The Correlation Analysis Of China's Stock Market Volatility And The Factor Of Money Supply

With the flow of hot money, expectations of RMB appreciation is rising.How to adjust the money supply and regulate the liquidity, and then pull the real economy, monetary authorities must pay attention to these questions.Whether the money supply factors have influence on the fluctuation of stock price,how the utility of the money supply factors on the stability of macroeconomic,and whether the price of the stock market and the money supply exists high correlation.These questions have been hot topics for monetary regulatory authorities and market.Focus on these problems, the article has carried on the theoretical and empirical aspects of the inquiry.First of all, the article using the basic statistic compare the volatility of Shanghai and ShengZhen stock index and the fluctuation the rule of our country stock market and international markets.Construct GARCH models to analyze the data to reflect the characteristics of the stock market fluctuations.Secondly, the article adds interest rates and hot money into the currency supply factors based on the volatility of stock index,so giving full consideration to the correlation among monetary supply factors,macroeconomic variables and stock index. Construct the SVAR model and use co-integration analysis, Granger causality test and impulse response function to make the empirical analysis.The empirical conclusion is divided into two levels.The first level can concluded that:the two stock markets have the obvious fluctuation;at the same time, stock market volatility has asymmetry, namely the degree of the impact of the positive and negative information is different.In the second level,through the analysis of impulse response function,we find that the responce of stock price index to Ml is very shot and week.At the same time, the responce of Ml to stock price index is large,but the effect will disappear in a long time.CPI and stock price index can cause a sharp influence from each other.Drawn on the empirical conclusion,the article also puts forward several policy suggestions in the end.