An Analysis Of The Effects Of Monetary Policy On Stock Price Synchronicity

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.