政策调整对股票市场波动的影响

The Impact of Policy Adjustment on the Stock Market Volatility

以利率调整、存款准备金率调整、货币供应量变动作为货币政策调整变量,以印花税调整和财政支出变动作为财政政策调整变量,来研究股票市场的波动,分析了单个政策调整对股票市场波动的影响和政策调整组合对股票市场波动的影响。研究发现,单一货币政策中存款准备金率调整对股票市场波动性影响显著,而利率调整对股票市场波动性影响不显著。单一财政政策中印花税调整在中期对股票市场波动性影响显著。不考虑宏观经济指数变动时,只有利率调整对股票市场波动性的影响显著为负向,印花税调整和存款准备金率调整对股票市场波动性影响不显著;考虑宏观经济指数变动时,三个政策调整对股票市场波动性的影响不显著。不论是否考虑宏观经济景气指数的变动,财政支出变动对股票市场波动的影响显著负向,货币供应量变动对股票市场波动的影响显著为正。

With interest rate adjustments, the deposit reserve adjustments, changes in the money supply as mo- netary policy adjustment variable, stamp duty adjustments and changes in fiscal spending as fiscal policy adjustment variable, the Shanghai Composite index fluctuations as stock fluctuation variables, this paper analyzed the impact of a single policy adjustments and the policy adjustments combination on the stock market volatility. The study found that： as a single monetary policy, the deposit reserve ratio adjustment has significant effect on the volatility of the stock market, while the interest rate adjustments do not significantly affect the volatility of the stock market, as a single fiscal policy, stamp duty adjustment has significant effect on the volatility of the stock market in the medium term ; if we don＇ t consider the changes of macroeconomic indicators, only the interest adjustment has significantly negative effect on the stock market volatility, while the effect of Stamp Tax and deposit reserve adjustment on the stock market fluctuations was not significant. When considering the changes in c indicators, three policy adjustments had no significant effect on the volatility of the stock market. Whether or not to consider the changes of macroeconomic climate index, adjustment in fiscal spending has a significant negative impact on the fluctuations of stock market, while the changes in the money supply has significantly positive effect on the volatility of the stock market.