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Impact of monetary policy changes on the Chinese monetary and stock markets

Tang, Yong ; Luo, Yong ; Xiong, Jie ; Zhao, Fei ; Zhang, Yi-Cheng

In: Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, no. 19, p. 4435–4449

The impact of monetary policy changes on the monetary market and stock market in China is investigated in this study. The changes of two major monetary policies, the interest rate and required reserve ratio, are analyzed in a study period covering seven years on the interbank monetary market and Shanghai stock market. We find that the monetary market is related to the macro economy trend and we...