Research On The Market Effect Of Stock Repurchase Announcement Of Listed Companies In China

In China,although the development of the securities market is not mature enough and the stock repurchase started late,after the reform of the stock repurchase system in recent years,the restriction of the capital market on the stock repurchase is gradually opening up,and the cases of the A-share market announcing the stock repurchase are also gradually increasing,of which 1335 cases announced in 2018 and the stock repurchase in China’s capital market is in place It plays an important role in the development of company management and capital market.Stock repurchase has developed into a common financial means to return investors,stimulate and enhance stock prices,improve capital and corporate governance.Scholars at home and abroad have done a lot of research on the related issues of stock repurchase,but through combing the existing literature,we can find that there are relatively few studies on the market effect of the same stock repurchase announcement in different markets in the existing literature.Therefore,this paper studies the stock repurchase cases of sample companies listed in A-share and H-share markets at the same time,and discusses the similarities and differences of market reactions between A-share and H-share markets under the influence of the same stock repurchase announcement.The sample used in this empirical analysis is from the stock repurchase data of a + H sample companies during the period from 2009 to September 2019.Using the event study method and multiple linear regression analysis method,through the statistical test and change trend analysis of excess return rate and abnormal turnover rate,this paper explores the market reaction of A-share and H-share market under the same stock repurchase announcement,and causes two markets Regression analysis was used to analyze the influencing factors of field reaction difference.The results are as follows: 1.The announcement of stock repurchase does have a positive market reaction.2.In the study of excess return,A-share market can obtain significant cumulative excess return within the announcement event window of stock repurchase;while H-share market is easier to obtain significant cumulative excess return after the announcement date of stock repurchase.3.In the research of abnormal turnover rate,only in the first two trading days after the announcement date of repurchase,A-share market has a positive average abnormal turnover rate;while the H-share market still maintains a positive average abnormal turnover rate after obtaining the highest average abnormal turnover rate on the announcement date,effectively improving the stock activity.4.In the regression analysis of influencing factors,It is found that in the H-share market,there is a significant negative correlation between the growth rate of main business,the shareholding ratio of institutional investors and the share buyback ratio and the excess rate of return.There is a significant positive correlation between the shareholding ratio of the first largest shareholder and the excess rate of return,while the A-share market is more affected by the market.