China Motherboard And Gem Companies "High Send Turn" Information Disclosure And Comparative Study Of Company's Stock Relationship

The history of China's securities market is relatively short comparing with the history of the securities markets in the western developed countries. Therefore, GEM which is an important financing platform for the SMEs in the foreign mature markets is a fresh and new subject in China. Chinese scholars have rather limited studies on GEM. Meanwhile, the dividend distribution has been always a focusing subject for both domestic and foreign scholars. This article connects the representative subject of high turns in the main board and the dividend distribution. Through analyzing and comparing the abnormal fluctuations of the stock price before and after the high-turn information disclosure in the main board market and GEM from the perspectives of traditional finance and behavioral finance, it tries to find the difference and similarity between them and explain the causing reasons for this phenomenon.Firstly, the article recalls the various theories of dividends in the traditional finance, including MM dividend theory, taxation difference theory, clientele effect theory, signaling theory, agency cost theory, bird-in-hand theory, etc.. Secondly, it gives an overview of self-control theory, mental accounting theory, catering theory of dividends, aversion-to-regret theory, prospect theory and other related concepts from the perspective of behavioral finance. Taking into account that this article is to make a study on GEM, it also makes an introduction of the foreign mature GEM and its features. Thirdly, the empirical study in this article is quantized and tested by the event study. The event study is made on the basis of the historical data before and after an event. By measuring the selected sample's abnormal returns, it analyzes the effect of this event on the sample's asset price. This article selects the data of historical stock prices of the high-turn listed companies in the main board market and GEM of Shenzhen Stock Exchange several days before and after the issuance of high-return announcement in the year of 2010 as samples. It takes the announcement of high-turn plan and the announcement of high-turn implementation as two events. And it takes the time ranges before and after the date of the announcement of high-turn plan and the date of the announcement of high-turn implementation as time windows. Four groups of data are gathered as follows:the stock price reaction within the event window before and after the date of the announcement of high-turn plan in the main board market of Shenzhen Stock Exchange in the year of 2010, the stock price reaction within the event window before and after the date of the announcement of high-turn plan in GEM of Shenzhen Stock Exchange in the year of 2010, the stock price reaction within the event window before and after the date of the announcement of high-turn implementation in the main board market of Shenzhen Stock Exchange in the year of 2010, and the stock price reaction within the event window before and after the date of the announcement of high-turn implementation in GEM market of Shenzhen Stock Exchange in the year of 2010. By making hypothetical test, analyzing and comparing the accumulated CAR of these four groups of data samples, a conclusion can be drawn as follows:no matter the listed companies are in Shenzhen's main board market or GEM, on the date and three days before and after the announcement of the high-turn plan, there are abnormal returns in the company's stock price due to the event. And the fluctuation of the stock price of GEM companies is wider than that in the main board market. On the other hand, three days before the listed company issues the announcement of the high-turn implementation, no matter in the Shenzhen's main board market or GEM, there is no abnormal return due to the event. Only on the date and two days after the issuance of the announcement of high-turn implementation, are there abnormal returns due to this event. And the fluctuation of the stock price of GEM companies is still evidently wider than that in the main board market.Due to the fact that the managing structure of China's listed companies is not perfect and the securities market is not mature enough, the traditional finance theories are limited, to a large extent,, in explaining the abnormal phenomenon of high turns. Another important part of this article is to introduce the theories of behavioral finance. It makes an explanation on the abnormal phenomenon of high turns shown by the empirical conclusion in the hypothetical precondition that the supervisors for listed companies are rational, while the market investors are irrational.In consideration of the actual situation of China's securities market, this article elaborates its argument by using cognition bias, irrational minds, mental accounting theory, wealth illusion hypothesis, over confidence and optimism, the sheep flock effect and other concepts. Comparing with the information delivery and the best deal price range hypothesis of dividend announcement in the traditional finance, these differences in the behavioral finance may be more convincing in explaining the abnormal phenomenon of high turns of China's listed companies. In the end, on the basis of the study conclusion of this article, it provides market supervisors and small and medium investors with feasible suggestions and ideas.It is hoped that by contributing some humble study on the subject of high turns in GEM, this article can provide some suggestions and references for the future further studies in this field.