股票市场对货币政策的反应一直是政府监管部门、投资者和学术界关注的重要问题。本文首先在假设投资者风险厌恶、且存在乐观和悲观情绪的条件下，以利率为货币政策变量，以投资者效用最大化为决策目标，建立数学模型从理论上研究货币政策和投资者情绪对中国股票市场波动性的影响机理；其次，以2006-2014年期间的中国货币政策数据、投资者情绪数据和股票市场指数收益数据为样本，对理论模型所得结果进行实证检验。理论和实证研究结果表明，中国股票市场价格波动性与投资者情绪正相关，与市场利率负相关；投资者情绪在一定程度上弱化了货币政策对股票市场波动性的调控作用，进而使得股票市场对货币政策的实际反应偏离了货币政策调控目标。论文研究结果基于投资者情绪视角对中国股票市场不符合传统理论的货币政策效应做出了合理解释。
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.
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