The Asymmetric Effects of Official Interest Rate Changes on China's Stock Market During Different Market Regimes

被引：4

作者：

Lv, Xin ^{[1
]}

Dong, Weijia ^{[2
]}

Fang, Fang ^{[3
]}

机构：

[1] Beijing Inst Technol, Ctr Energy & Environm Policy Res, Sch Management Econ, Beijing 100081, Peoples R China

[2] Nagoya Univ, Grad Sch Econ, Chikusa Ku, Nagoya, Aichi 4648601, Japan

[3] Beijing Normal Univ, Sch Econ & Business Adm, Beijing 100875, Peoples R China

来源：

EMERGING MARKETS FINANCE AND TRADE | 2015年 / 51卷 / 04期

关键词：

China's stock market; cumulative abnormal returns (CARs); Markov regime-switching model; official interest rate; MONETARY-POLICY; INVESTOR SENTIMENT; RETURNS; PRICES; NEWS;

D O I：

10.1080/1540496X.2015.1047305

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the effects of China's official interest rate changes on its stock market. We first prove there is a negative relationship between official rate changes and stock returns, as measured by cumulative abnormal returns (CARs). Then, we divide the Chinese stock market into three regimes (bull, medium, and bear) and indicate that official rate changes have asymmetric effects on CARs during different market regimes, although these effects differ from the effects of interest rate changes on the U.S. market. Specifically, official rate changes have the largest negative effects during bear markets and the smallest effects during medium markets.

引用

页码：826 / 841

页数：16

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