An Empirical Study On The Market Effect Of The Split Share Structure Reform

Split-share is a special feature of china's stock market, and the split share structure reform is a unique event of this market. This paper empirically studied the market reaction of the split share structure reform and find the market has significant positive abnormal return and abnormal trading volume.The split share structure reform can be divided into two stages, one is the trial stage of the reform, the other is the comprehensive reform stage. Because the operating procedures and the announcement time of relevant information are different in the two stages, the market reactions to the events in the two stages are also varied. The paper studied two stages of the reform respectively. There are two event-days of the split share structure reform, the announcement day of the reform plan of the split share structure and the execution day of the reform plan of the split share structure, which are analyzed in this thesis respectively. Then we find that the market has strong reactions in abnormal return and abnormal trading volume during the two event-day periods. In the joint analysis of abnormal return and abnormal trading volume, we find abnormal trading volume appears before abnormal return and disappears after abnormal return. The actual reaction window of abnormal trading volume is longer than abnormal return.This paper also analyzed the factors which affect the reaction of abnormal return, and we find that the percentage of bonus shares in the reform plan, the market value of tradable shares, the stock price, the special commitment of non-tradable shareholders and the supporting rate of tradable shareholders to the reform plan are the main factors. Among these factors, the percentage of bonus shares, the stock price and the special commitment have significant positive impacts on the reaction of abnormal return, while the market value of tradable shares and the supporting rate of tradable shareholders have significant negative impacts on the reaction. In the study of comprehensive reform of the split share structure, the paper analyzed the timing of the reform from the perspectives of market situation and market price, and we conclude that the ideal timing of the reform is when the share's market price is high and the market is rising.Lastly, below are the policy suggestions provide by this paper according to the study conclusions, which consists of building information firewall between...