Study On The Effect Of The Pledge Announcement Of Controlling Shareholder's Equity On The Stock Price

The rapid development of our country's capital market,equity pledge this financing form appear.From 2013 to 2019 the total market share pledge rise from 90 billion to 4.58 trillion,our country capital market of the high proportion of equity pledge,hypothecation times of the frequent and wide participation of the characteristic,has caused extensive concern of regulators and investors.However,in recent years,the "explosive position" risk of equity pledge has to attract the attention of regulators who shoulder the responsibility of market stability.Pledge of equity is a special kind of financing with stock as pledge.Domestic and foreign scholars research.The results show that when the controlling shareholder of the listed company adopts equity pledge to finance,the stock price will be affected to some extent.At the same time,the subsequent risk caused by equity pledge may also have an effect on stock price volatility.Under the above background,this paper begins with a 2017 to 2019,the gem listed companies in our country all equity pledge events as the foundation,249 times the controlling shareholder of companies selected 249 events as the clean sample,attempts to study the announcement effect of equity pledge in the growth enterprise market and its influence to the stock price volatility,the research and analysis to the financing decision of listed companies,investors and regulators regulation and help the healthy development of capital market in China.This paper adopts the event study method to calculate the change rate of stock price and index.Based on the date of issue announcement,this paper studies the effect of stock pledge announcement with a window period of no more than 5 trading days.The results show that the announcement effect is not consistent in different window periods.There will be a negative announcement effect before the announcement date,and the strongest 1 trading day before the announcement.Meanwhile,according to the market model with GARCH model modification,the stock price volatility of 212 samples in the six months before and six months after the announcement was fitted.Using the Wilcoxon symbol rank test sample group,the difference between the two groups of data found that the stock price volatility of gem listed companies increased after the issuance of the announcement,and the difference between the stock price volatility of June after the announcement and six months before the announcement was significant.The empirical research model used in the last empirical step is a multiple linear regression model.The regression results show that the proportion of the majority shareholder's shareholding and the cumulative pledge ratio of the major shareholder have a significant relationship with the stock price volatility after the major shareholder's equity pledge.