货币政策对股票市场与股指期货市场联动性的调节效应研究

Research on the Regulatory Effect of Monetary Policy on the Linkage between Stock Market and Stock Index Futures Market

在货币政策对金融市场的调控作用下,以及股票市场与股指期货市场联动关系的基础上,本文以沪深300股指、沪深300股指期货与银行间同业拆借利率作为研究对象,运用VAR-DCC-TGARCH模型探讨货币政策对股票市场与股指期货市场带来的影响,同时对两个市场联动关系的调节效应进行研究。实证表明:货币政策有利于减缓股票市场与股指期货市场之间相互冲击的程度,能够加快两个市场达到新的平衡状态;货币政策增强了股票市场与股指期货市场之间的联动关系,并使股票市场与股指期货市场之间的联动关系更加稳定;货币政策的调控有利于消除股票市场中信息的非对称性,也减弱了股指期货市场中信息的非对称性。因此,央行应适时推出货币政策,促进金融市场的健康稳定发展。

Based on the regulation of monetary policy on financial market and the linkage relationship between stock market and stock index futures market,this paper takes Shanghai and Shenzhen 300 stock index,Shanghai and Shenzhen 300 stock index futures and interbank lending rate as research objects,and uses VAR-DCC-TGARCH model to discuss the influence of monetary policy on stock market and stock index futures market,and to study the regulation effect of linkage relationship between the two markets.The empirical results show that monetary policy is conducive to slowing down the degree of mutual impact between stock market and stock index futures market,and can accelerate the two markets to reach a new equilibrium state;monetary policy enhances the linkage between stock market and stock index futures market,and makes the linkage between stock market and stock index futures market more stable;the regulation of monetary policy is beneficial to eliminate the asymmetry of information in stock market and weaken the asymmetry of information in stock index futures market.Therefore,the central bank should introduce monetary policy in time to promote the healthy and stable development of the financial market.