SHAREHOLDERS
6.1. Investors’ reaction is expressed through stock price and stock trading volume to the information of foreign investors become majority shareholder
Results in table 6.1 show that there was no evidence on investors’ reaction expressed through stock price and trading volume before and after disclosure date of information that foreign investors become majority shareholders.
Although market had no reaction before and after disclosure date of information. After disclosure date of the event, stock price increased, which indicates that market positively reacted to the disclosed information but the trading volume does not increase. This shows that investors in the market positively assessed this information and are more interested in ticker of stock with information of foreign investors become majority shareholders.
Table 6.1: Abnormal return and abnormal trading volume inspection results when announcement of foreign investors become majority shareholder
t
Abnorm al
return Abnormal trading volume
AAR1 T Test Sign Test AAV T Test
5 0.10% 0.29 1.12 0.15 1.47
4 0.23% 0.71 0.08 0.03 0.27
3 0.03% 0.10 0.26 0.05 0.52
2 0.33% 1.02 1.8* 0.11 1.13
1 0.14% 0.43 1.8* 0.32 3.18***
0 0.33% 1.01 1.46 0.00 0.05
1 0.74% 2.26** 3.52*** 0.07 0.66
2 0.45% 1.36 1.63 0.01 0.06
3 0.01% 0.04 0.94 0.11 1.07
4 0.34% 1.03 0.08 0.02 0.17
5 0.29% 0.88 0.94 0.07 0.69
Frame CAAR T test Sign Test MAAV T stat
[15;1] 1.83% 1.94* 2.15** 0.05 0.79
[0;15] 1.49% 1.50 0.77 0.10 0.99
[0;30] 1.28% 1.11 0.09 0.16 1.64
[15;15] 3.32% 2.21** 2.15** 0.02 0.31
***; **; * means 1%; 5%; 10% respectively.
(Source: Calculated and summarized by the Research Student).
In order to enhance evidence, the thesis examines investors’ reaction at the transaction date to become majority shareholders.
Table 6.2: Abnormal return and abnormal trading volume inspection results around the transaction implementation day of a foreign investor to become a majority shareholder.
t
Abnor mal return
Abnormal trading volume
AAR1 T Test Sign Test AAV T Test
5 0.39% 1.99** 2.16** 0.29 2.81***
4 0.55% 2.76*** 1.47 0.22 2.11**
3 0.14% 0.72 1.30 0.15 1.49
2 0.07% 0.37 0.61 0.16 0.63
1 0.29% 1.45 1.13 0.12 1.17
0 0.39% 1.98** 1.30 0.21 2.02**
1 0.15% 0.77 1.45 0.03 0.25
2 0.02% 0.11 0.59 0.02 0.21
3 0.00% 0.02 0.27 0.00 0.04
4 0.24% 1.23 1.30 0.15 1.48
5 0.23% 1.14 0.44 0.29 2.8***
Frame CAAR T test Sign Test MAAV T stat
[15;1] 2.55% 2.77*** 2.16** 0.12 2.09**
[0;15] 0.66% 0.64 0.27 0.08 0.86
[0;30] 0.73% 0.59 0.78 0.14 1.45
[15;15] 3.21% 2.11** 2.67*** 0.02 0.27
***; **; * means 1%; 5%; 10% respectively.
(Source: Calculated and summarized by the Research Student).
The results in table 6.2 shows that at days before the event that foreign investors are planned to become majority shareholders and able to purchase stock to gradually cumulate, demand for stock increases and thus potential to have impact on market which makes stock price increase.
Especially, at event date, foreign investors’ purchasing big volume of stock to become majority shareholders makes demand for stock at day [0] highly increased resulting in stock price increased at the event date. After event date, the foreign investors didn’t positively purchase more and thus trading volume and stock price no longer extraordinarily fluctuate. However, ticker of AAVs also indicates that stock liquidity dropped after event date.
In a word, the results show that foreign investors’ purchasing stocks to become majority shareholders has impact on stock price, stronger the purchasing power is and higher volume is, the higher stock price is. Escalation of price is purely due to rule of supply and demand. Besides, there is no evidence showing that other investors in market implemented transactions according to foreign investors since after event date, neither abnormal return nor abnormal trading volume exists.
6.2. Investors’ reaction is expressed through stock price and stock trading volume when the announcement of stock sell registration of foreign investors become no longer majority shareholders.
