日本货币政策对股票收益率的影响

The Impact of Japanese Monetary Policy on Rate of Return in Stock Market

本文选取安倍政府宣布实施质化量化宽松政策以来3次代表性的货币政策公告,运用事件分析法,考察这些事件对日本股票市场的短期影响。实证结果表明3次事件对日本股票市场存在显著的正向影响,并且在3次事件发生期间,日本股票市场累计超额收益率的走势几乎一致。在运用同样的实证方法检验中国货币政策对股票市场的影响时发现,刺激性政策对股票市场存在显著的负向影响。研究表明,日本央行明确的政策取向和持续的预期管理是其货币政策对股票超额收益率产生正向影响的主要原因。在当前中国股票市场价格剧烈波动的背景下,日本央行的这一经验值得中国央行和监管部门借鉴。

This paper selected three typical monetary policy announcements since the quantitative and qualitative monetary easing in Japan. By using event study, this paper analyzed the short - term impacts of these three events on stock markets. The results showed：all three events had significant positive impacts on domestic stock market, during the events, the cumulative abnormal returns appeared to move consistent- ly. With the same method, Chinese monetary policy has a significant negtive impact on the stock market. We reach a conclusion that an explicit policy orientation and continuous expectation management would deepen the monetary policy impact on the stock market. In the context of the acute fluctuation in current Chinese stock market, the experience of Japanese Bank is worthy of learning.