Event Study On The Senior Executives' Reduction In GEM Based On Decision Tree

Since the GEM was established in Shenzhen Stock Exchange on October 30,2009,senior executives have frequently reduced their holdings.The senior executives in the special position of listed companies have attracted close attention from the market and investors.This paper takes the case of senior executives' reduction of GEM listed companies in China as the research object,and chooses the stocks with senior executives' reduction of GEM listed companies from June 1,2016 to June 30,2018 as samples.First,based on event study method,this paper draws the conclusion that the announcement of senior executives' reduction has produced abnormal returns.It is determined by statistical hypotheses tests that the announcement of the executive reduction will do have a significant impact on the stock price.The cumulative abnormal returns of stock have shown a significant downward V-shaped trend as a whole.At the same time,this paper analyzes the impact of the stock price before and after the introduction of the reduction regulatory policies,and under the different senior executives' reduction scales.It is found that the implementation of the new reduction policy,the abnormal return caused by the reduction of executives is significantly reduced;Different reduction scales have obvious differences on the cumulative abnormal returns after the announcement.The larger the reduction scale,the greater the abnormal fluctuation of stock price,the stronger the signal to the market,the more obvious the downward V-shaped characteristics of the cumulative abnormal returns are and the stronger the negative impact on the company's stock price is.Statistical hypotheses tests show that,after the announcement of the executive reduction event,the abnormal return of the stock is significantly negative in the short term,and the probability of the stock falling in the short term is greater.Therefore,this paper mainly focuses on the change of stock returns after the reduction event,based on the traditional event research method,using the decision tree and the gradient boosting decision tree model to explore what factors affect the change of stock price after the reduction of senior executives,and chooses company's basic financial indicators,reduction indicators,industry categories,investors' attention indicator,and trading behavior indicator as influence variables,reflecting all aspects of the situation to establish two models.When the model predicted results marked 1,it means that the stock return is less than-0.01.When the model predicted results marked 0,it means that the stock return is greater than-0.01.The results of the model show that the change of stock return after reduction is most relevant to the industry in which the company is located.At the same time,according to the results of the model,some investment references are provided for investors.