| The Stock Market Disaster refers to the extreme economic phenomenon that occurs in the stock market.It is manifested in the irrational plummeting of stock price,the depletion of liquidity and the serious negative impact on other areas.It lies in the accumulation of contradictions in the stock market and it's always triggered by a chance.Started by the SFC checking off-site funding,the Shanghai Composite Index fell from a high of 5178 points to the lowest point 2850 points,down 45%since June 15 to July 15,Shanghai and Shenzhen appeared in the plight of thousands of shares of the tragic situation,and there are more than a thousand listed companies choose to trade halt to hedge themselves,and after the regulators issued a series of maintenance measures,they were rush to resume trading,reflecting the A-share market Listed companies abuse the right to suspend the odds.And China's A shares since 2014,an important reason for the failure of A shares being brought into MSCI index is that China's stop licensing system is not standardized.In view of the phenomenon of the suspension of the 1000 shares in the period of 615 shares,this paper starts from the three aspects of listed companies,shareholders and regulators on the motive of suspension behavior and hedging effect.This paper mainly adopts the empirical research method.From the Wind data-base from June 15,2015 to July 15,2015,a total of one month of the suspension of the sample was selected,which would be compared to non-stop sample after screening and ultimately found that the variables for whether list companies choose to stop involve equity pledge,whether the company is private enterprises or foreign-funded enterprises,and the proportion of large shareholders holdings.In this paper,we use the event research method to analyze the suspension of the stock market as an event that affects the stock yield.We define the day of the suspension as the 0 day,and the estimated window is(-120,-2),The event window is(-1,4),and the market model and the market adjustment model are used to forecast the stock yield in the event window and compare with the stock's actual yield to calculate the abnormal rate of return.The yield will be parted as the good news group and bad news group,verifying whether the abnormal rate of return is not significantly 0 in the event window.The results show that shares in the stock market after the resumption of trading will have a positive or negative abnormal rate of return,and the main board stocks in the price efficiency is better than small and medium-sized GEM stocks.According to the distribution of abnormal rate of return,we can see that the hedging effect of small and medium-sized news group stocks is greater than the motherboard in good news group stocks,and bad news group stock sample would accelerate the decline of stock returns.Finally,this article will perform a regression for total sample,and found that the window period's cumulative abnormal rate of return is related positively to the first 90 days amount of increase and the length of halt,and it is related negatively to the asset-liability ratio.Based on the results of empirical research,this paper discusses the revelation of the suspension of the stock market from three aspects:ordinary investors,listed companies and regulators,and puts forward some suggestions on the possible shortcomings of current suspension.Although 615 stock market disaster is an extreme situation,but its outbreak is not accidental,and suspension of hedging is only an expedient measure.In the aspects to improving the price discovery function as well as to protecting investors,China's A-share market still has a long way to go. |
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