Research On The Volatility Of Stock Returns Based On Event Study

Based on the event study method,this paper analyzes the super-expected event's impact on China's stock market returns,especially the football concept plate stock returns.The super-expected event is China national soccer team entered the 2018 Russian World Cup Asian final qualifier on March 29,2016(called “3.29 event”).The work of this paper mainly includes:(1)Determine the estimated window,event window and samples of the "3.29 event" according to the steps of event study method,and there is an innovation in the event selection;(2)Select the three-factor model to estimate the normal returns.the football concept plate stocks are divided into six groups and calculate the variables of each group according to the rules of the three-factor model;test the stability of time series data;compare the three-factor model with the five-factor model;the regression coefficients and the sum of squares of residuals of the three-factor model are obtained by using the estimated window data.The stability of the model is tested by Chow test.(3)On the basis of the three-factor model,the abnormal returns during the event window are calculated,the parametric test and the nonparametric rank test are used to test the abnormal returns.Through the empirical analysis,the following conclusions are drawn:(1)The results of ADF unit root test show that the time series data is stationary,the three-factor model has structural stability can be concluded according to Chow test;(2)Before the event day,the stock returns of each group increased,small companies' investment risk is higher than that of large companies in condition of the same book-market value;small-scale and low book-market value companies have advantage in investment value among 6 groups;from an average point of view,the performance of small companies is better than that of large companies in stock returns;(3)Stock returns shows a volatile trend in the event window,fluctuated volatility in general,in the event day,the average abnormal returns is negative and lower than yesterday;in the first day after the event day,the abnormal returns is significantly higher,and the strong trend continues to the second day after the event day,and in March 31 st,the abnormal returns reaches the peak during the event window,and falls in the third day after the event day.During the event window;there is a positive cumulative abnormal returns.This study can give us some enlightenments: the significant impact of the event on the abnormal returns concentrates in the days before and after the event day,good news makes the stock returns wave significantly and has a rising trend,which shows that the market does not react quickly after the event day and investors can still obtain the abnormal returns by buying stocks,and the stock market of our country has not reached the semi strong efficiency;however,the impact of event can not last for a long time and has a certain immediacy.The most of football concept stocks have significant effect because of the event,but the degree of influence is different.