Effect of Monetary Policy Uncertainty on Stock Market Volatility

Cui Xiao-tong; Zhao Dong-chen

doi:doi:10.11648/j.si.20221004.12

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Effect of Monetary Policy Uncertainty on Stock Market Volatility

Cui Xiao-tong, Zhao Dong-chen

Published in Science Innovation (Volume 10, Issue 4)

Received: 20 July 2022 Published: 22 July 2022

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Abstract

The good trend of the stock market is an important embodiment of the healthy development of the financial market. In recent years, under the influence of macroeconomic policies and political factors, especially the government's intervention in the economy has increased the uncertainty of monetary policy, which increased the volatility of China's stock market. In order to avoid the drastic fluctuations of the stock market, ensure the smooth operation of China's stock market and promote the development of China's macro economy, this paper analyzes the impact of monetary policy uncertainty on stock market volatility through empirical research. Based on the time series data from January 2010 to April 2020, the paper takes the volatility of CSI 300 index calculated by Generalized Autoregressive Conditional Heteroskedasticity model as a proxy variable of stock market volatility, and the monetary policy uncertainty index based on newspapers as the proxy variable of monetary policy uncertainty. Research shows that monetary policy uncertainty has a positive and significant effect on stock market volatility, and this paper puts forward some suggestions on how to strengthen stock market stability: firstly, to ensure the certainty of monetary policy; Secondly, national regulatory agencies should do a good job in real-time risk monitoring and early warning.

Published in	Science Innovation (Volume 10, Issue 4)
DOI	10.11648/j.si.20221004.12
Page(s)	112-116
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2022. Published by Science Publishing Group

Keywords

Monetary Policy Uncertainty, GARCH(1,1) Model, Stock Market Volatility

References

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[2]	万睿.基于GARCH模型的股价波动预测[J].科技资讯, 2022, 20 (06): 129-132. DOI: 10.16661/j.cnki.1672-3791.2112-5042-3930。
[3]	周德才, 贾青, 李梓玮.基于我国货币政策不确定性的股市波动长短期成分测度研究[J].金融发展研究, 2017 (05): 25-32. DOI: 10.19647/j.cnki.37-1462/f.2017.05.004。
[4]	周学伟, 付巾书, 宋加山.不同的政策不确定性对股市波动影响相同吗？[J].金融发展研究, 2020 (05): 78-85. DOI: 10.19647/j.cnki.37-1462/f.2020.05.013。
[5]	郑振龙, 黄薏舟.波动率预测: GARCH模型与隐含波动率[J].数量经济技术经济研究, 2010, 27 (01): 140-150. DOI: 10.13653/j.cnki.jqte.2010.01.009。
[6]	王朋吾.基于非对称GARCH类模型的中国股价波动研究[J].统计与决策, 2020, 36 (22): 152-155. DOI: 10.13546/j.cnki.tjyjc.2020.22.034。
[7]	夏婷,闻岳春.经济不确定性是股市波动的因子吗?——基于GARCH-MIDAS模型的分析[J].中国管理科学, 2018, 26 (12): 1-11. DOI:10.16381/j.cnki.issn1003-207x.2018.12.001。
[8]	林建浩, 陈良源, 田磊.货币政策不确定性是中国股票市场的定价因子吗?[J].经济学 (季刊), 2021, 21 (04): 1275-1300. DOI: 10.13821/j.cnki.ceq.2021.04.08。
[9]	李诗婕. 不同类型政策不确定性对金融稳定的时变影响与预测[D].上海师范大学, 2021. DOI: 10.27312/d.cnki.gshsu.2021.000392。
[10]	裴斌,乔广宇.不同类型经济政策不确定性与股市关系的差异性研究[J].工业技术经济, 2022, 41 (06): 135-143。
[11]	刘旸,杜萌.经济政策不确定性、货币政策与股票市场流动性——基于TVP-VAR模型的实证分析[J].大连理工大学学报(社会科学版), 2020, 41 (05): 42-50. DOI:10.19525/j.issn1008-407x.2020.05.006。
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Cui Xiao-tong, Zhao Dong-chen. (2022). Effect of Monetary Policy Uncertainty on Stock Market Volatility. Science Innovation, 10(4), 112-116. https://doi.org/10.11648/j.si.20221004.12

