The Influence Of Stock Split On Trading Behavior

In recent years,the high transfer stocks have become a hot investment target in the market and it is also one of the key regulatory targets of the regulatory authorities.The action of stock high transfer has not changed the basic situation of the company itself.But why is the company keen to implement high transfer?Based on the different market cycles?bull or bear markets?,this paper chooses the high transfer stocks of A-share listed companies in Shenzhen Stock Exchange as the research object.Through the high-frequency intra-day data,firstly,this paper makes statistical analysis on the stock excess return,price difference and market depth before and after the announcement of the high-transfer plan.Then,use the information trading model to study the changes of the market microstructure before and after the announcement of the high-transfer plan in different market cycles and verify whether the relevant market microstructure theory can explain the high-transfer action of Shenzhen A-share stocks.Through the statistical analysis of intra-day high-frequency trading data,this paper finds that there are significant excess returns before and after the announcement of the high-transfer plan in the bull or bear market,which indicates that there are informed traders who get the relevant information of the high-transfer before the announcement of the plan and profit from it.Market depth increases significantly after the announcement of the plan,which indicates the increase of market liquidity.However,in the bear market,the increase of market depth is later than that in the bull market,indicating that investors'enthusiasm for high-transfer stocks is lower than that in bull market.Also,the reaction speed of high-transfer is lower than that in bull market.For both price difference and relative price difference,there are short increasing trends before and after the announcement of the plan.One possible explanation is that the non-informed traders take the initiative to increase the price difference to protect their own interests in order to avoid trading with the informed traders.In a bull market,spreads and relative spreads will return to their original levels,but in a bear market,spreads and relative spreads will decrease.That is to say,the action of high transfer in bear market can improve liquidity level of the market.Through the information trading model,this paper finds that liquidity theory can explain the high-transfer action of A shares in Shenzhen Stock Exchange.After the announcement of the high-transfer plan,regardless of the bull and bear market,the model parametersandincrease and₍?7? decreases,indicating that the number of uninformed traders increases.And when they enter the market,they tend to use radical orders to trade,which increases the liquidity of stocks.This is consistent with the liquidity theory.The parameters?and PIN both increase,indicating that the degree of information asymmetry increases and the problem of adverse selection aggravates after the announcement of high-transfer plan.This is contrary to the viewpoint of signaling theory.In bull market,the parameterdecreases significantly,while in bear market,there is no significant difference,which is not consistent with the optimal tick size hypothesis.Catering theory can explain the domestic high-transfer action to a certain extent.The parameter?has an increasing trend.Combined with the increase of PIN and?,it can be explained that the managers of listed companies have a preference to cater to investors'high-transfer policy in order to boost the stock price and gain profits.Regulators need to focus on the high-transfer companies in the bull market and strictly guard against insider trading and interest transfer.The proportion of informed trading in bear market is relatively small,so supervision can be relaxed to improve market liquidity.At the same time,this study finds that SMEs have more informed trading than GEM,so regulators should strengthen the supervision of SMEs.