Table 12 China–cumulative averaged abnormal returns (CAARs) over the 5-day event window per monetary policy announcement category
Policy category | CAAR value (%) | Pos: Neg CAR | Number of CARs | Patell Z | Csect T | Generalized sign Z | Generalized rank Z | Skewness corrected T |
|---|---|---|---|---|---|---|---|---|
Interest rate | 0.25 | 37:95 | 132 | 7.42E − 02 | 4.86E − 01 | 3.82E − 06 | 1.89E − 01 | 4.56E − 01 |
Foreign exchange | 1.17 | 59:29:00 | 88 | 7.98E − 06 | 1.20E − 03 | 2.00E − 04 | 5.49E − 06 | 2.00E − 04 |
Foreign Ccy deposit req ratio | 1.54 | 11:00 | 11 | 9.60E − 02 | 3.67E − 02 | 6.00E − 04 | 3.00E − 03 | 1.90E − 03 |
Lending operations | − 0.45 | 33:66 | 99 | 7.50E − 03 | 5.35E − 02 | 3.60E − 03 | 5.00E − 04 | 7.03E − 02 |
Reserve policy | − 1.02 | 20:35 | 55 | 2.50E − 03 | 2.58E − 02 | 9.98E − 02 | 6.30E − 03 | 2.45E − 02 |