Research On The Announcement Effect Of Major Shareholders Increasing And Decreasing Holdings

Under the background of information asymmetry,high leverage,and short-term arbitrage driving superimposed stock market downturn,the increase and decrease of large shareholders is often regarded as a signal by value investors.In fact,as an insider,large shareholders have stock price control advantage,information acquisition advantage and timing advantage in the secondary market,which enables them to more accurately grasp the trading opportunities and influence the market trend.Based on these insider advantages,the motives of major shareholders of listed companies to increase or decrease their shareholdings are diversified.The motivation of increasing shareholdings includes controlling centralization,timing speculative,transmitting signal,etc.The motivation of decreasing shareholdings includes avoiding risk,selling at high positions,hollowing out profit,optimizing capital,etc.In 2005,share split reform was officially launched in China,and securities market began to enter the era of "full circulation".From 2005 to 2007,it was the burgeoning period for the major shareholders of listed companies in China to participate in the secondary market transactions.At this stage,non-tradable shares were gradually lifted,and major shareholders mainly reduced the shares.In 2006,in order to encourage the major shareholders of listed companies to increase their shareholdings,the CSRC issued the "Measures for the Administration of the Acquisition of Listed Companies"and established the "pre-application" institution for the increase of shareholdings.After the outbreak of the global financial crisis in 2008,the CSRC further revised policies to relax restrictions on the increase of shareholdings,and gradually clarified the restrictions on the decrease of shareholdings and the information disclosure system.With the development of the market and the improvement of policies,the increase-shareholdings and decrease-shareholdings of the major shareholders of listed companies reached an unprecedented scale in 2015.In 2018,China's stock market continued to have a negative trend.The major shareholders of listed companies have expressed their intentions by increasing or decreasing their shareholdings.The decrease of holdings is the mainstream of the market.For the complex phenomenon of the announcement effect of large shareholders increasing or decreasing shareholdings,the study takes the behavior of major shareholders of listed companies from July 9,2015 to December 31,2018 in the Shanghai and Shenzhen A-share market as the research object and uses the event research method.Through the analysis of the advantage and motivation of the majority shareholders' behavior,the study puts forward the assumptions about the announcement effect of increase-shareholdings and decrease-shareholdings of the major shareholder and its influencing factors,conducts group test based on ARMA(2,2)-EGARCH(1,1)model.As a result,it was found that if there is no pledge of equity,a large proportion of share changes,a low level of stock valuation,and the company's employees have holdings,the increase in shareholder holdings will cause stock prices to rise.It was also found that if there is a pledge in equity,a large proportion of share changes,a high level of stock valuation,and the company's employees have holdings,the decrease in shareholder holdings will cause stock prices to fall.The announcement effect of the increase-holdings and decrease-holdings of the major shareholder is asymmetric,the stock market has overreacted to the signal of decreasing shareholding.The significance of the research results is:to help guide the short-term arbitrage of expected investment to long-term benign value investment,to alleviate the violent ups and downs in China's stock market and the irrational fluctuation of "short bull,long bear",to avoid signal distortion and promote the market to be effective.Relevant policy recommendations include:investors should comprehensively consider the characteristics of listed companies and major shareholders,listed companies should regulate the increase and decrease holdings of major shareholders,and the regulatory agencies should improve the information disclosure system.