The Impacts Analysis Of Monetary Policy Adjustment On Stock Market Liquidity

The development of China’s stock market has been exceptionally rapid, since the split share structure reform, during the process, liquidity plays an integral role, which is the reason that the liquidity is concerned for a long time by the monetary authorities and practice investors, especially at the time of the financial crisis, the monetary authorities took a variety of monetary policy measures to stabilize the financial markets and the real economy. The main purpose of this study is to explore and analyze the actual impact of the adjustment of monetary policy on the stock market liquidity, then provides for the currency authorities and practice investors rationalization proposals.In order to have full access to the specific impact of monetary policy on the stock market liquidity, when measuring the monetary policy, this paper,firstly, use the simple Taylor rule to measure the change direction of the7-day inter-bank interest rate which is a represent variable of the monetary policy, by then to measure the tendency of the monetary policy; Meanwhile, measure another proxy variables of China’s monetary policy---the trend of money supply by the growth rate of the monetary base. When measuring the stock market liquidity, this paper designs five liquidity indicator variables. Through using the model of VAR links the monetary policy proxy variables and stock market liquidity indicator variables to carry out a detailed analysis of its intrinsic relationship, come to a general conclusions that the loose monetary policy makes the stock market liquidity enhancements, while tight monetary policy reduces stock market liquidity. However, the effects of monetary policy has been weakened to some extent, this study further detailed analyze the reasons of the weakened monetary policy. This article also, respectively, from the point of view of dynamic and static, analyzes the impact of monetary policy on the stock market liquidity. Dynamic, though the model of C-GARCH, make empirical analysis explain the impact relationship between the volatility of liquidity indicators and monetary policy adjustment factor,draw the obvious effect of monetary policy on the volatility of stock market liquidity, and there is an asymmetric effect; Static, base on the event study analysis and the ARIMA model, through analyzing and contrasting the stock market liquidity indicators before and after the monetary policy events announcement to measure the specific impact of monetary policy on the stock market liquidity. As can be seen from the conclusions, part of indicators’cumulative abnormal change rate is more obvious, but to some extent, there is still room for improvement for the predictive models of this article’s, which also provides the possibility for this article’s not accurate empirical effect.On the whole, the article uses the research mode of theoretical basis--empirical analysis--conclusion analysis summarizes. Theoretical analysis makes the article have corresponding theoretical support, empirical analysis, to some extent, verify the article’s theoretical analysis, but only general conclusions it gets, due to the effects of monetary policy has been weakened. Conclusions and summaries make comprehensive analysis on the base of theoretical and empirical analysis, not only analyze the reasons of the effects of monetary policy being weakened, also according to the empirical effects, provide some related proposals for management authorities and investors to refer。...