Based On The Shanghai Composite Index After The Sharp Fluctuations In The Stock Of Short-term Behavior

Stock price behavior after large price changes, such as the randomness, reversal, continuations and cyclical of stock price, have been studied for several years by Western scholars. In China, stock price reactions after China's macro or micro information released have been researched for years. In this paper, based on the preliminary method, stock price behavior after large changes of Shanghai Stock Index between 2007 and 2009, have been researched with event study.First of all, abnormal returns(ARs) have been investigated respectively with CAPM model, Fama-French three-factor model and the GARCH(1,1) model. By comparing the results under different models, stock price behavior under different models don't have significant difference:when the Shanghai Composite Index rise(fell) sharply, the short-term price continuations exist in the event's limit-on stock (limit-down stocks), and no significant price reversal have been found in the event window period.Secondly, stock price behaviors have been studied in different sub-interval, the stock price behaviors in different sub-range have no significant differences, however the short-term price continuations exists in the event's limit-on stock (limit-down stocks), and no significant price reversal have been found.Finally, following large price changes in the Shanghai Composite index, short-term price behavior are different in different industry indexes. When the Shanghai Composite Index fell sharply, short-term price continuations have been found in all industry indexes; however when the Shanghai Composite Index rise sharply, short-term price continuations only appears in the industrial index and the composite index, and no significant abnormal returns have been found in other industry indexes.