The Impact of Stopping IPO in Shenzhen A Stock Market on Guiding Pattern of Information in China s Stock Markets

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1 : (2005) ,, (, ) :,.,, A ;, A A, A A., ,.,,,. : ; ; ; : F : A The Impact of Stopping IPO in Shenzhen A Stock Market on Guiding Pattern of Information in China s Stock Markets TANG Yun2shu, ZHU J un2hong, LUO Zheng2qing (School of Management,Hefei University of Technology,Hefei ,China) Abstract : From the point of view of information, this paper examines the difference of guiding pattern of information in China s stock markets before and after Shenzhen A stock market stopped IPO. We find that before IPO was stopped in Shenzhen A stock market, Shenzhen A stock returns Granger2cause Shanghai A stock market returns and return volatility unilaterally, but after stopping IPO, the relation became no statistical significance. Contrarily, Shanghai A stock market returns and return Volatility became to Granger2cause Shenzhen A stock returns remarkably. The result make clear that stopping IPO in Shenzhen A stock market from October,2000 is crucial for the status between Shenzhen and Shanghai in China s stock markets. The trend that investors abandoned Shenzhen stock market turning for Shanghai market have emerged. In addition,we also find that with the improving of China s stock market, trading volume has had predictive power for stock return and return volatility. Key words : stock returns ; return volatility ;trading volume ; guiding pattern of information ,,,,,.,,,,,,.?,,..,,, : : (AHSK01202D044) : ( ),,,, : ; ( ),,,,, :,.

2 9 37.,,, 1., , A,,, A A., A A.,,.,. : ; ; ;. 2,. ( Price2 discovery theory), ( Schreiber Schwartz, 1996).,..,,.,,.,.,,,,. Eun Shim(1989),,. King (1990) ,,,. Hamao (1990) ,,,..,.,.,,,,.,.,.,. Epps (1976),. (2000),.., A,,

3 , , A A A. (CSMAR). 312 Granger..,, ADF(Augmented Dickey2Fuller) P2P(Phillips2Perron). 1) ADF(Augmented Dickey2Fuller) Y t 2) P2P(Phillips2Perron) m = 1 + Y t i Y t - i Y t i = 1 + t. (1) = 0 + Y t t. (2) ADF, H0 : = 0 ; P2P, H0 : = 1.,. 1 1, A, ADF t ( ) P2P t ( ) H0 : ADF P2P PanelA : A SHR H0 ( SHR H0 SHV H0 ). PanelB : A SZR H0, Granger. SZR H0 313 SZV H0 Granger :1) SHR A ;SHR 2 A ;SHV A ;SZR A ; SZR 2 A ;SZV A ;2) 3 5 % ; %. Granger (test. of causality), X Y ( Granger), X (precede) Y., Y ( ), X Y, X Y ( Granger). Granger : u 1 t u 2 t. Y t Y t = 0 + = m m i = i = 1 i Y t - i i Y t - i + u 1 t, (3) k + X Y (unidirectional causality), : j = 1 H0 : j = 0, j = 1,2, k ; H1 : j 0, j = 1,2, k. j X t - j + u 2 t, (4), RSS 1 RSS 2 (3) (4) OLS, F :

4 9 39 F = ( RSS 1 - RSS 2 )Πm. (5) RSS 2 Π( n - k) F m ( n - k) F., m X, n Y, k (4). F,, X (4), X Y ( Granger). 4 (3) (4), A, (5) F 1., 5. 2, 3. 2 A Null Hypothesis F - P - PanelA1 : A A SZR dose not Granger cause SHR F(5,2018) = Yes SZR dose not Granger cause SHR 2 F(5,2018) = Yes SZR dose not Granger cause SHV F(5,2018) = Yes PanelA2 : A A SZR 2 dose not Granger cause SHR F(5,2018) = Yes SZR 2 dose not Granger cause SHR 2 F(5,2018) = Yes SZR 2 dose not Granger cause SHV F(5,2018) = Yes PanelA3 : A A SZV dose not Granger cause SHR F(5,2018) = No SZV dose not Granger cause SHR 2 F(5,2018) = No SZV dose not Granger cause SHV F(5,2018) = Yes PanelB1 : A A SHR dose not Granger cause SZR F(5,2018) = No SHR dose not Granger cause SZR 2 F(5,2018) = No SHR dose not Granger cause SZV F(5,2018) = Yes PanelB2 : A A SHR 2 dose not Granger cause SZR F(5,2018) = No SHR 2 dose not Granger cause SZR 2 F(5,2018) = No SHR 2 dose not Granger cause SZV F(5,2018) = No PanelB3 : A A SHV dose not Granger cause SZR F(5,2018) = No SHV dose not Granger cause SZR 2 F(5,2018) = No SHV dose not Granger cause SZV F(5,2018) = Yes :1) SHR A ;SHR 2 A ;SHV A ;SZR A ; SZR 2 A ;SZV A. 2) P -. 3), 10 %, Yes, ; No,. 1 Eviews410.

