Short-term Stock Price Fluctuation Analysis Of Pre-announcement Of The GEM Controlling Shareholders’ Reduction

On the afternoon of October 23rd,2009,after ten years of preparation,the Growth Enterprises Market(GEM)officially opened in Shenzhen Stock Exchange,this event marks the completion of China’s capital market construction where aimed at the high-growth new innovations and medium-small sized high-tech enterprises,and achieve the basic layout of multi-level capital market.With the increasing scale of the restricted shares lifting their bans,large shareholders’stock selling "empty" the capital market and infringe the interests of medium-small investors become a hot spot of society,and also become the focus of the market participant and scholars.The lock-up period of the controlling shareholder keep 36 months.On October 22nd,2012,28 GEM listed companies’ controlling shareholders lifted their bans from the lock-up period,the stock selling of controlling shareholders become the core problem in relating to large shareholders’ stock selling study.The main purpose of this paper is to research the short-term effect of controlling shareholders’ pre-disclosure announcement of stock selling and analyse its main influencing factors,and as references basis for mass investors,listed companies and supervising department to make investment decisions and formulate policies.This paper firstly organises related research results of short-term stock price fluctuation caused by domestic and foreign shareholders,then summarizes the policies of pre-disclosure announcement of China’s controlling shareholders and actual controllers,and put forward the research hypothesis based on the relevant theory.Secondly,depending on the samples which from the pre-disclosure announcement of 83 companies’ controlling shareholders and actual controllers in the year of 2013 and 2014,utilizing the method of hypothesis test statistics investigate listed companies’ short-term reaction in the announcement time window.When the market reaction is received,using the multiple linear regression analysis method select two indicators from stock selling information of actual controllers and financial conditions of listed companies to study the impact factors of short-term market reaction.The innovation of this paper is that use the actual controller who hold the highest proportion of share and have the largest influence on an enterprise as the research objective,and use the pre-disclosure announcements which can clearly defined the information of controlling shareholders,actual controllers and stock selling as the fact.This paper will also notice to eliminate the influencing factors from great individual differences,such as the scale of stock selling and continuous stock selling,to study the short-term market response on the first business day.In addition,in order to do more comprehensive and more targeted research,for the choice of influencing factors,it should select these indicators which from the pre-disclosure announcement of the controlling shareholder and the actual controller’s stock selling and financial conditions of listed companies,to reflect characteristic indexes of the GEM(small market value,high market value growth,etc.)as much as possible.At the same time,for the choice of market reaction evaluation index,it should select the GEM composite index as a benchmark to calculate the excess rate of return,and to avoid a single company’s subjectivity,which will be more fit general rules since the GEM composite index established.Results show that the pre-disclosure announcement of the controlling shareholder’s stock selling,which is regarded as an important event affecting the development of listed companies,will cause a significant negative short-term market reaction on the announcement day.Study on factors affecting the short-term stock price of the reduction pre-announcement,it is found that the proportion of reduction in the announcement will have significant positive influence on short-term market reaction.The sample firm’s earnings per share(EPS)growth rate has a significant negative impact on short-term market reaction,and the proportion of reduction in the announcement is relatively more significant than EPS growth rate.While the reduction motivation to be pre-disclosure,which is under current policy requirements do not have significant impact on short-term stock price.