Title :
The Study of Announcement Effect of Block Transfers: Evidence from China after Equity Splitting Reform
Author :
Peng Li ; Li, Peng
Author_Institution :
Manage. Sch., Huazhong Univ. of Sci. & Technol., Wuhan, China
Abstract :
Based on two scenarios, bullish and bearish market, this paper examines the announcement effect of block transfers, using equity transfers information disclosed by 175 firms listed on China´s stock markets from October 2006 to October 2008. We find that Cumulative Abnormal Returns (CARs) positively correlate with the block purchases percentage of tradable shares, but negatively correlate with the block sells percentage of tradable shares. Market reaction to information announced on block transfers is more stronger than transfers conduct. Market-specific price impact asymmetry exists in Chinese equity market. Stocks price has been manipulated by block sellers before the transfers announced day.
Keywords :
pricing; purchasing; stock markets; China; block purchase percentage; block transfer; cumulative abnormal return; equity market; equity splitting reform; market-specific price impact asymmetry; stock market; stocks price; tradable share; Automation; Conference management; IEEE news; Performance analysis; Statistical analysis; Stock markets; Technology management; Testing; announcement effect; block transfers; scenarios analysis;
Conference_Titel :
Intelligent Computation Technology and Automation (ICICTA), 2010 International Conference on
Conference_Location :
Changsha
Print_ISBN :
978-1-4244-7279-6
Electronic_ISBN :
978-1-4244-7280-2
DOI :
10.1109/ICICTA.2010.81
