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Study of “Tacitus-trap” effect in Chinese stock market. (Chinese. English summary) Zbl 1438.91141

Summary: In terms of the deviation of monetary policy announcement and its expected response in the stock market, this paper identifies and tests the “Tacitus trap” effect in China’s stock market. Firstly, it proposes and defines the Tacitus trap effect in the stock market based on the formation mechanism of government credibility, and further analyzes the mechanism of its happening. Secondly, the paper empirically tests the Tacitus trap effect in China’s stock market using the event study analysis. The ratio of the expected yield to the unexpected yield is taken as the measure of the Tacitus trap effect. It is found that there is the Tacitus trap effect in China’s stock market, which varies with monetary policy tools, policy shifts and the specific time periods.

MSC:

91G15 Financial markets
91B64 Macroeconomic theory (monetary models, models of taxation)
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