The Split Share Structure Reform Of The Announcement Effect Of The Event Method

Choosing 169 stocks of listed corporations involved in the reform of division of stock ownership as the sample,this paper analyzes the fluctuations of cumulative abnormal returns and abnormal returns resulted by the announcement of the reform.The purpose of this paper is to testify whether there is disclosure shortly before the event date and discrepancy between the Shanghai Exchange and Shenzhen Exchange, and whether the market can react to the announcement quickly enough. Further more, we want to find whether investors are more sensitive to stocks involved in the reform with high level of considerations than those with low level of considerations.The main method used in this paper is Event Study method, which consists of five steps, namely the definition of event, the selection of sample, the calculation of normal and abnormal returns, the statistical test and analysis and the conclusions. Based on such a method, the empirical results indicate that the share market overacts upon the announcement of the reform, especially on the first day before the event date. The investors can get positive abnormal returns significantly different from zero, which implies insider trading activities during days before the announce date. As for days after the event date, the share market can make adjustments towards the price reversely, and the announcing effect can be absorbed within a reasonable period of time. In this word, the whole share market is not absolutely inefficient. As the reform advances, the share market's reaction to the announcement of the reform become even gradually. In other words, the announcement's impact on the market is getting weaker and weaker, which can be released to and absorbed by the market more and more quickly. Further more, statistical test indicates that there is no significant difference between corporations listed in Shanghai Exchange and Shenzhen Exchange, as far as the abnormal return and accumulative abnormal returns concerned. There is no evidence proving discrepancy between the two submarkets. When it comes to stocks with different level of considerations, there is no significant statistically meaningful discrepancy both in the abnormal returns and accumulative abnormal returns. This means the abnormal returns resulted from the announcements are not correlated with the considerations. The investors are not that sensitive to considerations as some other articles said. Maybe it is because the market has former more stable expectations about the reform and investors more rational than the early period of the reform. They are paying more attention to the long-term returns from stocks with better fundamental financial conditions and more potential to develop.