An Empirical Study On The Market Response To The Inquiry Letter On Abnormal Stock Price Fluctuation

With the continuous strengthening and improvement of inquiry supervision measures in recent years,inquiry supervision has become an important and commonly used regulatory means for China’s stock exchanges,and the inquiry letter for abnormal stock price fluctuations is mainly for the inquiry supervision of listed companies when the stock price fluctuates.Therefore,when the stock exchange issues an inquiry letter for abnormal stock price fluctuations,the regulatory effect of the inquiry letter,that is,what is the market response,and whether it can play a role in suppressing stock price fluctuations after the inquiry are worth studying.This paper takes the listed companies that received inquiry letters from the Shenzhen Stock Exchange in the five years from 2018 to 2022 as a sample,explores the market response of the inquiry letter with abnormal stock price fluctuation through the event research method,and analyzes the difference in the market response of the inquiry letter through one-sample analysis and regression analysis.The empirical results show that the sample companies have a high average excess rate of return and are significantly positive within 5days before receiving the inquiry letter.On the day of receipt of the inquiry letter,the average excess return of the stocks of the sample companies,although significantly positive,decreased significantly;On the day after the inquiry,the stock price reversed sharply and became less than zero,but did not pass the significance test.In the following days,the average excess return of the stocks of the sample companies was negative every day,but the negative value was small and the change was not large,compared with the average excess return of the sample companies as a whole in the 5 days before the inquiry,and the significance level began to decline.For the cumulative average stock excess return of the sample companies,it was significantly positive throughout the inquiry event window,showing a gradual and sharp increase as the inquiry date approached,peaking on the inquiry event day,and then slowly declining.Therefore,it can be concluded that the inquiry event has a significant negative market reaction to the stocks of the sample companies,and the inquiry letter has a certain restraining effect on the abnormal fluctuation of the stock price,so that the stock price fluctuation tends to be flattened.Further,this paper analyzes the difference in market response to this inquiry event.The results of Non-punitive analysis show that there are significant differences in the market response of the inquiry letter in different years and before and after the GEM reform,but there is no significant difference between the details of the inquiry letter and the different sectors of the company and between state-owned enterprises and non-state-owned enterprises.The results of regression analysis show that the market response to the inquiry letter only differs significantly between state-owned enterprises and non-state-owned enterprises and before and after the reform of GEM.This study supplements the relevant research on the inquiry letter of abnormal stock price fluctuation of stock exchanges,which can provide certain empirical evidence for the inquiry supervision of stock exchanges,and at the same time,due to the market reaction generated by the inquiry event has a certain degree of continuity,it can also provide investors with certain reference and reference in the market operation of listed companies after being questioned.