An Empirical Analysis Of The Influence Of Global Liquidity On China's Multi-level Capital Market

After the economic crisis in 2008,many developed countries implemented quantitative easing policies,which led to an increase in global currency and global liquidity.Global liquidity has flowed into the developing countries of the new economy,which has brought many changes in its asset prices,and has a very important impact on the stock market.The 19th Party Congress proposed to continue to deepen financial reform,promote the development of China's multi-level capital market,and increase the ability to serve the real economy.Based on the above background,this study combines theoretical mechanisms and empirical tests in the study of the impact of global liquidity on stock prices.Transmitting global liquidity to China's multi-level capital markets is divided into inflation rate transmission channel,credit transmission channel,interest rate transmission channel,international transmission channel,and expected transmission channel.Research on the impact of global liquidity on stock prices from different perspectives through various methods.Firstly,the spectrum analysis method is used to test the periodic linkage effect of the impact of global liquidity on stock prices,and the relationship between global liquidity and stock prices can be initially confirmed.It has been found that there is a 3.5-year main cycle of global liquidity in the G4 economies weighted broad monetary measure.The SSE 50 Index,the SME Board and the GEM Index have similar periods with it and are in line with theoretical expectations.Then,using the state-space approach,we examine the impact of global liquidity on China's multi-level capital market prices during the sample period through changes in state variables,and find that the increase in global liquidity generated after the financial crisis affects the price of China's different levels of capital markets.Obviously,the coefficient of the state variable rises when the global liquidity increases,but the degree of influence on different levels of the market is different.Finally,a vector autoregressive model was used to test the spillover effect of global liquidity on China's multi-level capital markets.After empirical findings,Global liquidity has a significant spillover effect on China's multi-level market in terms of exchange rate indicator and the broad weighted currency of the United States,Japan,the United Kingdom,and the European Union,but overall it appears that the short-term impact is more severe than the long-term,and the impact on the growing boards are more severe than that of the main board.