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

Hyeyoen Kim, Junyeup Kim, Jaeram Lee and Doojin Ryu

Applied Economics Letters, 2014, vol. 21, issue 18, 1257-1261

Abstract: 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).

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2014.920472 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:21:y:2014:i:18:p:1257-1261

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2014.920472

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().