An Empirical Research of the Impact of Monetary Policy on Stock Market Returns——Based on the perspective of investor structure

This paper analyzes the impact of monetary policy on stock market excess returns and the impact of this influence under investor sentiment. Principal component analysis was used to construct composite retail investor sentiment index and institutional investor sentiment index, using group comparison analysis and multiple linear regression analysis methods. The empirical analysis shows that there is a positive correlation between stock market returns and money supply, and the addition of investor sentiment will increase the extent of this effect of monetary policy on stock market returns and stock market volatility. In contrast, the effect of monetary policy on stock market returns is even pronounced by joining institutional investor sentiment.