The Research Of The Impact On The Stock Market After The Lift Of Non-tradable Shares

Since2005,the China Securities Regulatory Commission promulgated 《the management approach to the split share structure of listed companies》,our stock market has entered a vigorous lifting of the ban era. Especially during the2009-2011after financial crisis, the lifted market value has reached10620billion RMB, accounting for44.8%of the total market capitalization of Shanghai and Shenzhen exchanges. Such a large-scale lifting the ban undoubtedly has profound impacted on the stock market. However, the stock market was a "barometer" of the national economy, which is significant in healthy development. Therefore, what impact will the lifted stock take to the stock market? And to what extent the affect take? How to reduce or eliminate the negative impact caused after the lift? These issues is worthy of studying for us.Starting from the specific environment of China’s A-share market, the passage is on the basis of the results referring to domestic and foreign scholars, we use finance, financial management and the principles of game theory from the perspective of the market supply and demand, the impact on investor behavior, the market risks to discuss. Then build the model for empirical analysis in the help of statistical and econometric methods, in the analysis of the size of non-lifting of the ban on the stock market yield, we use the "event study" to build the abnormal returns model, we select the different market periods the in the model, and draw empirical conclusions in all cases. In the analysis of the influence of the size of non-lifting of the ban to the stock market, we first calculated the risk parameters according to the CAPM model, and get the conclusion by comparing the data. In the next step, we established the market risk measurement model, the GARCH-M model, and estimate the parameters to draw conclusions. The study found that the size of the lifted stocks impact to the stock market varies during the different times, but they certainly will increase the systemic risk of the stock, the lifted stocks will change the original valuation system, and break the market equilibrium. At the end of the article, based on the empirical findings, we make the policy recommendations from three aspects, including the strengthening of the guidance and supervision of the government, improve the quality of listed companies and improve the reduction regime after the lift.