Research On The Efficiency Of Withdrawal Mechanism Of China Stock Market

Since the opening of the Shanghai Stock Exchange in1990, China’s stock market achieve a scratch, from small to big transformation, on the one hand the constant expansion of the stock market support the activities of investment and financing to investors-investors can have more choice. But on the other hand, it also brought them a new problem-the room for making decision increase at the same time means to make the necessary decision when investing, so they need more careful screening market investment opportunities, but how to control the investment risk and better protection the investors becoming the first mission of securities market regulators, delisting mechanism came into being. Compared with mature capital markets abroad, the delisting mechanism of china have a short course of development, while the pace of development is very rapidly, the delisting mechanism of USA is about140years after the beginning of stock market, it is experiencing140years of exploration, practice and evolution before eventually forming a more perfect delisting mechanism; the delisting mechanism of China is introduced in about10years after the beginning of stock market, the shorter course of development and China’s specific national conditions determine the delisting mechanism of China is different from the developed capitalist market delisting mechanism, therefore we can’t completely mature capital market of developed capitalist delisting system to measure our delisting system, We can find the delisting system of the China is constantly explore and improve, but the effectiveness of the delisting mechanism is still widely questioned. As the special handling system is the core arrangement of delisting system, the paper mainly consider delisting the effectiveness of the system from the special treatment system effectiveness.In this paper, we use the event study methodology and study investment performance of special treatment class stock, and analysis the effectiveness of the delisting mechanism after the reaction of the market as well as announcements of special treatment before and after the announcement of the rather special treatment for special treatment stock investment performance.The first chapter introduces the background and significance of the research, followed by previous studies, summarized, and know how our predecessors made in this field of research proposed what point of view and what had been accomplished.The second chapter introduces the research status quo of China’s delisting mechanism.In the first place we introduces the basic concepts of the delisting, in the second place we describes the standards and procedures for the delisting of listed companies in China’s stock market, and comparison with other mature capital market delisting mechanism. Finally we put forward a standard measure of the effectiveness delisting system.The third chapter we analysis the number of IPOs and delisting number of shares from1998to2011on the Shanghai Stock Exchange, and measure the effectiveness of the delisting mechanism from quantity.The fourth chapter we use event study of excess returns and excess turnover from2005-2011special treatment stocks react to the announcement of the special treatment, the samples also calculated in (-30,30) average daily excess return. average daily excess handoff and multiple window period cumulative excess return rate cumulative abnormal turnover, the last sample in accordance with the time as well as special treatment by comparing the response of the stock on the announcement of the special treatment to be broken down, according to industry the validity of the study delisting mechanism.The fifth chapter we use the method of buy and hold investment strategy to invest in the portfolio index of special treatment stocks on the Shanghai Stock Exchange to calculated in accordance with the Shanghai Composite Index, the Shanghai Composite Index compared to market special treatment stocks as a special portfolio, the investment performance of the two classes of shares to validate the effectiveness of the system of special treatment, then consider the effectiveness of the delisting mechanism.The sixth chapter we are summary the findings and the corresponding policy recommendations.The innovation of this paper is that previous academic time to study the law which to investigate the changes of the samples before and after the special treatment announcement stock returns, and then explain the specific impact of the incident on the sample stock price changes and yield, price changes before and after the main test events or price reaction of the disclosure of information. We also make some improvement to the event study method, In addition to the changes in the samples before and after the visits special handling announcement stock returns also inspected before and after the special treatment announcement of the stock turnover transform, and explain the impact of the specific events the sample stock turnover as well as the degree of active trading. In addition, the article also adopted a buy-and-hold investment strategy on all the special treatment stocks market, compare the differences between the investment performance of the special treatment stocks and the investment performance of the market portfolio, and then consider the effectiveness of the delisting mechanism.