In China's securities market, "shadow share" is the phenomenon of frequent speculation. Based on the present situation, this paper makes systematic empirical research and tracking on the excess return of "shadow share", And explores the underlying causes of excess returns. Basically, by selecting 89 samples of different plate and market environment, this article studies the cumulative abnormal return (CAR) and abnormal average return (AR) of "shadow share", And draw the following conclusions: In main board and GEM market, the cumulative abnormal return (CAR) of "shadow share" is positive, however, in small and medium board, it becomes negative; In choppy market and rapid declining market, the cumulative abnormal return (CAR) of "shadow share" is positive, while it becomes negative in accelerate rising market.
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