Research On The Impact Of Bailout Fund On Stock Volatility

The number and market value of stock pledges on the secondary market in China are very large,and most of the listed companies whose stocks are pledged are private enterprises.In 2018,there were more stock pledge defaults because of the wild fluctuation of Chinese stock market,and the risk of equity pledge of the listed private enterprises became the focus of the capital market.In order to resolve the risk of stock pledges and help private enterprises achieve healthy and stable development,relevant departments in China have issued a series of assistance policies,including the establishment of bailout funds.They hoped that bailout funds can be used to ease the pressure of liquidity of listed companies and stabilize stock prices which means reduces stocks' sharp fluctuations.The bailout fund has been received high attention from the market since it established.This thesis takes the “bailout fund” as the research theme,and describes amply its operation mode and analyzes whether this policy has impact on stock volatility.Firstly,this thesis analyzes the operation mode of the bailout fund according to the current status of bailout funds.Secondly,this thesis theoretically analyzes how bailout funds with different operating modes affect stock volatility basing on prioritized financing theory,information asymmetry theory,signal transmission theory and behavioral finance theory.Next,this thesis enumerates a bail-out case to show the change of Tang Renshen Group's stock volatility after Hunan Capital Management rescued Tang Renshen.In this case,the stock volatility had relatively increased after the bailout fund running instead of decreasing.Last,this thesis uses the stocks of the listed private companies helped by the bailout fund during the period from November 2018 to December 2018 as the sample processing group,and takes the other listed private companies with stock pledge risk as the sample control group.This thesis makes an empirical analysis on the influence of the Bailout fund's rescue behavior on the volatility of individual stocks through the structure of the DID model.The empirical result is contrary to the expected effect.The empirical result shows that the net effect of the bailout fund on stock volatility is positive,which is that the volatility of individual stocks is increased.In addition,the two kinds of the Bailout fund with different operating modes both increase the stock volatility,and there exists no operating mode heterogeneity.Based on the above research,this thesis puts forward some suggestions for the bailout fund,including " preventing possible moral hazards by using market-oriented operations ";"improving the selection criteria for bailout assistance" & "to build a sound information disclosure system".etal...