Financial market is a key link in the monetary policy transmission mechanism. Investigating the stock market effect of information communication, a new monetary policy tool, is of great significance for understanding the effectiveness of monetary policy and maintaining financial stability. Among various communication methods, the verbal communication of the governor of the central bank is the most timely and authoritative. This article uses a supervised dictionary analysis method to conduct all oral communication incidents of the governor of the People’s Bank of China from January 2003 to February 2019. The research results show that the stock market effect of central bank governors’ information communication is mainly reflected in the impact of intra-day price fluctuations and yield volatility, and this volatility effect has multiple levels of heterogeneity. From the perspective of communication content, compared with economic situation communication, monetary policy communication has a more significant impact on the volatility of stock market returns. From the perspective of communication, communication about monetary policy tightening tends to cause greater volatility than communication with loose tendencies. From the perspective of timeliness and pertinence, central bank communication has anticipatory management functions, but there is still obvious room for improvement, especially on the day of communication, which intensified the volatility of stock prices, and the impact was less than actual intervention.