Event Driven Stock Price Research

Many information corresponding to the stock market to drive the industry sector and company stock fluctuated, for some special events, the price impact is more obvious. Firstly, this paper describes the basic situation and the phenomenon of the restricted shares lifted, and secondly, from the theoretical part, it describes the reasons for the change of the cumulative abnormal return; finally, the 2015 year of the first shareholder of the limited sale of shares lifted as the research object, using the method of event study, through the analysis of 132 samples from January 1,2015 to December 31,2015 to analyze the influence factors and judge the impact of cumulative abnormal return rate.Through the event study team of the sample analysis are as follows:in the whole sample,5 days before the ban to lift the ban day, a negative excess return rate obviously, but since the lifting of the ban, the excess rate of return gradually return, but still is negative; in the lifting of the ban 5 days before starting around significantly abnormal trading volume, and in 1 days before the ban reached maximum abnormal trading volume, and after the lifting of the ban, the abnormal trading volume return. In addition, the proportion of the company’s ability to operate from the lifting of the ban, and the value of the company, the company scale and market status of single factor to study the cumulative excess return effect, through regression analysis, found that the asset liability ratio can significantly affect the company’s cumulative abnormal return rate.By analyzing the influencing factors of the cumulative abnormal return rate, the factors that affect the cumulative abnormal return rate are found out. Based on this, we can design the arbitrage strategy.