Research On The Effect Of Earnings Surprises On The Relationship Between Stock Volume And Price

How to promote the effective operation and prevention of financial risks in the capital market is a highly valued topic in the world's physical and theoretical circles.In July 2017,the Fifth National Financial Conference was held in Beijing.The theme of this meeting was "serving the real economy,preventing and controlling financial risks and deepening financial reform".The importance of China's financial sector serving the real economy and its standardized development is emphasized again.The stock market is often compared to the barometer of the national economy,and the fluctuation of the price is the pulse manifestation of the stock market.Therefore,the technical analysis of the stock market is based on the change of the price and the volume of the transaction to analyze the current market situation and predict the future trend.The earnings surprise is an important financial information disclosure of the listed company.It provides important reference for the investors' decision-making,and then it is reflected in the change of the fluctuation of the market price.Therefore,if the enterprise has a major earnings surprise,it will have an impact on the normal operation of the whole stock market.This paper takes 50 components of Shanghai stock market from 2009 to 2015 as an sample,decomposing the volume of the stock transaction into the expected volume of the stock and the unexpected volume of the stock.It uses the GARCH model to estimate its effect on the volatility of the stock price,then getting the annual expected price relation and the unexpected price relation,and further analyzing whether the difference between volume and price of state-owned enterprises is different.Then,it uses multiple linear regressions to study the influence of the earnings surprise on the expected price and the unanticipated relationship by the earnings surprise of the different nature and the lag phase.The objective is to reveal the objective rules and internal microstructures of the capital market,which is intended to provide guidance for the regulatory authorities to regulate investors' behavior and to supervise financial institutions and to customize the regulatory strategy.Through the empirical studies,we can conclude that both state-owned enterprises and non-state owned enterprises have greater and more volatility than expected price coefficients,and the trend of the total price relationship is more consistent with the unexpected price relationship.It can be seen that the response of the listed company's stock price to the unexpected information flow is greater than the expected information flow,and the unanticipated information is the root of the stock price fluctuation.The relationship coefficient between expected and unexpected price volume of state-owned enterprises is larger than that of non-state owned enterprises,that is to say,in China's stock market,the relationship between volume and price of Chinese enterprises is more obvious.According to the statistical analysis of the earnings surprise,the listed companies in our country have a positive earnings accident,and the relationship of the earnings surprise price has a positive proportion.In addition,comparing with non-state-owned enterprises,the unexpected surplus of state-owned enterprises has a greater.impact on the relationship between expected and unexpected prices,and the unexpected surplus in the first phase of state-owned enterprises also has a certain effect on the relationship between volume and price.Finally,from the three perspectives of investors,regulators and analysts,this paper puts forward corresponding policy recommendations.