Nontradable Share Reform and Stock Prices Volatility in China
使用TARCH模型研究非流通股改革对中国A股市场波动的影响，发现改革后市场波动显著增加，并排除了时间范围和牛熊市效应，讨论了供给变化、机构投资者扩张和国际冲击等可能原因。
In this paper,the author uses TARCH model with a MA(1) error term as a variant of the event study methodology to explore the effect of nontradable shares reform on the Chinese A-share market returns.It offers robust empirical evidence that the market volatility of aggregate stock returns prominently increased during both the ascending and slumping periods after the reform.The paper excludes the possibilities of time horizon effects and bull market vs.bear market exchange effects by empirical analyses and then discusses some possible reasons that caused the increased volatility,which include uncertainty about market supply change because of the reform,the abnormal expansion of institutional investors and outside shock from the international assets markets. The results provide good reference for understanding current Chinese stock markets and taking effective measures to stabilize the market.