Research On The Asymmetric Effect Of China's Monetary Policy On Stock Returns In Different Industries

The research on the influence mechanism of monetary policy on stock market has always been a hot topic in macro and financial field.In existing studies,researchers tend to view the stock market as a whole and directly analyze the role of monetary policy in the overall stock market.But in fact,the stock market has been developing towards fine and multi-level,and investors are more concerned about the industry characteristics of a single stock when they invest in it.Thus it is of great necessity to study the asymmetric impact of monetary policy on stock yields.There are few domestic studies into the asymmetric impact of monetary policy on stock market particularly on stock yields.On the basis of existing research at home and abroad,this paper will analyze and elaborate the asymmetric influence of monetary policy on stock returns of different industries from both aspects of theory and practice.The theoretical analysis of this paper will start from the basic theory of monetary policy to mainly analyze the influence mechanism of stock returns from three aspects,namely,money supply(M2),interest rate(R)and credit(LOAN),and from the industry element intensity and industry scale aspects to analyze the asymmetric effects of monetary policy on different industries.In the empirical analysis of this paper,we have used the stock market index data of year 2006-2017 from 300 industries in Shanghai and Shenzhen to build an VAR model to study the asymmetric influence of China's monetary policy on stock returns of different industries.The empirical results show that the monetary policy proxy variable M2,R and LOAN have the same influence on the different industry indexes of the stock market,but the impact range and duration are different.From the M2's response perspective,the index of capital intensive industries such as telecommunications,financial,material and energy has a large influence on the peak of M2,while non-capital intensive industries like public sector and consumption has a weak influence on it.From the response of R,it can be seen that the response time of all industry indexes to interest rates is significantly longer,and the response of energy and information industry on the peak is larger,while the peak response of consumption,industry and public industry to R is relatively small.And from the perspective of the response of the LOAN,smaller industries such as medicine,material and telecom industry have a larger peak response to LOAN,while the peak response oflarge scale industries such as finance and industry to LOAN is relatively small.In general,this asymmetry is closely related to industry size,capital intensity and external dependence.In addition,there's a policy delay on the influence of monetary policy on the stock price index,which has a long-term effect on the index of industry stock return.Finally,based on the non-symmetry influence of monetary policies of the stock returns of different industries,this paper puts forward relevant countermeasures and suggestions in order to help the macro-economic control and investors' decision-making.