Research On The Spillover Effect And Influencing Factors Of The Return Of Chinese Concept Stocks

Since 2020,the regulatory requirements of U.S.regulators for Chinese stocks have become more stringent,and the requirements for information disclosure of Chinese stocks have risen to the legal level.In 2022,more than 100 Chinese stock companies will be included in the list of "pre-delisted" and there will be many successful cases of the return of Chinese stocks during this period.Based on this background,this paper studies the spillover effect of Chinese stock return,analyzes the industry heterogeneity and plate heterogeneity of this spillover effect,and then analyzes the influencing factors of the spillover effect of Chinese stock return.Firstly,it introduces the development status of Chinese concept stocks in the United States,summarizes the reasons for the return of Chinese concept stocks from both internal and external aspects,and summarizes the development status of Chinese concept stocks companies that have returned to the domestic market.Then,23 Chinese concept stock companies that returned to the market between 2014 and 2022 were selected as the research object,and the event study method was used to test the spillover effect of Chinese concept stock return on listed companies in the same industry.The results show that at the overall level,Chinese concept stocks can have a negative competitive effect on listed companies in the same industry one day before the return,and turn into a positive contagion effect on the second day of the event.Furthermore,the research samples are classified according to the industry.It is found that the return of Chinese stocks in the software and services,pharmaceutical,consumer services and electrical equipment industries has a positive contagion effect on companies in the same industry;the return of Chinese stocks in the health care equipment,semiconductor equipment and product industries has a negative competitive effect on companies in the same industry;the impact of the return of Chinese stocks in the media and entertainment industry on companies in the same industry has changed from competition effect to contagion effect;the impact of the return of Chinese stocks in the telecommunications industry on companies in the same industry has changed from contagion effect to competition effect;the above spillover effects are significantly not 0.Then,the research samples are classified according to the listed plates.It is found that each plate has a negative competition effect one day before the event,and only the small and medium-sized board and the GEM have a positive contagion effect.Therefore,the spillover effect of the regression event has plate heterogeneity.On this basis,through the analysis of the influencing factors of the regression spillover effect of Chinese concept stocks,it is found that the regression spillover effect of Chinese concept stocks is significantly positively correlated with the company’s market-to-book ratio,listed sector,profitability,capital structure and stock liquidity,and is significantly negatively correlated with the company’s size.Finally,based on the empirical results,suggestions are made for listed companies,investors and regulators to help investors distinguish the opportunities for excess returns,promote the stable development of listed companies and welcome the return of more high-quality Chinese stocks.