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Cui Xiao-tong; Zhao Dong-chen. Effect of Monetary Policy Uncertainty on Stock Market Volatility. Sci. Innov. 2022, 10(4), 112-116. doi: 10.11648/j.si.20221004.12

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Cui Xiao-tong, Zhao Dong-chen. Effect of Monetary Policy Uncertainty on Stock Market Volatility. Sci Innov. 2022;10(4):112-116. doi: 10.11648/j.si.20221004.12

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@article{10.11648/j.si.20221004.12,
  author = {Cui Xiao-tong and Zhao Dong-chen},
  title = {Effect of Monetary Policy Uncertainty on Stock Market Volatility},
  journal = {Science Innovation},
  volume = {10},
  number = {4},
  pages = {112-116},
  doi = {10.11648/j.si.20221004.12},
  url = {https://doi.org/10.11648/j.si.20221004.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20221004.12},
  abstract = {The good trend of the stock market is an important embodiment of the healthy development of the financial market. In recent years, under the influence of macroeconomic policies and political factors, especially the government's intervention in the economy has increased the uncertainty of monetary policy, which increased the volatility of China's stock market. In order to avoid the drastic fluctuations of the stock market, ensure the smooth operation of China's stock market and promote the development of China's macro economy, this paper analyzes the impact of monetary policy uncertainty on stock market volatility through empirical research. Based on the time series data from January 2010 to April 2020, the paper takes the volatility of CSI 300 index calculated by Generalized Autoregressive Conditional Heteroskedasticity model as a proxy variable of stock market volatility, and the monetary policy uncertainty index based on newspapers as the proxy variable of monetary policy uncertainty. Research shows that monetary policy uncertainty has a positive and significant effect on stock market volatility, and this paper puts forward some suggestions on how to strengthen stock market stability: firstly, to ensure the certainty of monetary policy; Secondly, national regulatory agencies should do a good job in real-time risk monitoring and early warning.},
 year = {2022}
}

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TY  - JOUR
T1  - Effect of Monetary Policy Uncertainty on Stock Market Volatility
AU  - Cui Xiao-tong
AU  - Zhao Dong-chen
Y1  - 2022/07/22
PY  - 2022
N1  - https://doi.org/10.11648/j.si.20221004.12
DO  - 10.11648/j.si.20221004.12
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 112
EP  - 116
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20221004.12
AB  - The good trend of the stock market is an important embodiment of the healthy development of the financial market. In recent years, under the influence of macroeconomic policies and political factors, especially the government's intervention in the economy has increased the uncertainty of monetary policy, which increased the volatility of China's stock market. In order to avoid the drastic fluctuations of the stock market, ensure the smooth operation of China's stock market and promote the development of China's macro economy, this paper analyzes the impact of monetary policy uncertainty on stock market volatility through empirical research. Based on the time series data from January 2010 to April 2020, the paper takes the volatility of CSI 300 index calculated by Generalized Autoregressive Conditional Heteroskedasticity model as a proxy variable of stock market volatility, and the monetary policy uncertainty index based on newspapers as the proxy variable of monetary policy uncertainty. Research shows that monetary policy uncertainty has a positive and significant effect on stock market volatility, and this paper puts forward some suggestions on how to strengthen stock market stability: firstly, to ensure the certainty of monetary policy; Secondly, national regulatory agencies should do a good job in real-time risk monitoring and early warning.
VL  - 10
IS  - 4
ER  -

