未預期貨幣政策對中國股票報酬之不對稱影響

Asymmetric Effects of Unexpected Monetary Policy on Equity Returns in China

本研究使用固定與隨時間變動之馬可夫轉換模型，探討非預期貨幣供給成長增加與減少在股市繁榮（boom）和蕭條（bust）時期，對於上海A股和B股股票報酬之影響。實證結果顯示，非預期貨幣供給成長在蕭條時期對中國股市報酬有正面的效果，但在繁榮時期的影響則不明顯，存在著不對稱性。非預期的貨幣供給成長對股價報酬的正向影響可被文獻中所提出的實質活動效果（the real activity effect）解釋。此外，上海B股與A股投資人在蕭條時期對於貨幣當局緊縮政策的看法存在分歧。

This study investigates how Shanghai A-share and B-share returns are affected by China’s unexpected positive and negative money supply shocks during boom and bust markets using Markov-switching models with both fixed and time-varying transition probabilities. We find that the effects of unanticipated monetary policy on Chinese stock returns are indeed asymmetric not only in terms of positive and negative shocks, but also during boom and bust economic states. The real activity effect seems to explain these findings well. Moreover, the B-share investors interpret the tight monetary policy during bust periods differently fromthe A-share in vestors in the Shanghai stockmarkets.