The Effects of Monetary Policy on the Stock Returns of Different Financially Constrained Firms: An Empirical Analysis of the Chinese Case

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Many economists worked on the issue of relationship between stock returns and financially constrained firms. Ehrmann and Fratzscher (2004) examined U.S. data and concluded that monetary policy changes affect financially constrained firms more strongly than unconstrained firms. However, there is no analysis regarding the Chinese market. This paper adopts Ehrmann and Fratzscher (2004)'s methodology framework on Chinese market. We use 5 indexes to measure firm's financially constrained degree and give 5 hypotheses based on these indexes. We find that stock returns in the Chinese stock markets are significantly affected by monetary policy shocks. We also confirm that monetary policy shocks affect the stock returns of individual stocks in a strongly heterogeneous fashion that reflects the different degrees of financial constraints that firms may face. The overall results are similar with the U.S.'s case. However, we also find some results inconsistent with our hypotheses unexpectedly. Some new findings are given on Chinese market in this paper. Meanwhile, this paper contributes the methodology by introducing cumulative abnormal return analysis to eliminate the effects from people's expectation on monetary policy changes.

収録刊行物

  • 経済科学

    経済科学 62 (2), 31-47, 2014-12-25

    名古屋大学大学院経済学研究科

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