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Advances in international finance. 2020; 2: (2) ; 10.12208/j.aif.20200003 .

Research on Market Impact of Reducing Pre-announcement System from the Perspective of Financial Supply-side Reform
减持预披露制度市场效应的研究

作者: 余宇新, 李煜鑫*, 陈江卓

上海外国语大学国际金融贸易学院

*通讯作者: 李煜鑫,单位:上海外国语大学国际金融贸易学院;

引用本文: 陈江卓. 减持预披露制度市场效应的研究[J]. 国际金融进展, 2020; 2: (2) : 12-24.
Published: 2020/8/3 17:27:55

摘要

金融供给侧改革很重要的方面就是完善金融制度产品的供给,只有通过建设完善的金融市场制度建设完善才能让金融成为中国核心竞争力提升的重要推手。通过研究金融制度的市场影响,可为金融供给侧改革提供启示。本文采用事件研究法,选用了面板分位数回归,通过研究减持预公告制度的市场效应揭示了减持预公告制度与其他制度之间的相互关系,验证了融资融券制度在市场冲击下的信息揭示作用,结果表明,减持预公告制度对市场的冲击是客观的,减持预公告制度执行是较为规范的,未测度到事前的信息泄露特征;减持预公告对市场的影响,不论从异常收益率影响因素的回归,还是波动率的回归来说,都表明该类公告仅仅有短期市场冲击作用,未来发展预期的新信息含量并不显著;融资融券制度具有平抑减持预公告负面冲击的作用,符合监管层融资融券制度设计安排预期;机构投资者对于预公告的反映较小,相关变量都不显著,这表明机构投资者忽视减持预公告带来的市场短期波动影响。

关键词: 减持预公告制度;事件研究法;面板分位数回归;融资融券制度;机构投资者

Abstract

One important aspect of the financial supply side reformis to perfect the supply of financial system products. Only through the construction and improvement of financial market system can finance become an important promoter of China’s core competitiveness. By studying the market influence of the financial system, it can provide inspiration for the financial supply side reform.The paper adopts an event study method and applies panel quantile regression analysis to investigate the impact of stock reduction pre-announcements on the stock market in the A-share market of China. It verifies the information revealing function of margin trading system under the impact of market.Overall, the results show a significant influence of such announcements on the performance of the stock market. The paper argues that in general the implementation of the stock reduction pre-announcement scheme is well-regulated, there is no evidence of information leakage before the announcement. The analysis discovers only a short-term influence of those announcements on abnormal rate of returns and price fluctuation of stocks, while not much information is found for further expectations. The paper also finds that the margin trading system can ease the negative shock of stock reduction pre-announcement on the market, this accords with the expected outcomes of the margin trading system when it was first designed. Institutional investors have little response to pre-announcement, and the relevant variables are not significant, which indicates that institutional investors ignore the short-term volatility of the market caused by the reduction of pre-announcement.

Key words: Reducing Pre-announcement System;event study method;panel quantile regression;margin trading system;institutional investors

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