The impact of the Central Bank's interest rate hike on China's stock market

摘要

Applying the event study method based on a GARCH model, this paper analyzed how the Central Bank influenced China stock market by consecutively interest rate hike. In addition, it was also studied that how quickly and strongly China stock market responded to these policies implemented by the Central Bank. In this way, we can check the efficiency of stock market.Empirical study results showed that interest rate hike has a certain impact on stock market. Although the market generally presenting the beneficial reaction and the early reaction for many times, the accumulative domino effect gradually became evident, all of which restrainod the excessive development of stock market.