The Study Of Major Shareholders’ Increasing Holdings On Short-term Effect And Commitment Period Of Excess Return

The major shareholders holdings refers to the behavior that major shareholders activitily buy shares from stock markets, which is a common management of equity in China stock market. AS the company’s insiders, the major shareholders have information advantage which ordinary investors don’t. The major shareholders holdings, especially large holdings will significantly influence on the stock market. So understanding the characteristics of major shareholders holdings is useful for the relevant government departments, major shareholders and small investors to develop China’s securities market.Based on the three large-scale holdings of major shareholders in China’s stock market, the paper analyzes related characteristics of this behavior. We select498holdings announcement from266listed companies in China’s stock market from2005to2011to analyze the market effect on the announcement day. The research shows it caused the company share price rising on the day when the major shareholder released the holding announcement. And we discover the growth of stock is positively related to the motivation of the major shareholders holding. However, the effect from the natural person holdings is stronger than the state-owned holdings. Empirical research also shows the market effect is negatively related to the major shareholder’s ratio before holdings announcement. The higher ratio caused less short-term market effects. Research tell us the more holdings announcement, the less short-term market effects.Also we have selected181listed companies which existed major shareholders holdings from2005to2009, to discuss the excess return during the commitment period in China stock market. Empirical research shows there is excess return of holdings in the commitment period. And the revenue rate is significantly related to the length of the commitment period. The revenue rate of natural person shareholders is higher than the state-owned shareholders. All these conclusions are realistic significance to deeply understand the behavior characteristics and influence of the major shareholders holdings.