The impact of monetary policy on banking and finance stock prices in China

被引：3

作者：

Kim, Hyeyoen ^{[1
]}

Kim, Junyeup ^{[2
]}

Lee, Jaeram ^{[3
]}

Ryu, Doojin ^{[1
]}

机构：

[1] Chung Ang Univ, Sch Econ, Seoul 156756, South Korea

[2] Kyung Hee Univ, Grad Sch Pan Pacific Int Studies, Gyeonggi Do, South Korea

[3] Korea Adv Inst Sci & Technol, Coll Business, Seoul, South Korea

来源：

APPLIED ECONOMICS LETTERS | 2014年 / 21卷 / 18期

关键词：

Chinese market; market efficiency; monetary policy; required reserve ratio; E52; G14; G15; G18; RESERVE REQUIREMENTS; MARKET; TRANSMISSION; VOLATILITY; EFFICIENCY;

D O I：

10.1080/13504851.2014.920472

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this study, we examine the impacts of changes to the required reserve ratio (RRR) on banking and finance stock prices in China from 2007 to 2012 using multiple variance ratio tests and vector error correction models. The efficient market hypothesis is rejected during the earlier increases in required reserve ratio (2007-2008) in the Shanghai A-market, and A-share prices negatively respond to increases in RRR. In contrast, both Shanghai A- and Hong Kong H-markets are efficient, and negative effects of RRR are not clearly observed during periods of stable RRR (2009-2010) and during a recent increase in RRR (2010-2012).

引用

页码：1257 / 1261

页数：5

共 15 条

[1] Monetary policy shocks in the new EU members: a VAR approach [J].