| Author: | 孫謙 Sun, Qian |
| Title: | 市场流通性对股价的影响 : 中国股权分置改革的实证研究 Shi chang liu tong xing dui gu jia de ying xiang : Zhongguo gu quan fen zhi gai ge de shi zheng yan jiu |
| Other Title: | The benefits of public trading : evidence from the split share structure reform in China |
| Degree: | D.Mgt. |
| Year: | 2008 |
| Subject: | Hong Kong Polytechnic University -- Dissertations. Stock splitting -- China. |
| Department: | Graduate School of Business |
| Pages: | xi, 89 leaves : charts ; 30 cm. |
| Language: | Chinese |
| Abstract: | In April 2005, China launched "the Split-Share Structure Reform", aiming at improving the marketability of non-tradable shares and at resolving an historical problem of the split-share structure. Under the split-share structure, there exist two types of shares for listed companies: non-tradable shares (69% on average) trading at substantial discounts and tradable shares (31% on average). The Reform is compulsory for all the listed companies to undertake within the next one and half years. Thus it provides us with a unique opportunity to investigate the impacts of factors such as marketability, ownership structure, and stock issue privatization on stock valuation. In this study, I adopt a two-stage approach to examine the market effects of the Reform. First, I use an event study methodology to measure the stock price reaction to the new policy. In particular, I define the announcement day of the first listed company that carrys out the reform policy as the event day, and obtain the mean cumulative abnormal returns (CAAR). Overall, market reacts positively to the announcement of the Reform. Second, I conduct cross-sectional regressions to identify factors that explain individual firm's cumulative abnormal return (CAR), using a sample of 802 companies. The main results are summarized as follows. (a) Historical stock volatility is positively associated with the CAR, supporting the prediction of Longstaff's (1995) theoretical model on marketability. (b) The fraction of non-tradable shares is positively associated with the CAR. (c) Firm's need for external funds is found to be positively related to the CAR. (d) Holdings by institutional investors are negatively associated with the CARs. Finally, policy implications of the findings and limitation of the study are also discussed in the concluding chapter of this dissertation. |
| Rights: | All rights reserved |
| Access: | restricted access |
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| b23009974.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 7.19 MB | Adobe PDF | View/Open |
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