The Dynamic Correlative Relations between Stock Market and Monetary Policy in China Based on a Comparative Study before and after the Stock Index Futures Was Launched

Abstract

Abstract:

This study empirically investigates the dynamic interacting relationship between stock prices and monetary policy from the perspective of the information spillovers associated with a coherent economic analytical framework comprised of Co-integration, Granger test and MVGARCH model. The empirical results show that a long-run equilibrium between stock market and monetary policy has not changed since the stock index futures was launched, but the Granger causality has changed. The empirical results also show that there is a volatility spillover effect from monetary policy to stock market, and the risk of volatility transmission from monetary policy to stock market is more significant. But the risk spillover between monetary policy and stock market is decreasing after the stock index futures were launched.

Key words: stock market, monetary policy, stock index futures, MVGARCH model

Kou Mingting, Yang Haizhen, Xiao Ming. The Dynamic Correlative Relations between Stock Market and Monetary Policy in China Based on a Comparative Study before and after the Stock Index Futures Was Launched[J]. , 2016, 28(4): 21-29.

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