| In recent years,the abbreviation of stock renaming is a frequent phenomenon in Chinese A-share market.Stock renaming should belong to no information event,and the event itself should not have a great impact on the market.However,in Chinese A-share market,the announcements of stock renaming have a significant price effect in the short term,which is contrary to the effective capital market.From the perspective of behavioral finance,investors' concern and investors' sentiment,this paper explains the"anomaly" of the market.Based on efficient market hypothesis,limited attention theory and overreaction theory,by using literature research method,descriptive statistical analysis,event study method and multiple regression analysis,this paper systematically combs the domestic and foreign literatures on the characteristics of stock names and investors' attention,causes of stocks active renaming,renaming behavior of listed companies and market effects.The research is earied out by combining analysis with empirical test.This paper studies the short-term market reaction of Listed Companies in A-share market caused by their initiative to change their abbreviations.Taking the stocks that all listed companies in A-share market which issued the announcement of active change of abbreviation of stock abbreviations from 2016 to 2018 as objects.Finally,205 listed companies are selected as the research samples.According to different reasons and times of renaming,the samples were divided into two groups.In order to reasonably analyze the short-term response before and after the announcements,this paper chooses market adjustment model which is suitable for A-share market,defines the event day as the announcement day and the window period as(-10,+11).It calculates the AAR and the CAAR of sample stocks in the window period,then it makes descriptive statistics and compares the differences.The differences of market reaction were analyzed and the results were tested.The results of significance test show that,the AAR of the market is significantly greater than 0 from the first trading day before the announcement of renaming.Both the AAR and the CAAR reached its maximum value on the announcement day.In the event window(-1,+1),the CAAR of total samples,the substantial change samples,the main business change samples and the initial rename samples are all significantly greater than 0.In the post-event window(+2,+11),the AAR of all kind samples are significantly less than 0.These prove that there is overreaction in our securities market,and Chinese securities market is not effectiveThis paper attempts to analyze the influencing factors of short-term market effect of stock abbreviation change from the perspective of behavioral finance.Based on the previous studies,the proxy variable of investors' attention and the proxy variable of investors' sentiment are introduced as explanatory variable,related control variables and dummy variable establish a multiple regression model to analyze the multiple linear regression of different types of samples,to better explain the short-term factors affecting market response.The results show that stock attention,turnover rate and dummy variable all have significant positive effects on total samples,the substantial change samples and the initial rename samples,which indicates that both attention and emotion of investors to stocks and the degree of stock change will significantly affect the changes of stock prices and bring irrational fluctuations in the market.The last chapter summarizes the paper and illustrates the study result with relevant theories.Combining with the basic development of China's securities market,this paper puts forward suggestions to regulators,listed companies and investors in order to promote the better development of Chinese securities market. |
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