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An Investigation of the Market Reaction to the News of "Put in ST" and "Cancel ST "

Author: HuangSuXin
Tutor: TangQiMing
School: Huazhong University of Science and Technology
Course: Finance
Keywords: Special treatment Semi-Strong Form Event study methodology GARCH amended markets model
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 222
Quote: 0
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Abstract


ST special treatment , in order to improve the delisting mechanism , a special system to improve market transparency and investors to fully reveal the risk in the Chinese stock market since 1998 . Financial markets in other countries . This article revocation event market reaction by studying the Shanghai and Shenzhen stock markets on the the ST announcement and ST , test the validity of the semi-strong form of the Chinese stock market , and the ability to digest and response pattern of the Chinese stock market for that type of message summary in an attempt to investment behavior of market participants and the management behavior of the stock market regulator to provide a basis for decision making . This article from domestic and foreign literature common practice to test the semi - strong form efficiency , using the event study method . Compared with the traditional market model , GARCH correction model to consider the impact of volatility clustering in the study of normal income , its conclusion is closer to reality and persuasive . Parametric test distribution of abnormal returns before and after the incident , the conclusion of non- semi- strong form of the Chinese stock market . Also found that the Shanghai and Shenzhen stock market reaction mode event announcement of ST and ST revoked similarities and differences . Reaction delay of the good news and the reverse reaction , overreaction to bad news , which reflects the existence of \The innovation of the article is mainly reflected in the following three aspects : First, the sample , especially selected ST stock the the existing hats event there \more comprehensive analysis , compared with the previous studies ; second , introduced during the normal yield the volatility cluster of consideration , with a market correction after GARCH model ; third , the paper did not use the estimation window event window is completely separate from the most traditional event study method , but to make the length of the estimation window remains unchanged , the specific date of the estimation window forward over time and keep it more in line with the behavior of investors and psychological characteristics .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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