Analysis Of Plate Phenomenon In China Securities Market

There is a very typical plate phenomenon in China’s stock market, the stocks in plate that subject to the impact of an event show the following characteristics:(1)、the overall performance of the plate rosing,(2)、comovement conspicuous of the stocks in plate, (3)、the most high yield of plate changing quickly.Comovement is a typical phenomenon in securities markets. It refers to patterns positive correlations of return among different traded securities. This paper expatiate the fundamentals and behavioral theories of such comovement and distinguish two common sources of such comovement:fundamentals-based comovement and behavioral-introduced comovement.In this paper,the characteristics of plate phenomenon were tested by Event Study. I selected 16 plates as samples. First, by analysis of empirical results, we can see that the CAR and AAR of 16 plates are all significantly greater than zero. So the first characteristic of plate phenomenon can be proved. Second, by analysis of correlations among stocks in plate, we can see that the stocks in plate show high positive correlation. So the second characteristic of plate phenomenon can be proved. At last, this paper tests the nature of plate phenomenon. By analysis of empirical results, we can see that fundamentals-based comovement and behavioral-introduced comovement all exist in plate phenomenon of China securities market.In the last, this paper explains the formation mechanism of plate phenomenon by using theory.