Monetary Policy Tick by Tick:Empirical Analysis of Chinas A-Share Market
This paper investigates the impact of Chinas monetary policy changes on A-share market by intraday data,which makes a special contribution to the existing literature by designing the event windows with tick data.This method solves the endogeneity problem between the financial market and the monetary policy,and also allows us to separate monetary policy effect from other possible macroeconomic releases.It thus provides us an effective technical back up for unbiased estimation of monetary policy effect on the stock market.We have found a significant and persistent monetary policy effect on the A-share market,and that the most significant responses of market returns to monetary policy adjustments occur in the event window that contains the policy announcement.Our empirical results also indicate that monetary policy is not well anticipated by market participants until the policy releases.
Monetary policy Chinas A-share market High frequency response
MINGTING KOU XINSHENG LU
Department of Finance Northwest A&F University Yangling,China Department of Business Shanxi Datong I Deprtment of Finance Northwest A&F University Yangling,China Department of Finance Monash University
国际会议
重庆
英文
18-21
2010-09-17（万方平台首次上网日期，不代表论文的发表时间）