stock price Synchronization is enhanced,but there is a difference in the degree of influence and duration of action at different points in time.Further considering the impact of different external factors,there are differences in the impact of interest rate,exchange rate and monetary policy uncertainty on stock price synchronicity.更多还原