5 A Null Hypothesis F - P - PanelA1 : A A SZR dose not Granger cause SHR F(5,524) = No SZR dose not Granger cause SHR 2 F(5,524) = Yes SZR dose not Granger cause SHV F(5,524) = Yes PanelA2 : A A SZR 2 dose not Granger cause SHR F(5,524) = Yes SZR 2 dose not Granger cause SHR 2 F(5,524) = Yes SZR 2 dose not Granger cause SHV F(5,524) = Yes PanelA3 : A A SZV dose not Granger cause SHR F(5,524) = Yes SZV dose not Granger cause SHR 2 F(5,524) = Yes SZV dose not Granger cause SHV F(5,524) = Yes PanelB1 : A A SHR dose not Granger cause SZR F(5,524) = No SHR dose not Granger cause SZR 2 F(5,524) = Yes SHR dose not Granger cause SZV F(5,524) = Yes PanelB2 : A A SHR 2 dose not Granger cause SZR F(5,524) = No SHR 2 dose not Granger cause SZR 2 F(5,524) = Yes SHR 2 dose not Granger cause SZV F(5,524) = Yes PanelB3 : A A SHV dose not Granger cause SZR F(5,524) = No SHV dose not Granger cause SZR 2 F(5,524) = Yes SHV dose not Granger cause SZV F(5,524) = Yes :1) SHR A ;SHR 2 A ;SHV A ;SZR A ; SZR 2 A ;SZV A. 2) P - ; Yes,, No,. 3), 10 %. 2 3,, ,, A A., A,, A ;,, A A.,,,,., 4,,, A % 1, A, A 10 %.,,,,.,,,. Epps (1976) 1 3.

6 9 41 (2000). 4 A, SHAR SHAR 2 SHAV SHAR SHAR 2 SHAV R C C R R C C R R C C R R C C R R C C R R C C R SZAR Y N Y N Y N N 3 N Y N Y N SZAR 2 Y N Y N Y N Y Y 3 Y Y 3 Y Y 3 SZAV N Y N N Y Y Y 3 Y Y 3 Y 3 Y Y :1) SHR A ;SHR 2 A ;SHV A ;SZR A ; SZR 2 A ;SZV A. 2) R C ;C R. 3) Y, N. 4) 3. 5.,.,, A, ;, A A, A A,., ,.,,,,,,.,.,,,,,,.,,,,,.,,,.,. :. : [1 ] Eun C,Shim S. International transmission of stock market movements[j ]. Journal of Financial and Quantitative Analysis,1989, 24 : [2 ] King M, Wadhwani S. Transmission of volatility between stock markets[j ]. The Review of Financial Studies, 1990, 3 : [3 ] Hamao Y, Masulis R W, Ng V. Correlations in price changes and volatility across international stock markets [J ]. Review of Financial Studies, 1990, 3 : [4 ] Epps T W, Epps M L. The stochastic dependence of security price changes and transaction volume :implications for the mixture2of2 distributions hypothesis[j ]. Econometrica,1976, 44 : [5 ],. [J ].,2000,19 (5) : Sheng J P, Gao F M. Empirical study on correlation between Trading Volume and Stock Returns[J ]. Forecasting,2000, 19 (5) :69-71.

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