The Effect Of Monetary Policy On The Stock Mark

Monetary policy transmission theory holds that monetary policy can affect the stock market through changes in interest rate,exchange rate and money supply.But securities investment activity is a person's behavior under certain emotions,not all investors are "rational people".So it is necessary to consider the influence of investor sentiment when studying the stock market.Research shows that investor sentiment can not only change the investment behavior of enterprises and retail investors,but also make financial markets fluctuate.Therefore,it is necessary to study whether investor sentiment has an impact on the transmission of monetary policy.Besides it can provide some theoretical basis for the formulation of monetary policy.From the above considerations,this paper studies starts from the perspective of investor sentiment and selects the monthly data of 92 months from January 2010 to August 2017 to study the relationship among interest rate,exchange rate,money supply,investor sentiment and stock price.Then it discusses whether investor sentiment plays a role in the transmission of monetary policy.First,the text mining method is used to crawl the articles from January 1,2010 to August 31,2017 on sina financial website,and construct the text emotion through the word segmentation,building dictionary and emotion analysis.Text emotion can reflect investor sentiment more objectively.In order to make the investor sentiment is more comprehensive,this article will text sentiment added to the stock trading volume,stock turnover,turnover rate,first-day returns,closed-end fund discount rate,the consumer confidence index and use the method of multiple principal component to construct investor sentiment index.Finally,the classical VAR model is used to study the relationship between interest rate,exchange rate,money supply,investor sentiment and stock return.Through a series of theoretical and empirical studies,this paper draws the following conclusions.First,there is a co-integration relationship between stock price and monetary policy,indicating that monetary policy does have a stock market transmission mechanism,which can stabilize the stock market.Second,in this article,through the study found that when there is investor sentiment,the influence of monetary policy conduction occurs obvious change in the stock market and this will make monetary policy more significant impact on the stock market.In particular,the effect of exchange rate conduction and interest rate is more obvious.Third,the interest rate has agreat influence on the stock market,which is inversely correlated in the short term.As investor sentiment exists,investors will expect and revise the stock price,and the interest rate and stock price show a positive correlation.The narrow money supply has little effect on the stock market,and the overall money supply is positively correlated with the stock price.But the influence of money supply on stock price has certain time delay.Exchange rates also have a bigger impact on equities.Specifically,when the currency appreciates,the stock price rises in the short term.However,stock prices will fall again due to investor expectations and mood swings.Fourth,text sentiment plays an important role in building investor sentiment index.The method of text mining can better reflect the investor's emotional information,and it can objectively express the investor's sentiment towards the macro economy and the stock market.