Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode
Yunpeng Sun and
Additional contact information
Yunpeng Sun: Subject Group of Economics and Finance, Portsmouth Business School, University of Portsmouth, Portsmouth PO1 3DE, Hampshire, United Kingdoms
Xueying Wang: Subject Group of Economics and Finance, Portsmouth Business School, University of Portsmouth, Portsmouth PO1 3DE, Hampshire, United Kingdoms
Asian Economic and Financial Review, 2018, vol. 8, issue 6, 745-761
This study uses Markov switching vector autoregression (MS-VAR) model to explore the asymmetric effects of China?s monetary policy on the stock market in the bull market and the bear market. With China?s economy in a rapid development, China?s stock market as the main representative of the virtual economy has attracted large assets. Since 1990 to the present, China?s stock market has experienced several times states? change between the bull market and bear market. The results indicate that China?s quantity-based direct instrument and price-based indirect instrument have asymmetric effects on the stock market in the bull market and the bear market. Moreover, the relationship between China?s economy and stock market exist a degree of dichotomy. Furthermore, China?s monetary policy has stronger effects on the bull market than the bear market.
Keywords: Chinas monetary policy; Chinas economy; Stock market; Bull market; Bear market; Quantity-based direct monetary instruments; Price-based indirect monetary instruments; Asymmetric effects; MS-VAR model. (search for similar items in EconPapers)
JEL-codes: E52 G10 C50 G12 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:2018:p:745-761
Access Statistics for this article
Asian Economic and Financial Review is currently edited by Dr. Qazi Muhammad Adnan Hye
More articles in Asian Economic and Financial Review from Asian Economic and Social Society 2637 E Atlantic Blvd #43110 Pompano Beach, FL 33062, USA.
Bibliographic data for series maintained by Chan Hoi Yan ().