A Empirical Study On The Market Efficiency Of The Split Share Structure Reform

On April 29, 2005, "Notice on Some Questions on the Split Share Structure Reform for Listed Companies" was issued by China Securities Regulatory Commission. The Split Share Structure Reform officially launched. It is the main purpose of the Split Share Structure Reform to raise capital market efficiency. The paper quantitatively assesses the situation of China's capital market efficiency by empirical study, analyzes the main factors which impact China's capital market efficiency, and raises several suggestions about raising China's capital market efficiency. This paper analyzes it from the following aspects.First, the background and significance on the issue of capital market efficiency is pointed out, the related theoretical research is analyzed, and that offers theory and method support for the research of this paper.Second, the part recalls empirical study summarization about the capital market efficiency, especially study summarization about relation between the Split Share Structure Reform and the efficiency market. And that is considered as the research base on the selected issue.Third, this part studies the relation between the Split Share Structure Reform and the efficiency market. It summarizes the Split Share Structure Reform, points out that it is the main purpose of the Split Share Structure Reform to raise capital market efficiency, and analyzes the influence of the Split Share Structure Reform on China's capital market efficiency.Fourth, the part quantitatively assesses the situation of China's capital market efficiency by empirical study. With event study, we empirical study the abnormal return of listed companies of the Split Share Structure Reform in one month fore-and-aft the day when annual statements were announced. Comparing the annual abnormal return, we finally discover that Shanghai stock exchange market, Shenzhen stock exchange market, the main board market and the Small and medium-sized plate market do not reach the half strong type efficiency in 2005,2006,and 2007.Fifth, this part analyzes main factors which impact China's capital market efficiency, and raises several suggestions about raising China's capital market efficiency:developing institutional investors, establishing the restriction mechanism about agency, establishing the mechanism which protects little shareholders, perfecting information revealed system, carrying out product innovation and rich transaction varieties of the stock market.