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Research into the Impact of Unexpected Events Abroad on Domestic Stock Market

Author: LiuXianWei
Tutor: TaoPing
School: Harbin Institute of Technology
Course: Accounting
Keywords: unexpected events abroad impact mechanism event study method abnormal fluctuation test regression analysis
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Type: Master's thesis
Year: 2012
Downloads: 74
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Abstract


Unexpected events always happen especially in these years, look at theseevents have big implication to both investors and enterprise. Most early studysfocus on one industry unexpected events based on event study method, only fewresearch related to the big unexpected events which can effect the whole stockmarket and the impact mechanism. In our paper, we are trying to find the generaldiscipline in order to do some work helpful to practice and academic research.To explore whether and how the unexpected events happened abroad can affectdomestic stock market and its mechanism, we first have an view of the relatedliterature, and then define the unexpected events abroad. After that, theory analysiswas done, at last, we use the A-shares from Shanghai Stock Exchange as theresearch sample and investigate the short-term volatility and regression analysis ofdomestic stock market in the time window based on event study under thebackground of “The Top Ten International News in2011” listed by Xinhua.The Empirical results show that: Firstly, the abnormal return (the cumulativeabnormal return) reaches its peak before t=3(t=4). Secondly, the daily return andthe active level differs before and after the big events, and the tradable sharesstructure can significantly affect stock price volatility and movement. Thirdly,corporate performance’s effect on stock price differs in different situations,institutional investors do not contribute to the stock price overreaction, to someextent, play a stabilizing role. Last but not least, the ST shares do a better job. Inaddition, our findings are interesting and inspiring, things are not so well as wesupposed, but also not too bad. So far along with our research, the real or the actualreason of the research results have never been known, and which is also ourfollowing research question. In the future we want to study the issue throughsentiment level presented on microblog.

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