Market Reaction of the Restricted Shares Reducing: Mechanism and Features

This paper analyzes macro and micro transmission mechanism of market reaction of restricted shares. Logical analysis finds that market reaction mechanism of the lift of restricted shares can be decomposed into cumulative effect, early response and reducing effect, which are proved by empirical test. The test also shows: cumulative effect is one of critical factors of market fluctuation; there are significantly negative early response and reducing effect, and market reaction is negative overall; early response is obviously stronger than reducing effect, and there is lift day phenomenon; most of the pressure of lift information is digested in advance, and the lift impact on investorspsila psychology is far greater than that on reduction itself.