Table 6.3: Abnormal return inspection results at the disclosure date of stock sell registration information of foreign investors become no longer majority shareholders
T
Abnormal
return Abnormal trading volume
AAR1 T Test Sign Test AAV T Test
5 0.33% 1.33 0.49 0.01 0.07
T
Abnormal
return Abnormal trading volume
AAR1 T Test Sign Test AAV T Test
4 0.03% 0.13 0.40 0.17 1.01
3 0.43% 1.73* 1.06 0.08 0.45
2 0.15% 0.60 0.27 0.08 0.46
1 0.05% 0.20 0.40 0.06 0.34
0 0.25% 1.01 1.37 0.07 0.44
1 0.15% 0.61 1.50 0.15 0.91
2 0.25% 1.00 0.93 0.02 0.11
3 0.01% 0.03 0.27 0.10 0.61
4 0.12% 0.48 0.04 0.28 1.66*
5 0.09% 0.36 0.40 0.27 1.60
Frame CAAR T test Sign Test MAAV T stat
[15;1] 0.80% 0.75 1.73* 0.09 1.00
[0;15] 0.36% 0.33 0.27 0.01 0.05
[0;30] 1.36% 1.01 0.62 0.04 0.34
[15;15] 1.17% 0.75 0.18 0.05 0.51
***; **; * means 1%; 5%; 10% respectively.
(Source: Calculated and summarized by the Research Student).
The results of table 6.3 suggest there was no evidence showing investors’ reaction, this is expressed through no abnormal return existence as well as abnormal trading volume has statistical meaning at the disclosure date of information. After disclosure date of the information of decrease in stock price and transaction volume (abnormal return and abnormal trading volume are negative, but have no statistical meaning). In a word, event of announcement of stock sell registration of foreign investors become no longer majority shareholders no longer has obvious impact on stock price and stock trading volume in the market. Therefore, the event of announcement of stock sell registration of foreign investors become no longer majority shareholders does not contain or convey information out to market.
Similar to the content of foreign investors become majority shareholders, to further enhance evidence for the conclusion that foreign investors sell stock to become no longer majority shareholders doesn't contain or convey information out to the market. The thesis further examines investors’ reaction at the successful transaction date of foreign investors become no longer majority shareholders.
Table 6.4: Abnormal return inspection results at the transaction of foreign investors become no longermajority shareholders
T
Abnorma
l return Abnormal trading volume
AAR1 T Test Sign Test AAV T Test
5 0.15% 0.66 1.02 0.19 1.94*
4 0.33% 1.44 0.26 0.19 1.97**
3 0.26% 1.15 0.81 0.42 4.29***
2 0.04% 0.17 0.59 0.20 2.02**
1 0.30% 1.30 0.16 0.17 1.74*
0 0.05% 0.22 0.59 0.66 6.66***
T
Abnorma
l return Abnormal trading volume
AAR1 T Test Sign Test AAV T Test
1 0.34% 1.93* 1.67* 0.26 2.64***
2 0.21% 1.8* 1.24 0.42 4.32***
3 0.20% 0.89 1.02 0.40 4.11***
4 0.20% 0.89 1.02 0.48 4.87***
5 0.17% 0.75 0.05 0.22 2.26**
Frame CAAR T test Sign Test MAAV T stat
[15;1] 1.19% 1.25 0.05 0.12 1.62
[0;15] 0.55% 0.55 1.02 0.30 3.02
[0;30] 0.10% 0.08 1.02 0.17 1.98
[15;15] 1.74% 1.22 0.81 0.21 2.80
***; **; * means 1%; 5%; 10% respectively.
(Source: Calculated and summarized by the Research Student).
The results in table 6.4 show stock price has no abnormal fluctuation before and at the event date, demonstrated by the AAR inspection results having no statistical meaning during this stage;
besides, the was no evidence on existence of accumulated LNTB (CAAR) in period before event.
After event date, there is evidence showing drop in stock price, however, stock price didn’t form new balance level, since no existence of mean accumulated abnormal return in post event period.
Vice versa, stock liquidity is significantly improved in period surrounding the event, positive abnormal return exists from day [6] to day [12]. This result shows that foreign investors could have gradually sold stock before they are illegible to be majority shareholders.
In a word, we can see from the said above analysis result, information of stock sell transaction of foreign investors to become no longer majority shareholders has impact on stock price and trading volume, however, this is only short term effect on stock price. The results indicate, stock price and trading volume are mainly impacted by sell behaviors of foreign investors. The results have inadequate evidence showing the information contained in stock sell of foreign investors to be bad information. Moreover, there may be symptom of transaction of other investors according to transaction behavior of foreign investors.
CONCLUSION CHAPTER 6
The study findings show: Firstly, stock purchase and sell to become majority shareholders and no longer majority shareholders of foreign investors have impact on stock price and stock trading volume. Fluctuation in price and volume in these two events is mainly due to transaction behavior of foreign investors; Secondly, for event of announcement of foreign investors become majority shareholders or no longer majority shareholders has no obvious impact on stock price and trading volume, these events contain no information; Thirdly, the study findings have no evidence that other investors in the market implement sell transactions according to foreign investors but has evidence showing that other investors follow sell transaction of foreign investors.