Publication Type

Master Thesis

Publication Date



In this paper we examine how stock returns in China respond to monetary policy announcements made by PBC in a short term around announcement day. We employ a nonparametric event-study method to investigate such reactions. We arrive at the following conclusions. Firstly, there is information leakage of monetary policy changes, which is verified by significant changes in stock returns before monetary policy announcement and quitness of stock market after announcement. Secondly, financially constrained and financially unconstrained firms respond quite similarly to monetary policy shocks, which disobeys credit channel of monetary policy transmission in the short run. Thirdly, reserve ratio changes cause stronger responses than loan interest rate changes, which demonstrate power of reserve ratio as a monetary policy instrument.


monetary policy, stock market, financial constraint, event study

Degree Awarded

MSc in Economics


Economic Policy | Economics | Portfolio and Security Analysis


Tse, Yiu Kuen

Copyright Owner and License

Towers Watson, 10th Floor, Fiber Home Building, Youkeyuen, Luoyu Road East Lake, Development District, Wuhan, China 430074