Table 9 China—averaged abnormal returns (AARs) over each day of the 5-day event window per monetary policy announcement categorisation

Interest rate policy events

− 0.06%

0.03%

− 0.03%

0.01%

0.29%

Positive: negative AARs

71:61

53:79

66:66

51:81

37:95

Patell test

4.35E − 01

6.63E − 01

8.06E − 01

7.58E − 01

3.26E − 06

Generalized sign Z test

1.93E − 01

6.67E − 02

6.67E − 01

2.91E − 02

3.82E − 06

Cross sectional test

4.89E − 01

7.84E − 01

7.60E − 01

9.29E − 01

1.45E − 01

Generalized rank Z test

4.22E − 01

3.05E − 01

7.85E − 01

2.56E − 01

4.92E − 01

Skewness corrected test

4.65E − 01

7.52E − 01

7.84E − 01

8.74E − 01

1.07E − 01

CDA test

3.70E − 03

1.06E − 01

1.68E − 01

5.02E − 01

8.43E − 38

Foreign exchange policy events

0.39%

− 0.05%

0.60%

0.16%

0.07%

Positive: negative AARs

50:38

40:48

63:25

44:44

45:43

Patell test

7.40E − 03

9.74E − 01

2.47E − 07

1.68E − 01

4.64E − 01

Generalized sign Z test

6.87E − 02

7.53E − 01

4.30E − 06

5.90E − 01

4.52E − 01

Cross sectional test

3.50E − 03

6.01E − 01

1.76E − 06

3.78E − 01

5.47E − 01

Generalized rank Z test

2.17E − 02

8.85E − 01

3.42E − 09

1.11E − 01

5.02E − 01

Skewness corrected test

9.00E − 04

5.99E − 01

2.83E − 07

3.64E − 01

5.35E − 01

CDA test

1.99E − 25

1.38E − 01

2.13E − 47

2.29E − 06

4.45E − 02

Foreign currency req ratio events

0.05%

0.91%

0.84%

− 0.57%

0.31%

Positive: negative AARs

5:6

10:1

10:1

1:10

10:1

Patell test

7.60E − 01

4.26E − 02

3.62E − 02

7.95E − 02

2.95E − 01

Generalized sign Z test

8.58E − 01

4.50E − 03

4.50E − 03

9.50E − 03

4.50E − 03

Cross sectional test

7.27E − 01

7.67E − 02

1.89E − 02

4.00E − 04

5.13E − 02

Generalized rank Z test

2.36E − 01

3.82E − 02

5.38E − 06

6.05E − 06

5.00E − 04

Skewness corrected test

7.93E − 01

9.90E − 03

2.00E − 04

5.00E − 04

1.99E − 01

CDA test

8.62E − 01

5.00E − 04

1.40E − 03

2.97E − 02

2.42E − 01

Lending operations policy events

− 0.23%

0.05%

− 0.01%

− 0.09%

− 0.17%

Positive: negative AARs

38:61

52:47

52:47

47:52

32:67

Patell test

2.80E − 03

6.91E − 01

8.80E − 01

2.39E − 01

3.94E − 02

Generalized sign Z test

5.65E − 02

3.63E − 01

3.63E − 01

9.23E − 01

1.80E − 03

Cross sectional test

3.26E − 02

6.71E − 01

9.14E − 01

4.39E − 01

4.87E − 02

Generalized rank Z test

1.30E − 03

5.92E − 01

7.58E − 01

2.67E − 01

1.10E − 03

Skewness corrected test

4.37E − 02

6.71E − 01

8.72E − 01

4.66E − 01

8.89E − 02

CDA test

9.52E − 21

3.00E − 02

5.43E − 01

2.00E − 04

1.72E − 12

Reserve policy events

− 0.13%

− 0.10%

− 0.23%

− 0.21%

− 0.35%

Positive: negative AARs

19:36

23:32

20:35

19:36

13:42

Patell test

8.20E − 01

2.76E − 01

1.18E − 01

1.59E − 01

1.41E − 02

Generalized sign Z test

5.54E − 02

4.03E − 01

9.98E − 02

5.54E − 02

4.00E − 04

Cross sectional test

3.77E − 01

5.43E − 01

1.50E − 01

1.97E − 01

0.00E + 00

Generalized rank Z test

4.72E − 01

3.19E − 01

3.79E − 02

6.08E − 01

1.04E − 07

Skewness corrected test

3.14E − 01

5.30E − 01

1.82E − 01

8.66E − 02

4.28E − 06

CDA test

6.10E − 03

3.11E − 02

4.09E − 06

0.00E + 00

3.34E − 12