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从世界范围来看,我国证券市场属于新兴资本市场。所以从实践来看,宏观经济政策调控会对证券市场产生影响,其传递路径主要通过对投资者心理产生作用,进而会影响到投资者价值与价格的比较判断,最终导致证券市场的非正常波动。本文在结合国内外研究的基础上构建基于最小二乘的多元回归模型研究货币政策公布效应。研究结果显示:投资者心理指标的变动与证券指数有显著的相关性,而货币政策的调整幅度、虚变量市场状态对应的P值大于对应的显著性水平α,显示货币政策信息公布时点及调整幅度在市场处于牛市或熊市下不能一致性地产生溢价收益。
From a global perspective, China’s securities market belongs to emerging capital markets. Therefore, from a practical point of view, macroeconomic policy control will have an impact on the securities market. Its transmission path mainly affects investors ’psychology, thereby affecting the comparison and judgment of investors’ value and price, which eventually leads to abnormal fluctuations in the securities market . Based on the domestic and international researches, this paper constructs a multivariate regression model based on least squares to study the effect of monetary policy announcement. The results show that there is a significant correlation between the change of investors’ psychological indicators and securities index, while the adjustment of monetary policy and the corresponding P-value of market state of dummy variables are greater than the corresponding significance level α, indicating the time of announcement of monetary policy information and Adjustments can not be consistently generated premium income when the market is bullish or bearish.