China's stock market is the central bank's monetary policy announcement effect \
|School||University of Electronic Science and Technology|
|Keywords||Announcement effect Deposit reserve ratio RMB deposit and lending benchmark interest rate Lag response Early response|
This article mainly on China 's stock market reaction to the monetary policy of the central bank ( ie, the People's Bank of China ) , mainly in China by empirical data research exists stock market on the central bank's monetary policy announcement effect . The paper selected research monetary policy including the deposit reserve ratio and RMB deposit and lending benchmark interest rate three examine the period from May 1993 to January 2008 . We find that in the entire study period the deposit reserve ratio \This conclusion the root cause of the deposit reserve ratio is a quantity-oriented monetary policy tool , while the benchmark interest rate of RMB deposit and lending a price-based policy instruments . In the second half of this article , when the changes in the benchmark interest rate for the RMB deposit and lending into positive change and negative change independently investigated and found that the positive impact of the change on the stock market is far greater than the negative impact of the change on the stock market , the main reason for this conclusion is very different economic environment in which these two changes . The results of this study also showed that even if all market participants are trying hard to predict the central bank 's monetary policy , but the market is still react to the announcement of the central bank . Therefore, the adjustment of the central bank's monetary policy still contains some new information , which does not contain new information which in the current stock price .