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Author Information

Cui Xiao-tong

School of Economics, Shandong University of Technology, Zibo, China
Zhao Dong-chen

School of Economics and Management, Northeast Agricultural University, Harbin, China

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APA Style

Cui Xiao-tong, Zhao Dong-chen. (2022). Effect of Monetary Policy Uncertainty on Stock Market Volatility. Science Innovation, 10(4), 112-116. https://doi.org/10.11648/j.si.20221004.12

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ACS Style

Cui Xiao-tong; Zhao Dong-chen. Effect of Monetary Policy Uncertainty on Stock Market Volatility. Sci. Innov. 2022, 10(4), 112-116. doi: 10.11648/j.si.20221004.12

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AMA Style

Cui Xiao-tong, Zhao Dong-chen. Effect of Monetary Policy Uncertainty on Stock Market Volatility. Sci Innov. 2022;10(4):112-116. doi: 10.11648/j.si.20221004.12

Copy | Download

@article{10.11648/j.si.20221004.12,
  author = {Cui Xiao-tong and Zhao Dong-chen},
  title = {Effect of Monetary Policy Uncertainty on Stock Market Volatility},
  journal = {Science Innovation},
  volume = {10},
  number = {4},
  pages = {112-116},
  doi = {10.11648/j.si.20221004.12},
  url = {https://doi.org/10.11648/j.si.20221004.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20221004.12},
  abstract = {The good trend of the stock market is an important embodiment of the healthy development of the financial market. In recent years, under the influence of macroeconomic policies and political factors, especially the government's intervention in the economy has increased the uncertainty of monetary policy, which increased the volatility of China's stock market. In order to avoid the drastic fluctuations of the stock market, ensure the smooth operation of China's stock market and promote the development of China's macro economy, this paper analyzes the impact of monetary policy uncertainty on stock market volatility through empirical research. Based on the time series data from January 2010 to April 2020, the paper takes the volatility of CSI 300 index calculated by Generalized Autoregressive Conditional Heteroskedasticity model as a proxy variable of stock market volatility, and the monetary policy uncertainty index based on newspapers as the proxy variable of monetary policy uncertainty. Research shows that monetary policy uncertainty has a positive and significant effect on stock market volatility, and this paper puts forward some suggestions on how to strengthen stock market stability: firstly, to ensure the certainty of monetary policy; Secondly, national regulatory agencies should do a good job in real-time risk monitoring and early warning.},
 year = {2022}
}

Copy | Download

TY  - JOUR
T1  - Effect of Monetary Policy Uncertainty on Stock Market Volatility
AU  - Cui Xiao-tong
AU  - Zhao Dong-chen
Y1  - 2022/07/22
PY  - 2022
N1  - https://doi.org/10.11648/j.si.20221004.12
DO  - 10.11648/j.si.20221004.12
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 112
EP  - 116
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20221004.12
AB  - The good trend of the stock market is an important embodiment of the healthy development of the financial market. In recent years, under the influence of macroeconomic policies and political factors, especially the government's intervention in the economy has increased the uncertainty of monetary policy, which increased the volatility of China's stock market. In order to avoid the drastic fluctuations of the stock market, ensure the smooth operation of China's stock market and promote the development of China's macro economy, this paper analyzes the impact of monetary policy uncertainty on stock market volatility through empirical research. Based on the time series data from January 2010 to April 2020, the paper takes the volatility of CSI 300 index calculated by Generalized Autoregressive Conditional Heteroskedasticity model as a proxy variable of stock market volatility, and the monetary policy uncertainty index based on newspapers as the proxy variable of monetary policy uncertainty. Research shows that monetary policy uncertainty has a positive and significant effect on stock market volatility, and this paper puts forward some suggestions on how to strengthen stock market stability: firstly, to ensure the certainty of monetary policy; Secondly, national regulatory agencies should do a good job in real-time risk monitoring and early warning.
VL  - 10
IS  - 4
ER  -

Copy | Download