| In recent years,speculation has become popular in China’s securities market.In 2020,the reform of the registration system on the gem has attracted a wave of crazy speculation.In order to deal with these market speculation,China’s relevant regulatory authorities have also been developing and improving regulatory means in recent years.Inquiry letter system is an innovative way of supervision based on foreign market experience.It is a non punitive means of market supervision.The issuing body of the inquiry letter is the exchange.When the exchange notes that there are abnormalities in the shares of the listed company or irregularities in the information disclosure of the listed company,it will issue a concerned inquiry letter to show its concern for the company.The corresponding company shall carefully reply to the questions raised in the attention letter.Through such inquiry and reply mechanism,we can accurately crack down on speculative stocks and warn market investors to correctly understand the stock value,which will help stabilize the order of the stock market and strengthen the supervision of information disclosure of listed companies.The public disclosure of the inquiry letter is the key to ensure the effectiveness of the inquiry letter system.It can effectively reduce the information asymmetry in the stock market,improve the market information transmission mechanism,make external investors more rational investment behavior,and ensure the long-term and healthy development of the securities market.In this paper,python crawler program is used to capture the relevant data of companies that have received clearance notes from 2015 to 2020,select the stocks with abnormal growth data as the research group,use PSM matching to form the control group,use the event research method to preliminarily judge the hypothesis and obtain the explanatory variable CAAR required by the hypothesis model,and then further use the regression analysis method to regression analyze the hypothesis model,This paper studies the impact of attention inquiry letters on the volatility risk of stock price and short-term excess return.The research shows that the short-term stock price fluctuation risk of the companies receiving the attention letter is significantly increased,but it has timeliness;The cumulative excess return of the company’s shares that received the attention letter before and after the event day will also have a significant negative impact.It shows that the concerned inquiry letter not only has the regulatory function of restraining market speculation,but also has the function of risk identification and risk prompt. |
