The Research On The Impact Of Central Bank Communication On The Stock Market Based On High Frequency Data Of Stock Index

With the deepening of financial globalization, information and networking, the economic and financial environment in various countries is becoming more and more complex and changeable. In the frequent occurrence of the financial crisis and other special financial environment, the traditional monetary policy tools frequently failure. But with the popularization and development of the information technology and the Internet, it has strengthened the connection between the macro policy makers and the economic entities. The expected management model of central bank communication has become a new tool for monetary policy management to adapt to the era of Internet information technology, to promote the orderly development of financial markets. This paper combines the qualitative analysis, theoretical analysis and empirical analysis to analyze the pathway and mechanism that how the central bank communication effects on the stock market, and use the event study method on the relationship between the two is an empirical test.Based on the existing research at home and abroad, this paper take through the expected management and information disclosure two channels to analyze the transmission mechanism that how central bank communicate effects on stock market. And, the paper innovatively expounds announcement effect and days effect under high frequency data. The central bank communication events are divided into loose, tight and neutral three categories. This paper empirically tests the impact of the central bank's communication on the stock market by using the five min high frequency trading data of the stock index. At the same time, this paper divides the stock market into a bull market and bear market, to explore the effect of the central bank communication in different market conditions. The main conclusions obtained in this paper are as follows:first, the days of absolute returns and trading volume series in our stock market showing the "U" shape, which in a certain extent that low frequency data in stock market often overshadowed some relevant information. Second, the stock market from 2007 to 2014 can be divided into 2 bulls and 3 bear markets by using the BB method. Third, the central bank communication can significantly guide the stock market toward the desired direction change under the high frequency data. But the influence of different communication intention on the stock market is asymmetric. Fourth, under the high frequency data, days effect between central bank communication and stock market is not obvious. But the t test and Wilcoxon test results prove that the central bank communication can not have a significant effects on the stock market in the whole event day. Fifth, stock market quotation can significantly affect the effect of the central bank's information communication on the stock market. There is a big difference in the effect of the stock market on the same type of central bank communication intention,by the bull and bear market.