摘要
基于股票市场日内高频交易数据,通过设计不同时间跨度的事件窗口,分析了中国A股市场股票价格对中央银行货币政策调整的瞬时反应模式。结果显示,股票市场对货币政策调整反应显著,且具有持续性特征;反应最为显著的时间区间恰好就在包含货币政策宣布的事件窗口之内,随后逐渐减弱直至消失。实证结果还显示,在目前的政策传导机制下,A股市场对货币政策调整的预期效应不明显。
This study makes a special contribution to the existing literature by designing the ＂event windows＂ with tick data.This method enables us to solve the endogeneity problem between financial market and the monetary policy;it also allows us to separate monetary policy effect from other possible macroeconomic releases.The event-window-method thus provides us an effective technical back up for unbiased estimation of monetary policy effect on the stock market.The authors have documented a significant and persistent monetary policy effect on the A-share market,and find 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 PBC＇s policy releases.Therefore,the authors finally put foward the suggestions.
出处
《山西财经大学学报》
CSSCI
北大核心
2011年第1期40-48,共9页
Journal of Shanxi University of Finance and Economics
基金
国家自然科学基金项目(70871058)
关键词
货币政策
股票价格
瞬时效应
monetary policy
stock price
instantaneous effect
