This paper examines the high-frequency responses of the China's A-share market to monetary surprises. The study contributes to the existing literature by designing a series of event windows with tick data, which enables us to solve the endogeneity problem between the financial market and monetary policy. We document a significant policy effect on the A-share market, and find that the most significant responses of the market to monetary policy occur within the event window that contains the policy announcement. Our empirical results indicate that monetary policy is not well anticipated by market participants until the policy releases.