A Study Of The Impact Of Registration System Reform On The Volatility Of A-Share Prices

Stock market volatility is regarded as a source of excess returns in the capital market,but its abnormal volatility is often accompanied by systemic risks in the capital market.The registration system reform,as a new attempt in the field of China’s stock market issuance system,has raised higher requirements on the efficiency of IPO pricing of issuing enterprises,the quality of information disclosure of listed companies,the diligence and due diligence of intermediary sponsors and the implementation of the functions of regulatory departments,and the market has high expectations.However,at the same time,the registration system is a new system,and in the operation process,the registration system will inevitably generate corresponding institutional costs.Therefore,based on the background of GEM registration reform,this thesis uses GEM and SZSE main board A-shares as research samples and applies DID model to study the impact of GEM registration reform on A-share price volatility.The empirical results show that the registration system reform increases the volatility of A-share market.Meanwhile,this thesis analyzes the mediating effect mechanism of this result from the perspectives of pricing efficiency,information disclosure quality and liquidity.It is found that,firstly,in terms of pricing efficiency,at the early stage of the registration system reform,the amplifying effect of irrational trading behavior on stock price volatility far exceeds the stabilizing effect of reasonable IPO pricing on stock price volatility,which increases the IPO price suppression rate of listed companies in the short term and intensifies the volatility of the stock market.Second,in terms of information disclosure quality,better information disclosure quality requirements imply that enterprises and intermediaries need longer time to adapt to them and inevitably neglect to disclose information in a short period of time;and the reduced information disclosure quality increases investors’information gathering costs,reduces the market’s sensitivity to new news,inhibits investors’ trading incentives,and thus reduces stock price volatility.In addition,in terms of liquidity,this thesis finds that the registration reform increases the liquidity of the GEM market and spreads to the whole A-share market through spillover effects,while the increased liquidity reduces the difficulty of market aggregation transactions and lowers the market transaction costs,which in turn reduces the volatility of the stock market.Based on the results of this study,the study was conducted from the perspective of suppressing abnormal stock market fluctuations and maintaining financial market stability.In combination with the phenomenon of "20cm" capital diverting "10cm" capital in the market after the implementation of the registration system reform,this thesis proposes that on the premise of implementing the functions of the four major boards,namely,the main board,the small and medium-sized board,the venture capital board and the science and technology innovation board.This thesis proposes that,under the premise of implementing the functions of the main board,small and medium-sized board,GEM board and science and technology innovation board,the regulator should take the opportunity to appropriately unify the investment and trading system among different boards,so as to reduce the phenomenon of market clumping caused by the excessive concentration of market investment styles from the institutional level,and reduce the hidden danger brought by the market surge and crash.At the same time,in the case of gradually relaxing the limit of up and down,the Securities and Futures Commission,the exchange and other regulatory bodies should strengthen the monitoring of the stock of the movement,to prevent its abnormal fluctuations to bring emotional impact on the market.