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We investigate the effects of China’s official interest rate changes on its stock market. We first prove there is a negative relationship between official rate changes and stock returns, as measured by cumulative abnormal returns (CARs). Then, we divide the Chinese stock market into three regimes (bull, medium, and bear) and indicate that official rate changes have asymmetric effects on CARs during different market regimes, although these effects differ from the effects of interest rate changes on the U.S. market. Specifically, official rate changes have the largest negative effects during bear markets and the smallest effects during medium markets
