The Impact of the Announcement of Open Market Operations on the Behavior of Stock Market: Empirical Research on the Basis of High Frequency Data

Based on MRR structural model and Generalized Method of Moments(GMM)estimation,the impact of the announcement of open market operations on the behavior of stock market is studied from two aspects,namely,the asymmetric information and the cost of liquidity.The results show that the extent of asymmetric information is not changed.The extent of asymmetric information increases and the cost of liquidity decreases in 30 minutes after the announcement.The result is not changed even when the exact content of open market operations is considered.