How does reserve ratio decreasing act on market: Empirical evidence from China

This paper tests whether macro monetary shock will influence stock market. Employing approaches of event study and abnormal returns regression, this paper finds that reserve ratio decreasing does lead to positive abnormal returns, but it works through different channels in each event. Further analyz...

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Bibliographic Details
Published inJournal of applied finance and banking Vol. 9; no. 5; pp. 15 - 25
Main Author Wang, Yuxun
Format Journal Article
LanguageEnglish
Published Athens Scientific Press International Limited 01.09.2019
Subjects
Abnormal returns
Bank liquidity
Cash flow forecasting
Central banks
Discount rates
Economic models
Economics
Efficiency
Efficient markets
Hypotheses
Inflation
Investments
Monetary policy
Price increases
Rates of return
Securities markets
Stock prices
Studies
China
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Summary:This paper tests whether macro monetary shock will influence stock market. Employing approaches of event study and abnormal returns regression, this paper finds that reserve ratio decreasing does lead to positive abnormal returns, but it works through different channels in each event. Further analyzing shows that characteristics of the stock market of China make the differences: market overreacts to unexpected shock and underreacts to expectable event.
ISSN:1792-6580
1792-6599