选取多种利率指标和上证综指，运用基于VECM的Granger因果关系检验、脉冲响应分析方法，从宏观与微观、静态与动态、短期与长期层面，系统地对股改前后货币市场及股票市场的关联性展开研究。通过股改前后两阶段对比发现：货币市场与股票市场关联性从无发展为低度负相关，即关联性增强，并具有时滞性和非对称性特点。同时发现，同业拆借市场较回购市场与股票市场的关联更显著。最后提出建立更多合规的货币市场和股票市场间资金流动渠道等政策建议。%Based on the turning point of the non-tradable shares reform,this paper discusses the linkage between the money market and the stock market in China from the perspective of the macro and micro,static and dynamic, short-term and long-term. With a series of interest rates and the Shanghai Composite Index,it employs a battery of approaches, including the correlation analysis, the Granger causality test based on the VEC model, the impulse response analysis and the Johansen Co-integration test,to conduct the related research. The results indicate that the linkage between the money market and the stock market,with the features of time-lag and asymmetry,enhances slightly. In the end,this paper puts forward the policy suggestions that the Chinese government should build more legal money movement channels between the money market and the stock market and so on.
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