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Research On The Market Effect Of Special Treatment Announcement

Posted on:2020-05-17Degree:MasterType:Thesis
Country:ChinaCandidate:H N XuFull Text:PDF
GTID:2439330596998210Subject:Finance
Abstract/Summary:PDF Full Text Request
Our special treatment system began in 1998 and has been continuously revised since then by the regulatory authorities.In the newly revised “Stock Listing Rules” by the Shanghai and Shenzhen Stock Exchanges in 2012,the “special treatment” was changed to “risk warning”.The original intention of this system is to warn investors of risks and protect the interests of investors.In the past ten years,China's securities market has been significantly regulated,investors' own capabilities have been continuously improved.Has the implementation effect of the special treatment system reached the expectations of the regulatory authorities? How much impact does the risk warning announcement have on stock price volatility and stock liquidity? What are the influencing factors of the significance of the risk warning announcement effect? These are the focus of this paper.This paper first empirically analyzes the implementation effect of the risk warning system: using the two indicators of stock price volatility and stock liquidity to examine the market effect of the risk warning announcement from the overall perspective and time perspective by the event research method,and to test whether it meets the policy of the regulatory authorities and whether it has achieved the purpose of protecting investors.Secondly,the empirical comparison of the similarities and differences between the delisting risk warning and other risk warning announcements: listed companies will be subject to delisting risk warnings or other risk warnings because of their own conditions.This article will compare and analyze these two announcement effects to see if they exist differences.Finally,the Logit model is used to empirically test the significant factors affecting the market effect of the risk warning announcement,and whether it is related to the financial indicators mentioned in the risk warning system.The results show that:(1)The impact of the implementation of the risk warning announcement on the stock yield change is significant,and there is a significant negative effect before the announcement,and the impact on the stock turnover rate change is not significant.(2)Before the release of the risk warning notice,the AAR of the stock was significantly positive,and the AAR was significantly negative after the announcement,while the AAT was significantly positive except for the individual dates throughout the window period,that is,the market transactions were active and there was excessive reaction.(3)Announcement effects vary in different years.(4)The market environment is different,and the announcement effect is different: the effect of implementing the risk warning announcement in the bull market is positive,and the effect of canceling the risk warning announcement in the bear market is negative.(5)Compared with other risk warning announcement effects,the delisting risk warning announcement has a more significant impact on stock price a(6)From the perspective of stock price volatility,the financial indicators of the company have little influence on the notice effect.The focus of investors is not on the financial status of listed companies,but also on the market environment and information disclosure status,capital operation status of listed companies.(7)From the perspective of stock liquidity,the asset-liability ratio indicator has a significant impact on the investor's trading activity.
Keywords/Search Tags:special treatment, Stock liquidity, Stock price volatility, financial indicators
PDF Full Text Request
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