股票市场上利率政策公告效应实证研究

An Empirical Analysis of the Announcement Effect of the Interest Policy on the Stock Market

货币政策信息作为一种对整个市场或者整个行业都产生影响的宏观信息以及同时为市场参与者获知的公共信息,其信息的公布必将对股票市场的价格行为产生影响。把利率政策作为货币政策信息的代表,可以用来测度利率政策公告的即期效应,借鉴这样的思路,我们选用事件研究法方法来研究我国存贷款利率调整对股票市场的公告效应,发现存贷款利率调整宣告会对股票市场的价格和波动产生显著的影响,但利率调整宣告对股票市场的影响并不确定。

As a macro-information to whole market or industry and public information to participants in market,the announcement of monetary policy information would affect the price behavior of stock market.In this paper,we use interest policy to replace the monetary policy,to measure the immediate effect of the announcement of interest policy,also analyze the behavior change of the stock price near the announcement day.Drawing such ways,we take event study method to research the announcement effect of interest rates adjustment in deposits and loans.We find that the announcements of the interest rate adjustment in deposits and loans produce significant effect to price and volatility of the stock market,but the effect is not determined.