An Empirical Ananlysis Of The Factors Of “Triple Board” Stocks' Abnormal Short-Term Returns

It has been the 26 th anniversary since the day when Shanghai Extrange was born. Chinese stock market has developed dramatically and reached a remarkable aggregate market value of 30 trillion yuan. From the first day on, Chinese stock market has been doomed to have to develop with Chinese characteristics, which has resulted numbers of abnormal phenomenon that can not be explained by traditional finance theories.One of the most noticable policy in Chinese stock marchet is the price limit regime, which regulates that when a stock has reached its ascending or descending limit of 10% of its opening price, it will lose the liquidity and most investers can no longer trade it on that day. This regime may affect stock movements by enhancing the impacts of investers' participation. There has been observed on Chinese stock market that some stocks are liable to maintain strong after experiencing a 3-day winning streak. These stocks drawing great attentions and attracting hot money intensively will quickly be distinguished from the macket.The explanations for these exceptional movements are obscure, including changes of external environments, internal structure reformation, investers' optimistic participations or others like overwhelming trading volumes. Despite the internal motivation, these 3-day winning stocks remain strong and reach record highs in a short period of time with enormous trading volumes and turnover rates drove by excited hot money.Our study mainly focus on the following issues:(1) The correlation between the “triple board” stocks' abnormal short-term returns and the turnover rates and trading volumes.(2) The correlation between the “triple board” stocks' abnormal short-term returns and the firms' book value.(3) The correlation between the “triple board” stocks' abnormal short-term returns and the firms' market value.(4) The influence of “triple board” condition on stocks' yield rate on T+4 and T+5 day. Based on theoretical and empirical analysis we came up with the following conclusions:(1) The abnormal short-term returns of “triple board” stocks are positively influenced by stocks' trading volumes.(2) The abnormal short-term returns of “triple board” stocks are positively influenced by firms' book values.(3) The “triple board” condition significently influences stocks' yield rate on T+4 and T+5 day.