金融学院知识库

       经济政策的变动会引起宏观经济形势的变化，这种变化会通过直接或间接的 方式传递到股票市场中。其中，货币政策作为宏观经济政策的重要组成部分，其 变动牵动投资者情绪，影响股市收益。中国股市的小额投资者占比大，他们对不 确定性更加敏感，这增加了股市中非理性投资行为发生的可能性，从而引起股票 价格的异常波动，影响股票收益。因此，货币政策变动、投资者情绪与股票收益 之间有紧密联系。

       本文以货币政策为代表，研究经济政策不确定性对股市收益的影响机制，将 货币政策不确定性、投资者情绪和股市收益放入时变参数向量自回归模型研究三 者之间的动态关系，检验变量间的冲击影响强度以及冲击持续时间的差异性。在 明确变量间的时变关系后，以第三章关于货币政策不确定性对投资者情绪以及股 市收益影响的论证为基础，研究以投资者情绪为中间变量的货币政策不确定性对 股市收益的影响过程。关于各变量替代指标的选择，货币政策不确定性指数使用 货币维度的 EPU 指数表示，构建 CICSI 指数作为投资者情绪的代理指标，股市 收益用上证 50 指数收益表示，样本区间为 2004-2022 年的月度数据。最终得出 结论如下：1.货币政策的不确定性对上证 50 指数收益有负向影响。2.货币政策不 确定性对投资者情绪有负向影响，这种影响在短期最为明显。3.投资者情绪与上 证 50 指数收益存在正向影响，投资者情绪短期内对股市收益波动的影响都是正 向的。4.投资者情绪在货币政策不确定性对上证 50 指数收益的影响过程中起到 中介作用。

      Alterations in economic policy cause the change of macroeconomic situation which can be seen in the stock market directly or indirectly. Notably, monetary policy as an important part of macroeconomic policy, its changes affect investor sentiment and further stock market returns. There are large number of minority investors in China who are sensitive to uncertainty in stock market, which increases the possibility of irrational investment behavior, causing abnormal fluctuations of stock prices and affecting stock returns. Therefore, there is a close relationship between monetary policy changes, investor sentiment and stock returns.

      This paper investigates the influence mechanism of the economic policy uncertainty on stock returns, represented by monetary policy. Monetary policy uncertainty, investor sentiment, and stock returns are put into a time-varying parametric vector autoregressive model to study the dynamic relationship among them, examining the intensity of the shocks’ impact between the variables and the variability of the shocks’ duration. After clarifying the time-varying relationship between the two variables, the impact process of the monetary policy uncertainty on stock market returns is investigated, based on the investor sentiment as an intermediate variable and the arguments in Section 3 that the impact of monetary policy uncertainty on investor sentiment and stock market returns. Regarding the selection of each variable proxy, the monetary dimension EPU index is used to represent the monetary policy uncertainty index, while the investor sentiment index is expressed by constructing index as a proxy, the stock market return is shown by the SSE 50 index with the sample interval of monthly data from 2004 to 2022. Finally, the conclusions are as follows: Firstly, monetary policy uncertainty has a negative impact on the return of SSE 50 index. Secondly, monetary policy uncertainty has a negative impact on investor sentiment, and this impact is most pronounced in the short term. Thirdly, investor sentiment has a positive correlation impact with the return of SSE 50 index returns, and the impact of investor sentiment on stock market return volatility is positive in the short term. Forthly, sentiment serves as a mediator in the impact process of the monetary policy uncertainty on the return of SSE 50 index.