Study On The Market Reaction Of Corporate Social Responsibility Information Disclosure

Since the reform and opening-up，our economy has been developed rapidly andachieved remarkable success. However, associated with the excessive pursuit of fasteconomic development, problems like resource wastes, employment pressures andenvironmental deterioration arise. How to realize the harmonious developmentbetween the man and the nature has gradually drawn attention from multiple interestgroup. The melamineincident of YiLi in2008and the Donation Affairs of Wanke inWenChuanearthquake both caused severe social influence. The public whileconsuming the products and service provided by the enterprises, place high hopes onthe enterprises to undertake social responsibility, which indicates a growing publicdemand for the social responsibility information..Moreover, the ShenzhenStockExchange and the ShanghaiStockExchange successively issued social to releaseregulations forcing part enterprise issue social responsibility report. There is anupward trend Voluntary for the quantity of enterprises who volunteered to disclosetheir corporate social responsibility report atthesametime.Now that, thepublic,enterprises and supervisiondepartment pay close attention to corporate socialresponsibility simultaneously, Here we’re wondering if the disclosure of corporatesocial responsibility can cause corresponding reaction in capital market.To answer this question，we select300listed companies from The CSI300indexas our research object,which cover12industries and six fold value of our capitalmarkets.Although there is no unique standard of social responsibility report wechoose the annual financial report as our information source due to thecomparability and reliability. Financialdata that can reflects the social responsibilitywas screened out and put into the self-constructed formula to calculate howenterprises contribute to each relevant stakeholder; Based on the previous research,this paper selects cumulative abnormal return (CAR) as the proxy variable ofmarket reaction and choose five days before and after the announcement of financialreport as time window. Regression analysis was conducted on the correlation betweenthe social responsibility undertaken by the listed companies for their stakeholders andthe company’s CSR for stock to measure the reaction of the market to the disclosureof social responsibility information.The statistical analysis indicate that capital market in our country is not verysensitive to the CSR information hiding in the annual financial report; The same CSR indexes offered a wide range of explanation to CAR in different industries and even inthe same sector, the market reaction varies from index to index. Some CSI index ofseveral industries have significant positive relationship to CAR,but the others justhave the opposite conclusion.At last, some reasonable explanations are proposed tothe insensitive reaction and insignificant explanatory power in the capital market,andsome specific suggestions are presented to improve the information disclosure level inour country.