An empirical study on the reform of shareholder's structure of listed company, expectation of stock supply expansion and market reaction
- He Chengying, Li Xiang
- Journal of Financial Research,
In China, the Shanghai and Shenzhen 300 Index Futures (300IF) will be introduced soon. This article studies the effect of the introduction anticipation of the 300IF on the component stocks of the underlying index using the event research model and the factor analysis model. The conclusions are: (1) the introduction anticipation of the 300IF brings abnormal returns for its component stocks and the stock weight is greater, the abnormal return rate is higher; (2) the factors influencing the premium of the component stocks mainly include the weight of the component stocks and the return rate of the market index. These conclusions may provide some guidance for the investors and will bring beneficial reference for the government to introducing other financial derivative products in the future.