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- W2392799930 abstract "There is no consensus so far on the question of whether monetary policy has any impact on stock price.This study employs DCC-MGARCH to calculate the dynamic correlation coefficient between monetary supply and interest rate and the return rates of Shanghai and Shenzhen stock markets respectively.Then it uses MS-VAR to analyzes the relationship between the dynamic correlations between monetary policies and the return rates of Shanghai and Shenzhen stock markets and the features of stock markets.The empirical study shows that the correlation between monetary supply and stock market is greater than that between interest rate and stock market,and that when the stock market undergoes slight fluctuations and prices go up the positive correlation between stock market return rates and monetary supply is higher;otherwise it is lower.When the stock market suffers a downturn and fluctuations are slight the negative correlation between stock market return rates and interest rate is higher;otherwise it is lower." @default.
- W2392799930 created "2016-06-24" @default.
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- W2392799930 date "2011-01-01" @default.
- W2392799930 modified "2023-09-26" @default.
- W2392799930 title "Dynamic Correlations between Monetary Policy and Stock Returns:An Empircal Study Based of DCC-MGARCH and MS-VAR" @default.
- W2392799930 hasPublicationYear "2011" @default.
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