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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | How Does the Stock Market React to Window Guidance? A Case Study of Window Guidance on Mortgages in China 2017 |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 38 |
| Date | 2020 |
| Abstract Text | Using search engine results as an indicator, this paper explores a new method to identify window guidance event. Narrative approach and bank mortgage rate are added to complete the identification of a window guidance event in March 2017. An event study is conducted to study the market reaction to window guidance. Empirical results show that the market does not necessarily agree with the signal that window guidance delivers. In the event identified, the abnormal return is higher for the banks that have higher mortgage size increase when window guidance intends to cool the market down. Other side findings include that the market might react in a delayed and long-lasting manner to window guidance, which might be due to the asymmetry information between the market and the words or deeds of window guidance. |
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