Studies On The Demand Elasticity Of Stocks At Chinese A-share Market

Stock repurchase means that the listed companies will recover the outstanding shares through cash payment.There are many purposes for listed companies to carry out stock repurchase,such as anti-takeover,improving capital structure and stabilizing market value.Stock repurchase is one of the important means for the efficient operation of the secondary market.with the continuous improvement of the degree of marketization and the continuous improvement of the system,it can be predicted that more and more stock repurchase events will occur in the stock market of our country in the future.Therefore,the study of stock demand elasticity is more and more important,because when the demand elasticity of stock is infinite,it means that the market behavior which increases the stock supply or reduces the stock supply will not affect the stock price.Then it is pointless to manage the market value through the stock.Especially since June 12,2015,China's A-share market has been in a bear market,and the share prices of most listed companies are obviously low.in this case,China has successively issued various management measures to liberalize restrictions on stock repurchase.So that listed companies can buy back shares through the way of market value management,but also in the stability of the secondary market,at the same time,further improve the price discovery function of the secondary market.At the same time,due to the special national conditions of our country,the stocks in China's A-share market are divided into non-restricted tradable shares and restricted tradable shares.from the second split share structure reform in 2004 to 2018,The proportion of tradable shares has increased from 36.45%to 86.71%,and the proportion of unrestricted tradable shares has increased sharply.it can be expected that the proportion of unrestricted tradable shares will increase in the future,so it is more meaningful to study unrestricted tradable shares.This paper makes an empirical study on 1532 stock repurchase events of 557 companies that have had stock repurchase in China from January 1,2016 to December 31,2018,and finds that there is a significant volume-price effect after the date of stock repurchase.From_-12 to₊₂,the average cumulative abnormal return was 0.97%,and there was no reversal in the two months after the stock repurchase,and the abnormal trading volume was 5.58%on the day of the stock repurchase announcement.In this paper,a model considering liquidity factor is established to modify the model which only considers single factor in most previous researchs.the regression results are in line with the expectation,and the demand elasticity is estimated to be-5.45.That is,the elasticity of demand for A-shares in China is limited.The demand curve is tilted to the lower right.