Research On The Market Effect Of Chinese A Stock Executives’ Holding Of Stocks

On May 27,2017,The China Securities Regulatory Commission issued the “Regulations on Reduction of Shareholdings by Shareholders,Directors,Supervisors,and Senior Management of Listed Companies.” Subsequently,the two major exchanges successively issued detailed rules for the implementation of share reduction by shareholders and directors,supervisors,and senior management of listed companies.In order to encourage large shareholders and senior executives to increase their shareholdings,lifting some restrictions on their reductions,under the condition of more restrictions on other types of reductions,we can focus on event of executives’ s holding of stock.As executives are more aware of the internal situation of the company,their holdings will become an important market signal and will have an impact on the stock price of the company.Therefore,this paper studies the market effect of executives’ holdings.This article uses the average abnormal return rate and cumulative average abnormal return rate before and after the occurrence of executive holding events to measure the market effect of executive holding events,so first of all,how to obtain the abnormal return rate? And how to obtain relatively pure abnormal return rate? This article uses the Barra multi-factor risk model to perform cross-sectional regression of daily data to obtain each stock residual item,which is the abnormal return rate of each stock per day,so that the average abnormal return rate and cumulative average abnormal return rate can be obtained.Then,this paper takes the sample of the executive holdings from January 01,2009 to December 31,2016 as samples(the sample size is 4,297 after being excluded)to conduct a market effect study.The research shows that under the overall sample,the cumulative average abnormal return rate before the high-level manager’s holdings announcement has a significant drop effect.After the announcement of the event,the average abnormal return rate turns from negative to positive,and the cumulative average abnormal return rate rises significantly.The rate of increase of abnormal returns began to weaken and turned into a form of shock.Executives’ holdings showed a positive short-term effect on stock prices.At the same time,this paper also studies the market reaction under different influencing factors from six aspects: percentage of holdings,holdings of holdings,increasing holdings of the environment,timing of holdings,fundamentals of the company,and price-earnings ratio.The study found that the larger the proportion of holdings,the shorter term The cumulative average abnormal return rate obtained ishigher;when the holding method is large-scale transactions and the holding environment is bull market,the cumulative average abnormal return rate obtained in the short-term is higher,and the event effect lasts longer;in terms of increasing holdings,Choose to increase holdings when the stock price falls sharply.After the announcement,the cumulative average abnormal return rate obtained in the short term is higher,and the event effect lasts longer;under the grouping of different fundamental scores: the fundamentals mainly refer to the Piotroski model for scoring.The higher the score,the better the fundamentals,and Executives add stocks to companies with good fundamentals have a higher cumulative average abnormal return rate in the short term and a longer duration of event effects;a company with a high price-earnings ratio for overweight,a cumulative average obtained in the short term Abnormal returns are higher and event effects last longer.Finally,based on the research results of this paper,the following suggestions are proposed:1.Investors should rationally look at the increase in holdings of senior executives.They must formulate the investment strategy in combination with other factors,and should not blindly follow the trend.2.The listed company shouldusethe market effect of executives holdings reasonable to allow the company’s share price to return to a reasonable level,and it should be aware that the basic conditions of the company’s operations,profitability and other factors will affect the market effect of the event;3,the supervisory level should strengthen the supervision of executives holdings Effective and timely disclosure of information.