An Empirical Analysis Of The Impact Of Monetary Policy On The Liquidity Of China's Stock Market

Stock market is an important part of financial market.The stability of stock market is related to the development of national economy and the construction of market economy in China.Good liquidity is the basis for the healthy development of the stock market.The phrase "liquidity is everything" confirms the importance of liquidity in the stock market.In the event of a stock market crisis,the central bank will launch a variety of rescue measures to stimulate investor sentiment to increase market liquidity.Monetary policy is one of the measures to rescue the market.It can be inferred that there must be a certain connection between the change of monetary policy and stock market liquidity.This requires empirical analysis.When selecting variables,consider To influence the liquidity of many factors,in order to be more targeted,this paper put the stock market return and stock market volatility into the model,so the explanation of liquidity is more persuasive.At the same time,increase the interest rate before and after marketization,monetary policy impact on the stock market liquidity changes.The empirical part of this paper is divided into two parts.The first part is to use VAR model to explain the relationship between monetary policy,stock market return,volatility and stock market liquidity.By Granger causality test,impulse response and variance analysis,we draw a conclusion: the seven-day interbank offered rate,the growth rate of money supply M1,and the stock market yield.The seven-day interbank offered rate in Shanghai is Granger's cause of liquidity changes in the stock market.The seven-day interbank offered rate explains the liquidity of the stock market more strongly than the M2 growth rate of the money supply.The second part is the use of MS-VAR model to explain monetary policy and stock market returns,wave The asymmetric relationship between movement and stock market liquidity change.In the selection of variables,the money supply M2 M 1 growth rate,seven day interbank offered rate,SHIBORE,stock market yield,stock market volatility,stock market liquidity as variables.The state of stock market is divided into three different forms by MS-VAR model,that is,the depressed period,the stable period and the expansion period of the stock market.In these three states,the influence of monetary policy on stock market liquidity is different.The conclusions are as follows: most of the stock market in our country is in a stable state,the duration of the depressed state is longer than that of the inflation state;When the stockmarket is in a downturn,the supply of money is the most significant increase in the liquidity of the stock market;the stock market is in a period of expansion,and the increase of interbank offered rate has the strongest effect on restraining the liquidity of the stock market.