The Empirical Study Of China's Growth Enterprise Market Of Short-term Abnormal Returns After Sharp Ups And Downs

China's Growth Enterprise Market (short for GEM) is in the early stage of development, its information disclosure and transmission is still incomplete. Greatly affected by environment, habits and psychological factors, investors are usually difficult to make accurate analysis to the market and company information. Therefore, irrational behavior is often demonstrated in this market during investment decisions. Investors tend to adopt short-term speculative trading. When the prices jump, they blind pursuit those hot stocks. So can the short-term speculative investors get returns through this mode? Whether the more frequent transations, the higher income it will be? These questions are full of practical significance, and this article is going to explore on these issues. We know that the past empirical research scarcely study on the Growth Enterprise Market, especially when sharp ups/downs frequently happen. With full account of the emotional and psychological factors of medium and small investments, we will study on the abnormal return through empirical method.We know that the traditional financial theory is based on rational person hypothesis, the market is efficient and securities'prices have fully reflected the information, so investors could only obtain the normal returns which correspond to the level of risk. But in the real deal, the market is not efficient, and irrational behavior of market participants also plays a great influence on the economic activity. So there are lots of anomalies which can not be explained by the traditional financial theory. Therefore, it is necessary to research the abnormal phenomena of China's Growth Enterprise Market with the perspective of behavioral finance. The investment risk is large in that market, sharp ups and downs of stocks can cause strong concerns and preferences. So can the investors obtain additional returns by more attention to those stocks? We calculate the abnormal returns of 58 companies (March 1,2010 listed companies before)by using event study method. Then selecting explanatory variables as size, turnover and BM, we apply regression analysis based on daily transaction data. The result reflects that size and turnover both have positive impacts on abnormal returns, while BM has negative correlation with abnormal returns. The Experimental result also illustrates that sharp ups and downs can produce strong effects on the market; short-term trading strategy can provide excess returns.