The impact of the Central Banks interest rate hike on Chinas stock market

摘要：

Applying the event study method based on a GARCH model, this paper analyzed how the Central Bank influenced China stock market by consecutively interest rate hike. In addition, it was also studied that how quickly and strongly China stock market responded to these policies implemented by the Central Bank. In this way, we can check the efficiency of stock market.Empirical study results showed that interest rate hike has a certain impact on stock market. Although the market generally presenting the beneficial reaction and the early reaction for many times, the accumulative domino effect gradually became evident, all of which restrainod the excessive development of stock market.

关键词： Interest rate hike stock market event study GARCH model

作者: Liu Weiqi Zhang Yun

作者单位: School of Management,Shanxi University,Taiyuan,P.R.China

会议类型: 国际会议

会议名称: International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)

会议地点: 上海

会议语种:英文

页码: 177-181

在线出版日期: 2008-06-01（万方平台首次上网日期，不代表论文的发表时间）