Stock Price’s Abnormal Fluctuation Based On Restructuring Information

In view of Information leakage phenomenon is prevalent in the stock market,This article select major restructuring events from2010to2013as sample to research information leakage and stock price’s abnormal fluctuation. The main study method is event study and residual coefficient method.Select the cumulative abnormal returns, the announcement effect、the effect of insider trading. the residual factor and other indicators to examine the effects of a major reorganization event information disclosure on stock prices.Event Study taking the classic market model to authenticate how information disclosure affect recombination events, estimate parameters and calculate the abnormal returns.Estimated period from120days to30days before the reorganization announcement,in total90trading days.Event period is30trading days before and after the announcement, in total60days.This paper analyzes the restructuring samples from multiple perspectives, such as annual sample’s abnormal returns,the Shanghai and Shenzhen market restructuring enterprises’^abnormal returns,different reorganization types’ abnormal returns, announcement effect and the effect of insider trading.Then Calculate the residual coefficients of different samples by residual coefficient method,and determine whether there exists price movement.combined trading volume,abnormal returns and other indicators to determine whether restructuring information is disclosure,provides a simple, fast method to judge stock price’s abnormal fluctuation.Other parts of the structure are as follows:The first chapter is introduction,describes the research background, research significance,research content and research framework;The second chapter is the theoretical overview, describes domestic organization and the type of restructuring;The third chapter describes the research methodology and indicators of this article.describes the event study method and the insider trading case,introduced the cumulative average abnormal returns.the announcement effect and the effect of insider trading, In addition, it describes the residual coefficient;The fourth chapter introduce sample selection criteria and data sources;The fifth chapter is the empirical analysis,which is the focus of paper,using a variety of indicators to verify the restructuring market information disclosure;The sixth chapter proposed countermeasures against combinant market problems,improve information disclosure measures;The last chapter concludes the paper.give results、shortcoming and questions for further study.Through test the reorganization companies from2010to2013, conclude China’s securities market present widespread habit, that is asset restructuring event as good news, Restructuring company’s value increased in the short term, overall CAR shows that market exist information leakage and the price manipulation phenomenon, This conclusion as the same with most of the domestic results. Due to the theoretical and data obtained limitations, it is difficult to fully start in theory, will result in a one-sided conclusions and deletions, pending uture improvement.