Experiential Study On The Abnormal Phenomenon Around Takeovers

Chinese stock market was founded in the early 90s in 20 century, during the period,it has developed a lot,its microstructure has been optimized,which has an superexcellence contribution to resource collocation and domestic economy.There remains much more problems unsolved such as abnormal phenomena around takeover anouncements,which is a significant one among them.Abnormal phenomena around takeover anouncements includes abnormal fluctuations of market index. For example, higher-than-normal price and volume precedes first public announcement of a takeover by about seven days. We doubt weather the same occours in domestic market. If it does, how about the characters, backgrounds and mechanism.This paper is organized as follows:In the first section, we should introduce the topic backgroud, main conception\frame, and the innovation.In the second section, we would list the literature review and hypothesis\theory development. We pay more attention to the two classical hypotheses: Illegal insider trading (strategic trading models) and Market anticipation (competitive trading models)The third section outlines the background of Chinese takeovers, and analyses the mechanism behind it We also provide institutional details on takeover legislation and the regulation of insider trading in China.In the fourth section we studies the price-volume dynamics ahead of the first public announcement of a takeover for 108 Chinese firms from 2002 to 2005. The main methodology used to calculate abnormal returns and trading volume is event study, which helps us to gain a outline of the abnormal phenomena.In the fifth section, we use ARMA model to describe the details of index-derectin-trend during the event windows, concentrating on the price-volume aspect.In the sixth section, kinds of ARCH models are used to gain more details about the index-derectin-trend during the event windows.In the seventh section, Panel Data model are used help to detect the main factors that have obvious impacts on abnormal phenomena, including the extent and environmentIn the last section, we would analyse the impact of Chinese security market reformation on its takeover-trading sub-market, with policies to prove the maket effect provided.