Research On The Abnormal Return Of Large Shareholders' Sale On GEM

GEM in China has attacked investors' attention since opening.In the process of rapid development of the GEM,because of the large proportion of High-tech companies in GEM,there are some characteristics different from Main-Board Market,high radio stock dividends and transfer is one of them.High send and turn is generally consider to be well reflected in the growth of a business.Because of the imperfect of law and the impulse of investor,However,this phenomenon that many companies took this opportunity to raise company's share price and also appeared selling behavior of major shareholder,cause a great damage of interest of small inventor.Therefore,there is a question whether the GEM listed companies help the shareholder to sell the stock by using the “high send and turn to raise the stock price?To answer this question,firstly the thesis explores the GEM listed companies' motivation of stock dividend and transfer from the perspective of price illusion hypothesis.This thesis selects the data of GEM listed companies' stock dividend and transfer from 2010 to 2014 and consider it as the dependent variable and consider the listed company' year-end stock price as an argument to analysis the relationship of them.studies show that: there is a significant positive correlation between the proportion of stock dividends and transfer with the company's stock price,thus confirming the illusion of price hypothesis could explain the GEM,but also further illustrates our GEM listed companies is likely to take full use of irrational behavior of investors,implement high turn and sent to meet market demand,thereby raising the company's stock price to help the selling of large shareholders.secondly,to explore further whether the large shareholder acquire the excess earnings by selling holdings after the plan of high send and turn,this paper selected the enterprises who launched the "high transfer" and to be public more than one year,plan announcement for the base date,to study the two situations' cumulative average abnormal return by event study method.Situation one is the "High rewarding of stock dividend" within 20 days after the announcement plans major shareholders have reductions of more than 5 million,the situation two is the "non-high rewarding of stock dividend" within 20 days after the announcement plans major shareholders have reductions of more than 5 million.The study found that there may be the premature leakage of the high sends and turns;the cumulative average abnormal returns under the reduction of major shareholders after "high transfer" is significantly higher than thecumulative average abnormal returns under the reduction of major shareholders after "non-high transfer".It can be found that the large shareholder is likely to use the high stock dividend to sell the stock at a higher price that obtaining the abnormal returns.To further investigate the behavior characteristics of major shareholders' reduction by studying the data in groups.We found,high transfer sample data which is stock dividends and transfer ratio reached 1 accounted for 67.65%of all high transfer samples,Thus,we hypothesis: whether the transfer ratio is higher,the abnormal returns which major shareholder acquired by using high stock dividend to sell shock at a higher price are higher? Empirical Analysis later confirmed our speculation.Not only that,we also found that in a bull market,the listed companies can obtain higher abnormal returns by implement the high stock dividend.