Research On The Market Reaction Of Derivative Financial Instrument Information Disclosure Of Listed Companies In China

With the development of economy,a growing number of listed companies in China use derivative financial instruments to avoid risks or speculative arbitrage.However,the high risk and high yield of derivatives have also caused many financial accidents,which scared investors.Listed companies can provide information about their investment of derivative instruments by disclosing the relevant information so as to prompt risk.However,at the present stage,the level of information disclosure of listed companies,whether the investors is concerned about the disclosure of derivative financial instruments,and whether the details of their disclosure will affect investors' reactions to information disclosure of listed companies remain to be discussed.Therefore,in the context of the revised CAS37,published in May,2017,this paper amended the information disclosure index system of derivative financial instruments commonly used in relevant research and took Chinese listed companies using derivatives from 2014 to 2016 as the overall sample,further subdividing into financial and non-financial sub-samples.This paper analyzed the current status of derivatives by calculating the "information disclosure corporate ratio" and the "detail ratio",and used the "information disclosure index" and "information disclosure level"as the independent variable to have the empirical analysis of the market reaction of the "disclosure" and "detailed disclosure" of derivatives.The status analysis of this paper shows that the level of disclosure of derivative financial instrument of our public corporation has been gradually improved in general,but there are still the following main problems:the information disclosure is insufficient,irregular,the disclosure position is dispersed,the formal disclosure is too frequent;the utilization of the original module of financial report needs to be strengthened and risk information disclosure is repeated,etc.The empirical results of this paper show that,the disclosure of derivative financial instruments will cause market reaction.In the financial industry,the more disclosure,the better the market reacts,while the conclusion of the non-financial industry is the opposite.This paper argues that there is an effect of investor psychology on the market response of information disclosure.Specifically,investors are objective and rational about the use of derivative financial instruments by listed companies in the financial industry,so the more detailed the disclosure,the higher the transparency of information,the stronger the investor's confidence and the more positive the market reaction.On the contrary,investors have a negative attitude to the use of derivative financial instruments by listed companies in the non-financial sector,leading to significant negative market reactions:the more detailed the disclosures and the stronger the negative reactions.The relevant researches on derivative financial instruments in China mainly focus on the correlation of information disclosure and value of derivative financial instruments,but pay less attention to the market reaction of the derivative financial instrument information disclosure.This paper tries to link the information disclosure level of derivative financial instruments to market reaction,and introduces a detailed degree of scoring standard of 0-1-2 in the calculation of the information disclosure,which provides a new idea for the metering method of the information disclosure of derivative financial instruments.Therefore,the research of this paper can enrich the literature in the field of derivative financial instruments to a certain extent.which has certain theoretical value.On the other hand,this paper discusses the market reaction to the information disclosure of derivative financial instruments of listed companies,and helps the CSRC and other regulators to improve the implementation of the guidelines,so as to benefit the improvement of information disclosure behaviors of listed companies.Therefore,the research of this paper also has certain practical significance.