货币政策环境对股票收益率的影响研究——一个基于虚拟变量回归模型的实证分析

摘要

According to the change of the discount rates, the monetary policy environment is divided into two categories ,that is expansive and restric- tive monetary policy environments, on the basis of this, this paper investigate the impact of the monetary policy on China's stock returns. The em- perical results show that the impact of the monetary policy on China's stock return is not significant, it implies that the investors couldnt attain excess return according to the change of the monetary policy environments, at the same time, it also shows that the functions of asset pricing and capital al- location of China' s stock market remains to be further improved.%根据贴现率的变动，将货币政策环境分为扩张性和紧缩性两类，在此基础上就货币政策环境对于中国月度股票收益率的影响进行了实证研究。研究结果表明，总体而言，货币政策环境对于中国股票收益率的影响不显著，这意味着投资者无法根据货币政策环境的变动获取超额收益，这也表明中国股票市场的定价功能和资本配置功能还有待进一步完善。