Research On The Impact Of Registration System Reform On Stock Price Volatility

With the gradual advance of the comprehensive registration system reform,the trading behavior of investors began to change,causing short-term violent volatility in the stock prices,which seriously threatened the stable development of China’s capital market.In order to study the impact of registration system reform on stock price volatility,this paper takes the Growth Enterprise Market pilot registration system as the background,constructs the fixed effect model and the mediating effect model based on the difference-in-difference method,analyzes the impact mechanism of the registration system reform on stock price volatility,and provides useful policy recommendations for steadily advancing the comprehensive registration system reform.First of all,combined with the impact of the registration system reform on the stock market,this paper analyzes the promotion and inhibition of the registration system reform on stock price volatility,and analyzes the impact mechanism of the registration reform on stock price volatility from the overall perspective.At the same time,combined with the impact of registration system reform on investor,this paper analyzes the impact mechanism of the registration system reform on stock price volatility from the perspectives of information analysis bias,decision-making behavior bias and risk perception bias.Secondly,this paper eliminates the time-lag effect of investor behavior proxy index,uses the least squares method to extract residual series containing only the information of irrational behavior,and then uses the principal component analysis method to construct the composite index of investor behavior to measure the irrational degree of investor behavior.On this basis,the effectiveness of the investor behavior composite index is tested qualitatively and quantitatively by using methods such as mapping,correlation analysis and Granger causality test.Finally,this paper takes stock price volatility as the dependent variable,constructs the fixed effect model based on the difference-in-difference method,and tests the impact of registration system reform on stock price volatility from the market and individual stock levels respectively.On this basis,this paper introduces the composite index of investor behavior as the mediator variable,constructs the mediating effect model based on the difference-in-difference method,and tests whether investor behavior is the mediator variable of the registration system reform affecting stock price volatility from the market and individual stock levels respectively.The research results show that the registration system reform will significantly enhance the volatility of stock prices,and investor behavior is a mediator variable that the registration system reform affecting stock price volatility.In addition,the mediating effect of investor behavior at the individual stock level is much lower than the mediating effect of investor behavior at the market level,which indicates that enterprises listed in the registration system will enhance the mediating effect of investor behavior that stock price volatility affected by the registration system reform.Therefore,the relevant departments should focus on the impact of changes in investor behavior when advancing the comprehensive registration system reform,take investors,listed companies and market regulators as the entry points of the reform,and strictly prevent and control the systematic risks that may be caused by investor behavior.