Research On The Effect Of Requipment Reserve Ratio Change On The Stock Price Of Listed Commercial Banks In China

In recent years，the People′s Bank of China frequently adjust the requirementreserve ratio to regulate the amount of credit.The adjustment of reserve requirementratio changed the amount of commercial banks′funds available,and affect theiroperating conditions and profitability though a series of conduction mechanism ofmonetary policy.This paper, on account of the event study method, choosing theadjustment of the reserve requirement ratio between September15,2008andFebruary18,2012as the event, observed and studied the transformation of thesotck price of16listed commercial banks. Then，We calculated the expected returnsof the commercial banks within the estimation period [-110,-10], and the abnormalreturns within the events period[-10,10]. For the expected returns, we choose themarket adjustment method to estimate.The research results show that，within9trading days before the announcementof the rising of the reserve requirement ratio to7trading days after theinformation[-9,7]， the cumulative abnormal return of the listed commercial banks isnegtive. It has a negative impact on the stock price of the listed commercialbanks.Within1trading day after the announcement of the dropping of reserverequirement ratio to10trading days after the information [1，10]，the cumulativeabnormal return of the listed commercial banks is positive.It has a positive impact onthe stock price of the listed commercial banks. In addition, We grouped the largecommercial banks and the small and medium-sized commercial banks.The resultsshow that the cumulative abnormal returns of the small and medium-sizedcommercial banks caused by the information of the adjustment of the reserverequirement ratio is more obvious.The effect of the event on the small andmedium-sized commercial banks is more notable.