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本文采用事件研究法就我国存款准备金率波动对沪市银行板块产生的影响进行研究。检验结果显示:在货币政策的公布日及执行日当日,银行板块股价指数对上调存款准备金率的货币政策无显著反应;在政策公布日后的时间窗口内,银行板块股价指数的累计平均异常收益率非常显著;而在政策执行日后的时间窗口内,银行板块股价指数平均异常收益率和累计平均异常收益率均不显著。研究结果说明我国股市是弱有效市场,效率有待提高。
This article uses the event research method to study the impact of the fluctuation of the deposit reserve ratio on the Shanghai banking sector. The test results show that on the publication date of the monetary policy and the date of implementation, the banking sector stock price index has no significant reaction to the monetary policy of raising the deposit reserve ratio. Within the time window after the policy announcement date, the cumulative average abnormal earnings of the banking sector stock price index The rate is very significant; and in the time window after the policy implementation, the average abnormal return rate of the banking sector stock index and the cumulative average abnormal rate of return are not significant. The result shows that our stock market is a weak effective market and the efficiency needs to be improved.