Empirical Study on the Effect of Registration Reform on the Yield of ChiNext
DOI:
https://doi.org/10.54691/bcpbm.v30i.2519Keywords:
Registration system, ChiNext, DID analysis, Fama-French three-factor model.Abstract
The advancement of capital market to a more mature stage is shown in the construction of the securities issurance registration system. ChiNext announced the registration system reform in June 2020, which has helped ChiNext make significant strides and attracted investors' attention. The DID Model will be used in this study to assess the effects of the registration system reform on the volatility over the past four years for Shenzhen Component Index and ChiNext Index. At the same time, linear regression was used to verify the validity of the Fama-French three-factor model on ChiNext yield in recent four years. The results show that the introduction of the registration system increases the volatility of ChiNext yield; In ChiNext market, the ability of the Fama-French three-factor model to predict the yield has declined slightly after the implementation of the registration system, while the market risk premium factor is highly significant, and the model still has the predictability of returns.
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