Abstract: Compared with mature capital market, the transmission mechanism between asset price and monetary policy in the New Third Board Market is more complicated. By establishing a VAR model of the stock price index and money supply of the New Third Board, this paper uses Granger causality test to analyze the relationship between the New Third Board securities market and money demand structure in order to test the applicability of money supply in the process of central bank regulating the securities market. The results show that the influence of money demand structure factor on the index of New Third Board Market is still in a weak stage. The influence of New Third Board Market′s index on the speculative money demand is greater than the investment money demand, which shows that the transmission mechanism of monetary policy is not smooth in China′s New Third Board Market. Policymakers should regularly investigate the changes of monetary demand according to the development of the securities market and the changes of the macroeconomic situation. By improving the liquidity of the emerging securities market and strengthening the supervision of the listed companies in New Third Board Market, the New Third Board Market is better able to shoulder the mission of providing support for the investment and financing of small and medium-sized enterprises in China.

Key words: the index of the New Third Board, money demand structure, impulse response function, Granger causality