The Market Response Of Social Security Fund Investment Information

Social security fund is administered by the National Council for Social Security Fund. In order to increase the Fund’s assets value, the government stipulates certain percentage of social security fund for entering the stock market. Invested in capital markets for about ten years, social security funds has obtained a higher yield on the premise of ensuring risk management, but it also has exposed some problems that must be solved. Typical problems in the capital markets are characterized by inadequate information disclosure system, imperfect monitoring mechanisms, low transparency in investment management, especially shareholding information disclosure mechanism which is the investors concern most about. At the same time, investors seriously questioned the resulting efficiency of capital market for a pension fund holding shares in listed company’s bandwagon. Therefore, based on the current situation of China’s capital market, exploring the market response of capital market for pension fund stock holdings can not only provide recommendations for the management of social security fund investment mechanism, but also intuitive explanation of stock price fluctuation patterns upon notifications of change in the majority of investors shareholdings to facilitate investor’s rational investment, but also make suggestions for China’s capital market regulation.This paper analyzes the causes of market reactions to shareholding information based on effective market hypothesis and asymmetric information theory, current situation in China capital markets and absorption and reference of both at domestic and overseas existing researching. It also selects listed company data for empirical research to study market reactions to social security fund holding information. Moreover, it makes policy recommendations and states its limitations in research and future research direction based on its conclusions.Part Ⅰ, introduction. This section focuses on motivation and significance of the paper, research areas and positive contributions, which are bedding to later sections. Part Ⅱ, related theories and summary of literature. This section first introduces related theories about market reaction and then analyzes theoretically based on research aim. Moreover, this section makes review from both domestic and overseas research achievement on the social security fund investment in capital markets and market reaction. At the end of this section, it presents the writer’s own understanding of this three-part based on reference and absorption of the current research.Part Ⅲ, research and design. This section, on the basis of analysis of the main theories in Part Ⅱ, describes the research design of market response to social security fund’s stock holdings. It mainly consists of four parts including research assumptions, research items and data selection time window, research methods and data selection.Part Ⅳ, empirical research. This section includes the main descriptive statistics of the variables, observation of sample among the sectors and observed samples and control samples are tested, sector variance impact on stock holdings and market research sector within the National Social Security Fund’s stock holdings to group multiple regression analysis of reaction. Finally use variable substitution method for robustness testing.Part Ⅴ, conclusion and revelation. Mainly, this section includes conclusions, research findings, research gaps and further research directions.