The High-Frequency Responses of China's A-Share Market to Unexpected Monetary Policy Announcements

中央銀行貨幣政策調整的股市價格效應研究－基於A股市場高頻數據的實證分析

10.6545/JFS.2014.22(3).3

盧新生(Xin-Sheng Lu)；寇明婷(Ming-Ting Kou)

貨幣政策 ； A股市場 ； 高頻反應 ； 事件窗口 ； Monetary policy ； China's A-share market ； high frequency responses ； event windows

財務金融學刊

22卷3期（2014 / 09 / 30）

57 - 71

英文

本文通過設計事件窗口分析A股市場對中央銀行貨幣政策調整的反應。採用高頻事件方法使本研究有效避免了貨幣政策與金融市場變量之間的內生性影響，也排除了其他宏觀政策的影響。實證結果顯示，A股市場對貨幣政策調整具有顯著反應，且反應發生在包含政策宣布的事件窗口內；A股市場對貨幣政策調整的預期效應不明顯。

This paper examines the high-frequency responses of the China's A-share market to monetary surprises. The study contributes to the existing literature by designing a series of event windows with tick data, which enables us to solve the endogeneity problem between the financial market and monetary policy. We document a significant policy effect on the A-share market, and find that the most significant responses of the market to monetary policy occur within the event window that contains the policy announcement. Our empirical results indicate that monetary policy is not well anticipated by market participants until the policy releases.

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