Central Bank Communication Empirical Study On Stock Market

Before 1990 s, the central bank has been under the veil of mystery, but in recent years, the world’s central banks are constantly improving their public information dissemination and communication. The academic community is also in the study of the central bank to communicate as a guide to the expectations and stability of the financial market policy tools. In the current situation of China’s stock market volatility, how to guide the rational investment of market participants, the stability of China’s stock market, the Central Bank of China is a serious challenge.It is very important to study the influence of the central bank on the stock market.In theory, the central bank introduced the content of communication, objects and methods,and analyzes the impact of central bank communication mechanism on the stock prices and stock market investor behavior.In the empirical aspects, this paper collects the "monetary policy implementation report" issued by People’s Bank of China, the monetary policy committee meeting resolution, the occasional press conference, the financial and economic situation, and People’s Bank of China Governor and monetary policy committee to accept the future monetary policy orientation and the speech and so on, and according to the content of each communication and possible intention to classify.According to the content of each communication and possible intent to classify, based on each communication event for code assignment, with tightening monetary policy communication event gives + 1, with loose monetary policy communication events give 1,with neutral monetary policy communication events give 0. Then the paper EGARCH model in the empirical analysis of the Bank of Communications to the stock market volume, amount,turnover rate, the Shanghai Composite Index daily return rate and the Shenzhen Component Index daily return rate influence.The results showed that:(1) On the whole, China’s central bank communication will have some impact on the stock market, and the direction of the impact is in line with central bank expectations.(2) In the central bank’s communication, oral communication impact on the stock market is greater than written communication.(3) We have the verbal communication divided into the central bank governors of communication and other people’s communication, the results show that the role of the central bank governor is greater than the other people’s communication.