货币政策、上市公司筹资与投资者收益交互影响研究——基于我国新冠感染疫情初期的经验证据

The Interactive Effect of Monetary Policy,Listed Companies’Funding and Investors’Returns:With Empirical Evidence in the Early Stage of the Pandemic in China

货币政策多久能传递到资本市场并影响投资者财富是宏微观交叉研究中的重要问题之一。本文选取2020年1月至2021年4月我国沪深两市A股上市公司为研究对象,通过采用PVAR模型实证检验新冠感染疫情下货币政策、上市公司筹资行为与投资者收益的交互影响。研究发现:疫情冲击下,我国货币政策对上市公司筹资净现金流影响的时滞时长为2个月;资本市场投资者收益在货币政策和筹资决策影响下存在一定的动量效应(1个月)与反转效应(2个月)。本研究丰富了已有重大公共安全卫生事件下货币政策对上市公司财务行为时滞影响的相关文献,对政府与企业如何应对突发事件具有一定启示意义。

How soon monetary policy can reach the capital market and affect investors'wealth is one of the important issues in the macro-micro cross-sectional research.With listed companies in Shanghai and Shenzhen stock exchanges from January 2020 to April 2021 as the research object,this paper uses PVAR model and empirically tests the dynamic interaction between monetary policy,listed comnpanies’funding and investors’returns in the early stage of the COVID-19 pandemic.The study finds that under the impact of the pandemic,the time lag of the effect of China's monetary policy on the net cash flow of listed companies’funding is 2 months;and influenced by monetary policy and financing behaviors,investors'returns in the capital market have a certain momentum effect(1 month)and reversal effect(2 months).This study enriches the existing literature on the effect of monetary policy on listed companies’financial behaviors in time of major public safety and health incidents,and enlightens the government and enterprises in their responses to public emergencies.