An Empirical Research On Market Reaction And Network Community Dissemination Of Corporate Restructuring Events

With the development of science and technology, in the trading market there are more and more ways of information transmission, and the rise of Internet provides a broad platform for information transmission undoubtedly. When new information enters in the market, its influence can not only get feedback in the change of stock return inside the trading market, it also can get feedback outside the trading market. The network community(the stock forum) has attracted wide attention of investors as the main channel of information transmission outside the trading market.This paper selects restructuring events occurring from July 24th,2012 to October 20th,2015 in 30 listed companies as the background, analyzing restructuring event information’s influence on stock market and the relationship of information transmission between stock market and stock forum in the event period from the perspective of investor attention based on big data processing method. In theoretical analysis, this paper adopts literature analysis method to elaborate based on the efficient market hypothesis, behavioral finance hypothesis, asymmetric information, limited attention, noise trading, herding effect and some other finance theories; In empirical test, this paper uses the event study method, ordinary least squares model, simple linear regression model to analyze; In terms of technical tools, this paper uses Eviews, SPSS, Excel and other statistical software, Python and other programming software for statistical analysis; In terms of data sources, this paper grabs related data form Ruisi database, Wind financial information terminal and Eastmoney stock forum bar.The main conclusions of this paper are as follows after the empirical test:After the restructuring event, the sample firms’stock return have changed indeed, but the change isn’t significant, the sample firms have no significant excess return and they have no significant cumulative excess return either, restructuring event information have not got significant feedback in the stock market; There exists information transmission between stock market and stock forum, the leaded stock forum can significantly affect the lagged stock market while the leaded stock market cannot affect the lagged stock forum; When information transfers from stock market to stock forum, the relationship between the leaded forum abnormal posting volume and the lagged excess stock return has significant negative correlation.This paper provides fixed directive function for the study of market efficiency. In terms of theory, this paper is discussed from the view of multi disciplines, and enriches the research of market information transmission theory; In terms of practice, this paper provides a reference for the investor behavior of decision-making, also offering proposals for the operation and management organized by the government and relevant regulatory authorities.