Research On The Impact Of Expected And Unexpected Money Supply On Chinese Stock Price

With the rapid development of Chinese economy,Chinese capital market has also got a rapid development.However,compared to west developed countries,Chinese stock market started late,and the market is still imperfect.Speculation still widely exists in the stock market.Most part of the investors is still individuals.In addition,Chinese central banking system just has a short history,lack of experience,and it is still in the stage of development.It has not yet formed a mature monetary policy system.Therefore,this paper will conduct a preliminary study on the relationship between Chinese monetary policy and stock prices.Using the proxy variable of M2 as Chinese money supply,using all comprehensive stock index and the industrial stock index as the variable of the price of Chinese stock market.Then study the effect of expected and unexpected changes of the money supply on Chinese stock market price.In 2010,Chinese stock market has introduced CSI 300 stock index futures.And in 2011,Chinese central bank has redrawing the statistical caliber of the M2,so this paper will divide into two periods,2003 to 2009 and 2011 to 2017.By using ARIMA model and recursive regression method,the money supply is divided into expected and unanticipated changes.Our study has found that between 2003 and 2009,Chinese money supply is expected and unexpected changes on the effects composite index in 10%significance level,and the impact of unexpected money supply on different industrial stock price is significant.But 2011 later,the expected impact has disappeared,only the impact of unexpected money supply is still significant.But all the effects on the stock price have reduced.May be due to the launch of stock index futures in 2010 and the statistical caliber of M2 has changed.