关键词: 货币政策, 投资者情绪, 价格波动性, 中国股票市场

Abstract: The reaction of the stock market to monetary policy has always been an important issue for government regulatory departments, investors and academics. When investors have irrational psychological preferences such as optimistic or pessimistic mood, the effect of monetary policy on the stock market should be different from that when investors are completely rational. Therefore, systematically and deeply researching the relationship among monetary policy, investor sentiment and volatility of stock market is of great academic and practical significance. It will contribute to improving the government's regulatory efficiency on the stock market and ensuring Chinese stock market to healthily and stably development. First, referring to the utility measuration method of Holmstrom and Milgrom (1987), using interest rate as monetary policy variable, and taking the utility maximization as the investors' decision objection, the mathematical model is constructed to theoretically research the effect mechanism of monetary policies and investment sentiment on the volatility of stock market under the hypothesis conditions that investors are risk averse and have optimistic or pessimistic emotion. The results of theoretical model show that the volatility of stock market is positively related to investor sentiment and negatively related to interest rates. In addition, investor sentiment would weaken the regulatory function of monetary policies on the volatility of stock market to a certain extent, and make the actual reaction of stock market to monetary policies deviate from the regulation target of monetary policies. Then, the short-term Haodan index surveyed by Stock Market Trend Analysis Weekly is used to construct investor sentiment indicator. Taking the SHIBOR (Shanghai Interbank Offered Rate) and the net currency issuance of Chinese open market as monetary policy indicators, the ARCH model is setting up to empirically test the results of above-mentioned theoretical model based on the weekly data of Chinese stock market from October 2006 to September 2014. The empirical results show that the SHIBORs would have significantly negative effects on the volatility of Chinese stock market, and the investor sentiment and the net currency issuance of Chinese open market would have significantly positive effects on the volatility of Chinese stock market. The volatility of Chinese stock market when investors are optimistic would be significantly greater than that when investors are rational and pessimistic. The reasonality and correctness of the above-mentioned theoretical model are further proved by these empirical results. In this paper, the investor sentiment is introduced to a new analysis framework to disclose the effect mechanism of monetary policies on stock market, and clarify the reaction behavior characteristics of stock market to monetary policies under the condition that investors are irrational such as optimistic or pessimistic. The theoretical and empirical results of this paper provide reasonable explanations to the monetary policy effects of Chinese stock market which are not accord with the traditional financial market theory based on the perspective of investor sentiment, and supplement and enrich the system of behavioral finance theory based on the operating practices of Chinese stock market to a certain extent.

Key words: monetary policy, investor sentiment, price volatility, chinese stock market