The Asymmetric Impact of U. S. Monetary Policy Uncertainty on the Chinese Stock Market:Evidence Based on Mixed-frequency Data
Based on the perspective of information shock,the uncertainty of U. S. monetary policy is devided into"bad news"and"good news",and the Realized GARCH model constructed by the 5 minute high-frequency trading data of the Shanghai Composite Index and the Information Impact Curve is used to analyze the characteristics of Chinese stock market. The empirical research shows that Chinese stock market is asymmetric,and bad news is greater than good news for the impact of the stock market returns. Further,the GARCH-MIDAS-RV model is used to analyze the impact of U. S. monetary policy uncertainty on the Chinese stock market,and it is found that the impact on the Shanghai Composite Index yield was significant-ly negative. The conclusion is robust.
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