Study On The Asymmetric Effects Of Monetary Policy On Listed Banks' Stock Price In China

Stock market is an important part of capital market and its market value accounts for about 72%of GDP in China.As the proportion of stocks in China's residents'financial assets continue to increase,the impacts of the stock market on China's economy development and residents' life are increasing.China's stock market is characterized as "policy-driven" and "capital-driven" market and Public information such as changes in monetary policy is an important basis on which investors make decisions about investing in stocks,as a result,the reaction of stock market to the changes of monetary policy has also become the focus of scholars' research in recent years.Banks are objects which are directly influenced by monetary policy and the changes in monetary policy will have undeniable impacts on banks' operation and management.The market value of the bank sector accounts for 16.28%of the value of the Shanghai-Shenzhen A-share market,and changes in bank sector could have an important impact on the entire stock market.There are many micro-level differences between state-controlled and non-state-controlled banks due to their different capital attributes,which could make them react differently when there are monetary policy changes.This paper studies the asymmetric effect of monetary policies on the stock price of China's listed banks.By combining qualitative and quantitative analysis methods,firstly,the paper elaborates relevant theories and specific paths about how monetary policy can influence banks' stock price;Secondly,based on the dividend discount model,the paper analyses the differences between state-controlled and non-state-controlled banks in terms of the reaction of stock prices to monetary policy changes and conducts descriptive statistics on the micro-level differences between the two types of banks.On this basis,quantitative analysis is conducted and panel-vector autoregressive model(PVAR)as well as relevant analytical tools are used to test the mid-term and long-term effects that money supply and interest rate have on banks'share prices.Compared with existing researches,this paper mainly conclude the following points of innovations:Firstly,unlike most macroeconomic studies,this paper selects the stock price of the banking sector as the research object,and studies the asymmetrical effects of quantitative and price-based monetary policy on banks' share prices,as well as how monetary policies influence different banks;Secondly,this paper adopts the PVAR model and incorporates monetary policy variables,banks'stock price and banks' risk indexes and return indexes into the model,so as to be able to show the specific transmission mechanism through which monetary policies influence banks' stock prices.This paper selects the growth rate of M2,SHIB OR,listed banks' stock price,non-performing loan ratio and earnings per share as variables,and establishes two PVAR models by grouping banks into state-controlled banks and non-state-controlled banks.With the help of analytical tools like Granger causality test,orthogonal impulse response function,and variance decomposition,this paper have reached the following conclusions:Firstly,the growth rate of M2 and SHIBOR changes will have negative impacts on bank stock prices,and the impact of M2 growth rate is greater than that of SHIBOR;Secondly,non-performing loan ratio and earnings per share have negative and positive effects on stock prices especially,but these effects are not significant;Thirdly,M2 growth rate and SHIBOR have a greater impact on non-state-controlled banks than on state-controlled banks.Combining the current development status of monetary policy,China's stock market and listed banks,this paper makes certain interpretations for the conclusions,and gives relevant policy suggestions from the aspects of monetary policy implementation,banking supervision and the operation management of commercial banks.