| Compared with the capitalist countries,China's securities market started lately and various mechanisms were not perfect.Initially,it imitated the brutal growth of the model of capitalism,but after more than 20 years of development,it gradually went on the road of stable development,various transactions and supervision and management mechanisms have been gradually improved.But every year the Securities Regulatory Commission publicizes various capital market scandals.For the stability of capital market,new regulatory principles and measures have been continuously introduced and the market environment is gradually changing.Especially in recent years,the concept of "high deli very" has been the focus of market hype."High delivery" has gradually deviated from its original purpose,and the level of high delivery in China's listed companies has also increased year by year.For example,considering the highest level of annual transfers,this level has gradually increased from 5 shares per 10 shares in 2010 to 20 shares in 2015.With this kind of abnormal operation,the market will often breed insider trading,and large shareholders often take advantage of the opportunity to reduce their holdings,and the interests of ordinary investors will be greatly damaged,which will cause great harm to the order of China's capital market.In order to comprehensively study the impact of the "high delivery" behavior on the stock market,this paper takes all A-share listed companies that meet the conditions in the 2000-2018 annual report as the research object,and the pre-disclosure date of the "high delivery" plan as the event day.Prioritizes the event research method to analyze the market liquidity,the daily volatility of stock returns and the excess return of 60 days before and after the pre-disclosure date of the "high delivery" plan and finds the changes of the indicators within 60 days before and after the "high delivery" pre-disclosure.Through multiple regression,the determinants of the market effect of "high delivery" were explored.Finally,a "placebo" test was performed by the method of propensity score matching.Compared with the cash dividend behavior,the "high delivery" can have a more significant impact on the market.Conclusions are as follows:(1)Through the event research method,the indicator variables representing the market liquidity,the indicator variables representing the daily volatility of stock returns and the daily excess return indicator variables were analyzed within 60 days before and after the "high delivery" pre-disclosure.It was found that the market liquidity will be reduced within 60 days,the daily volatility of stock returns will increase during the 60 days of "high transfer",and the daily excess returns will change greatly on the day of the announcement of the "high delivery" and the excess returns in the first 60 trading days are generally greater than the excess returns in the latter 60 trading days.(2)From the perspective of the multiple regression models,market liquidity indicators,daily volatility of stock returns and cumulative excess returns are obviously affected by market characteristics and company characteristics.Different factors have positive and negative effects on market effect indicators.(3)By using propensity score matching,cash dividend stocks that are highly matched with "high delivery" stocks are added to the analysis,and a "placebo" test is performed.It is obtained that "high delivery" has a higher processing effect than cash dividend stocks.The influence of the market is significant.It is further verified that the "high delivery" behavior can indeed have an impact on the market,The research conclusions are reliable.This paper conducts relevant research on the market effect of the announcement of the "high delivery" plan to display the latest "high delivery" dividend policy and related impact results in the domestic securities market.Finally,this paper put forward some rational suggestions from the perspective of ordinary investors,listed companies and regulators. |
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