货币政策公告、政策不确定性及股票市场的预公告溢价效应——来自中国市场的证据

中国人民银行周期性发布的货币政策相关公告为市场判断货币政策走向提供重要信息。较于实体经济反馈政策信息具有滞后性,股票市场是否在货币政策公告期内及时对政策消息做出反应,即存在公告效应？股票价格是否体现预期货币政策调整带来的不确定性？本文基于2011-2017年A股市场数据,研究我国股票市场在我国货币政策相关公告发布前后几日这一较短窗口区间内的市场反应。结果表明,股市指数在发布货币供应量指标的公告前几天内会出现显著为正的风险溢价,而在指标发布后溢价并不显著,这一现象我们称之为货币政策相关公告的“预公告溢价效应”。本文发现,预公告溢价的产生并非由于市场提前预期到货币政策的走向,而是来源于投资者预先获得了对政策不确定性的溢价补偿。本文进一步就防范系统性风险、从数量型货币政策工具向价格型转变等问题提出了相关政策建议。

Monetary Announcements,Policy Uncertainty,and Equity Premium in China

Since the 2007-2009 global financial crisis and the ensuing worldwide economic downturn, China has implemented a series of policy maneuvers including monetary stimulus to revitalize its financial markets and the economy. Our study examines the performance of China's stock market in the short windows around the central bank PBOC's related announcements. We delve into two important questions. Is the Chinese stock market responsive to announcements of possible changes in monetary policy？ Do equity prices reflect any uncertainty variation associated with potential policy shifts？ The results of this study not only provide additional rationale for PBOC policies that substitute away from quantity-based instruments but also point to a better scheme for providing forward guidance that will stabilize the financial markets without weakening the transmission of China's monetary policy.
Previous research has focused on the ex-post impacts of unexpected monetary policy changes on the real economy and financial markets. Particularly for China, few studies have examined the ex-ante reactions of stock markets to potential changes to monetary policy before the PBOC has announced an updated policy stance. Our study specifically evaluates the performance of China's stock market a few days prior to such announcements, when investors' uncertainty about policy changes is high.
For our sample period from January 2011 to June 2017, we identify 78 PBOC's monthly announcement events during which monetary aggregates data are released. For a window of three days before and after a monetary announcement, we use a dummy regression framework and examine the excess returns of China's stock market constructed from Wind A Share Index, a comprehensive index that covers all of the A shares traded on the Shanghai and Shenzhen exchanges. We are able to document a statistically and economically significant pre-announcement equity premium for China. That is, China's stock market cumulatively builds up gains over a three-day period that reaches its peak on the day of announcement; subsequently, the market flattens out. By looking into the cumulative returns aggregated from the high frequency returns of five-minutes trading blocks, we detect a pre-announcement drift of returns, which is consistent with our regression results.
We then provide evidence that squares well with the implications derived from uncertainty-reduction based theory, which associates equity premium with policy uncertainty. First, our regression analysis shows that equity premium is largely associated with more delayed announcements when greater uncertainty has been accumulated among investors. Second, stock return volatility declines from its peak three days before an announcement. Our results suggest that ex-ante reduction of accumulated uncertainty about policy changes leads to the accumulation of excess returns prior to an announcement. For robustness, we further run estimations of alternative specifications and rule out the channel of “news-effect” as the main explanation. That is, as stock prices jump only upon policy stimulus, equity premium can be realized because investors are informed of good data ahead of time or they simply expect the stimulus ex-ante. The results based on the regression of interaction terms show that the magnitude of M2 growth changes, regardless of whether it is indicative of policy tightening or laxness, does not affect our baseline-estimated size of the pre-announcement premium.
The main contributions of our study are as follows. (1) We are the first to document the pre-announcement reactions of China's stock markets to incoming PBOC's announcements of monetary aggregates data. (2) Our study finds that the size of the pre-announcement premium depends on the relative timeliness of the arrival of public announcements. (3) Exploiting the variation in timeliness across announcement events, we provide empirical evidence of a more general theory that helps rationalize the pre-announcement premium found both in China and the U.S.
Our findings have important policy implications. (1) PBOC should quickly adopt price-based policy instruments. We show that announcements of monetary aggregates data, the key quantity-based instruments, destabilize the financial markets by triggering cyclical fluctuations between months. In contrast, real-time information about interest rates should be readily accessible to the financial market, which would help to prevent investors from building up too much policy uncertainty, which may lead to financial turmoil. (2) PBOC could design a better scheme for its forward guidance and communications with the market. For example, it can largely mitigate the extra market volatilities driven by unexpected delays of data release by pre-fixing and pre-informing the market of announcement dates.