The Research On Short-term Influence Of Non-tradable Share Conversions To Shareholder Wealth Effect

The split-share reform is one of the most far-reaching influence reform measures in China’s securities market, it eliminates the difference between tradable and non tradable shares in circulation system and makes the shares which originally cannot be listed gradually gaining circulation right. However, at the beginning of the reform, some shares of the listed companies was made a limitation on the listing circulation date, thus non-tradable shares came into being which became remaining problems of the split-share reform. On June17,2006, sany heavy industry as the first pilot company started to unlock the non-tradable shares, since then non-tradable shares gradually entered into a circulating state.Non-tradable share conversions makes a lot of non-tradable shares circulate to the secondary market, broking the equilibrium of supply and demand of the stock market.The stock market will face enormous expanding pressure, which affects the healthy and stable development of China’s stock market to a certain extent. From individual investors to institutional investors, shareholders’wealth will surely be affected by different degree before and after the non-tradable share conversions. How to analyze and identify the non-tradable share conversions and find countermeasures has become an important task at present. On the base of summarizing former research on non-tradable share conversions, this paper adopts the methods that combine the theoretical analysis and positive analysis, the qualitative analysis and the quantitative analysis, starting from the origin of the non-tradable share conversions, the course, scale and theoretical impact on the entire stock market, we carry on the analysis to the present situation of the non-tradable share conversions, and select285listed companies as examples to study the short-term wealth effect of the non-tradable share conversions.Short-term shareholder wealth effect refers to the extra earnings to shareholders brought by fluctuation of stock prices triggered by various security market factors.We chose the data of the listed companies that had the non-tradable share conversions from January2008to June2013as a research sample.First using the event study method to calculate the cumulative excess return, analyzing the shareholder wealth effect in different markets.And then establishing the multiple linear regression model, meanwhile, using SPSS software to descriptive statistics and regression analysis to release the proportion, the average turnover rate, total assets, price-to-book ratio and net assets yield impact on shareholder wealth effect. The research draws the following conclusions:(1) Before the unlock of the non-tradable share, the overall sample stock market wealth effect is negative, proving that market is strongly influenced by the news effect and market expectations; After release, the market gradually digest the negative expectation and panic psychology, the stock price return to normal level.;(2) The non-tradable share conversions have different effect on the wealth effect of the stocks;(3) From an overall perspective, there is a positive effect of excess returns on stock samples of non-tradable share conversions, the results is better than market expectations;(4) Regression analysis showed that he proportion (RATIO) has a negative correlation with shareholders wealth, indicate the size of non-tradable share conversions have negative impact on shareholder wealth. At the same time, the wealth effect of non-tradable share conversions significantly affected by the overall economic situation and market environment. Finally, put forward the corresponding policy recommendations.