| Since the latter half of the 2010,the consumer price index(CPI)of our country are all up to 4.5% per month, The CPI of the June almost up to 6.4%. On account of the increase of the inflationary, people's bank of china raise the ratio of deposits six times since the start of this year.The stock market is the one of the transmit channel of monetary policy, the behavior of the stock market will reflect the effectiveness of the monetary policy in some degrees after it be executed. this article will study the different of the expected return, liquidity and volatility of the stock market between the before and after the increase of ratio of deposits, the anticipate of the study result will clarity the effect to stock market of the monetary policy, it has the realistic and directive significance to disclose the efficiency of the monetary policy indirectly.First, we analyzed the current situation, explanation on the necessary of the change ratio of deposits, Second, it analyze the theory and transmit regime of legal reserve policy that central bank applied. Then we investigated the economic effect of this adjusting policy and pointed out the limitation of this kind of policy. These give the essential foundation for the following quantitative analysis.We study twelve times reserve adjustment event from July 2006 to June 2011 and use the event study on the rate of return, liquidity and volatility of the stock market, Empirical test the impact of policy changes on the stock market, provide some indirect evidence to reveal the effects of policies. Empirical test results show that: Raising the deposit reserve rate can cause a very significant decline in stock market liquidity, increased volatility, and decline the rate of return of the stock market close to significance in the context. |
