The Research Of The Influence That Information Of Stock Right Reformation Exert On The Liquidity And Volatility Of The Stock Market In China

The split share reform of the listed company started from 2005. It is a institutional reform to settle the problem of split stock share in the stock market of China. The reform settled the institutional problem, releasing the 2/3 stock which is not current to the market. The situation of different participators will be changed, it will be a shock to the stock market. Different from the research which is focus on the ratio of payment of stock share and the protection of the current share stockholders, this dissertation starts from the micromechanism of stock market to do some research about the impact of split share reform on the stock market.Using affair research method, correlative statistical method and time series model, the dissertation discusses the unbalance of information after and before split share reform starts. The information of split share reform would arose the change of liquidity and volatility through the act of bargainer.There are some results we found though the research. First, there is some overacting in stock market about the information of split share reform. Second, investors pursue the profit before split share reform instead of the profit after it, therefore, the investment behavior is irrational and shortsighted. Third, the pertinence of stock liquidity and price are minus, the pertinence of stock liquidity and the amount of current stock are plus. Fourth, the information of split share reform impact on the volatility through the fluctuation of price and the anticipation of investors. Volatility has the most impact on itself, the information passes fast. The turn (an index of liquidity) has a strong impact on the change of volatility. The information passes fastest, but the time is relatively short. Because investors have different information, they behave differently in buying and selling stock, and the difference result in the change of the stock volatility.The dissertation has five parts. The first part introduces the background of the split share reform. The second part introduces some correlative theories and the main thesis of liquidity and volatility made by scholars all over the world. The third part researches the impact of information on the liquidity and volatility in stock market. The fourth part use time series method and VAR model to research causality between liquidity, excess return and the index of volatility, reveal the impact structure of all the variables. The fifth part made conclusions and propose some relative measures and suggestions.