| Efficiency of China stock market has been the focus of academic attention. Current domestic scholars mainly study market efficiency on the long-term value, but few people explore the market’s shortterm reaction. Therefore, this paper uses the event of deposit reserve requirement ratio adjustment and the event of major assets reorganization, adopts the event study based on both low frequency and high frequency data to find the longterm effects and shortterm effects on these two kinds of events.On the event of deposit reserve requirement ratio adjustment, this paper adopts event study and regression analysis, uses the daily data and intraday high frequency data from four market indexes(shanghai, shenzhen, csi 300, medium-sized plate) and thirteen industry indexes(agriculture, mining, textile, petrochemical, electronic, metals, mechanical, medical, power, IT, zero, service and real estate index) to empirically investigates the impact of 28 events of the increase in deposit reserve requirement occurred during the period 2006-2011 on the return of stock market. We find that, in the long term, this event did not have a substantial impact on the value of the stock. But deposit reserve requirement ratio leads to significant decrease in the overall stock price in the short term, and this effect will continue and then disappear after a period of time. Moreover, whether the daily return on stock is positive or not depends on the market sentiment(bull market or bear market). We also find that the increase in deposit reserve requirement ratio produces greater effect upon the stock of real estate industry than stock of other industry, that is, the cumulative returns on stock of real estate industry rather than other industry are significantly negative in most of time. Thus, we conclude that the deposit reserve rate adjustment in China releases an accurate signal and stock market will fully reflect relevant information within a trading day.On the event of major assets reorganization, this paper adopts event study, uses 772 major assets reorganization events(including major assets reorganization plan, reorganization termination and major assets reorganization audit) on Shenzhan Stock Exchange from 2008 to 2011, investigates rate of return, the average volume of each, relative spread, depth, order imbalance and realized volatility. We find major assets reorganizations have serious information leaking, and the date of leaking is 8 days earlier than suspend. In addition, the resume prices of major assets reorganization manifest overreaction, especially major assets reorganization plan. From the intraday effects, the market existes asummetry in the reaction of good news and bad news, bad news have higher effectiveness. What’s more, in the event day, the average volume of each did not increase, and the spread, order imbalance increased. These mean market liquidity did not increase in the event day. And good news lead to buyer liquidity shortage and bad news lead to seller liquidity shortage. We also find that relative spread, depth, order imbalance on the resume trading day are leading indicator to rate of return and the average volume of each and realized volatility are coincident indicator.Therefore, compared with the macro monetary policy events, market’s reaction efficiency to the company event is low. This may be related to the number of rational investors and information symmetry degree, there are more people participating in the analysis of macro events, and barely no information leakage, these are good for the accuracy of estimates. But company events involve high symmetry, thus breeding a part of speculators profits through the hype, easy to cause the distorted valuation. In view of this, the author thinks that strengthening the supervision of disclosure, curbing insider trading are good for improving market price discovery efficiency. |
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