The Research About The Share Splitting Reform Of The Listed Companies And Capital Market Efficiency

The shareholding splitting is an outcome of China’s transition from the planned economy system to the socialist market economy with Chinese characteristics under specific historical conditions. Despite that there’s certain rationality under given historical conditions, the disadvantage was still gradually revealed because of the socialist market economy and perfection of the legal system. In order to eliminate the disadvantage, and further improve the socialist market economic system, Chinese government finally initiated a split-share structure reform in April,2005 after experiencing a series of attempts and finally.The split share structure reform is to carry out the accounting of shareholding cost for the non-public stockholders and public stockholders and to reconfirm the stock equity of the two kinds of stockholders by changing the non-public shares to public shares so as to actually realize the same share with equal rights. The share structure reform aims to establish the foundation of the standardized market system and remove the long-term institutional root cause which has affected the interests of the public-shareholder from an institutional level. It will ultimately improve the corporate governance structure of the listed companies, eliminate the non-public shareholders’monopoly control rights given by the system and avoid the continuation of the same share with different rights and the same share with different interests.The passage is split share structure reform as an opportunity and learning from previous studies based on the combination of the development trends of the current theory, and analies the share reform of China’s Shanghai A-share market efficiency. This effect is the Fama-French three factor model for the junction point and the layer-depth analysis of the changes in China’s capital market efficiency.Firstly, in the process of this study, we see a large number of domestic and foreign equity division reform and capital market efficiency literature, using a combination of theory and practice, a combination of research methods of empirical analysis and normative analysis. Drawing on the research base at home and abroad on the ownership structure and capital market efficiency, the use of Fama’s efficient market hypothesis and its testing methods, the West and Tinic division theory, Tobin’s theory of division of the CAPM pricing model, the Fama-French three factor model theory as a theory of this study reference.Secondly, in the central part of the whole paper, select December 31,2000 in the Shanghai Stock Exchange and as of December 31,2007 all share reform to complete all the A shares for the study, the use of the Fama-French three factor model test whether the share reform to effectively improve the efficiency of China’s capital market. According to the principles of analysis, descriptive statistical analysis and regression analysis, before we draw the following conclusions:(1) share reform, with the constant expansion of the market capitalization increased, the monthly average excess rate of return for equity portfolio continuously improve a positive correlation between the average monthly excess return and the scale; With the improvement of the carrying amount of market value than the equity portfolio average monthly excess return rate on the decline, but the change in magnitude is not very obvious. China’s stock market before the share reform there was not only the SIZE effect, there is also the BM effect. China’s stock market after the share reform BM effect, the SIZE effect is not obvious. (2) After the share reform or share reform, the portfolio monthly returns on the Shanghai A-share index return change, the average of all first increase and then decrease change with the actual in stocks and the broader market, "Qi Zhang Gong Di "phenomenon of the same. (3) From the three-factor model regression results can be seen that the three-factor model before and after the split share structure reform in intercept all no different from 0,25 combinations were no excess rate of return, capital markets tend to be effective; market risk factor interpretation of the yield on the equity portfolio increased scale of SIZE the company level factors explain the degree of portfolio yield also increased, but the share reform after the account becomes negative and the absolute value of reducing the city than the BM factor regression coefficients, indicating BM factors on the interpretation of the combined yield decline. These results largely from an empirical point of view to support the important contribution of the split share structure reform to improve the efficiency of capital markets. (4) From the fitting coefficients, the share reform after the three factors can explain the combined yield of 90.7%of the change has been greatly improved compared to 37.2%of the share reform, the description of the share reform to promote the three-factor model on the whole explain the extent of the portfolio yield.Finally, according to the study of China’s split share structure reform and capital market efficiency, the governance of listed companies in China and improving the efficiency of capital markets a number of recommendations:improving the information disclosure system of listed companies, strengthening the information disclosure,tracking regulatory changes in capital market participants invest, the concept of economic policy orientation should be more transparent, vigorously cultivating institutional investors. The ending of the full text pointed out that the insufficiency of this research and future research outlook.