Non-symmetry Study On The Impact Of Monetary Policy On Stock Return Rate Of China

Since the reform and opening up, the monetary authorities preclude the use of monetary policy on China has taken a series of macro control measures, in thirty years has accumulated rich experience, and to some extent, been a great success. In the course of the implementation of monetary policy, it has greatly improved operating results, while the central bank also largely increased its use of monetary policy. After the implementation of monetary policy, China’s money market and the capital markets have had a great response, and the effect is significant, while in the capital market, the stock market is subject to the greatest impact, therefore, for the impact of monetary policy, stock market there will be great repercussions. Effect of monetary policy on stock returns, it can make money market and capital market benign interaction, but also be able to promote our country’s financial stability, but also for the operation of economic laws is also a great significance.Many scholars began to pay attention very early on monetary policy issues, research for monetary policy to affect stock returns issue is endless. Prior to this, the problem for many domestic and foreign economists have done a lot of research, however, progress on the research results and research point of view, domestic economists in the study of this issue is still considered not in place, For there are still different views on monetary policy and the analysis of selected metrics Effects of other issues. Therefore, on the basis of the relevant basic theories on monetary policy, starting with the theoretical aspects of the impact of monetary policy on stock returns for the analysis shows that, while the use of data from January 2005 to May 2015, using the markov model Monetary Policy on the Shanghai Composite Index and Shenzhen Composite Index monthly returns monthly yields. According to research data results, the study of the stock market, there are three state mechanism, namely three kinds of market conditions:low loss, low volatility, high yield, low volatility, high losses and high volatility. While the stock market were placed under three state mechanism, further analysis of the asymmetric effect of monetary policy on stock returns. Monetary policy variables we use are mainly interbank interest rates and money supply, the results show that these two variables at different mechanisms affect the rate of return on the stock, and in varying degrees of influence on the display of the asymmetry. Empirical Analysis results are as follows:First, monetary authorities launched the monetary policy, mainly through the impact of interest rates and the money supply impact, a significant impact on stock market returns. The main impact is to generate interest from both listed companies and investors on the stock price impact, on the one hand, we can adjust the ratio of financing costs of listed companies in order to influence stock prices, and thus changes in interest rates; on the other hand, changes in interest rates and We can expect effect, the substitution effect, the cumulative effect of the combined effects of cost-effectiveness and the impact of asset allocation investors, thus affecting the stock market price.Second, there is the state of the stock market mechanism conversion feature, the paper using markov model for the simulation of China’s stock market, China’s stock market analysis results, there are three state mechanism:low loss, low volatility, high yield, low volatility, high losses and high volatility.Third, the impact of monetary policy on the Shanghai Composite Index and Shenzhen Composite Index monthly returns monthly yield asymmetric effect there. According to the data results obtained herein, the stock yields by monetary policy shocks asymmetric reactions are:under different market conditions, lending changes, changes in the money supply monthly interest rate of Bank of Shanghai Composite Index and Shenzhen, respectively, yields KLCI monthly affect yields vary, manifested in the direction of action, the impact strength, the role of a long time and so on.Finally, on the basis of empirical results and theoretical articles on the Markov model, according to China’s monetary policy transmission mechanism and the problems existing in the characteristics of the stock market itself, and put forward several policy recommendations:to strengthen the central bank for monetary Prospects predictive ability of its policies, and can quickly make predictions for the economic situation and response, and to be able to develop according to the reaction of the stock market launch of monetary policy; market-oriented reform of interest rates should continue to strengthen, and should be introduced to a series of related laws regulations; make stock market price discovery function more perfect, the rational allocation of resources; implementation of relevant policies, improve financial services to strengthen the real economy itself, increasing support for small and medium-financial enterprises, the small-scale enterprises by reducing the impact of monetary policy, be able to respond promptly to adverse effects.