The impact of market reduction regulations on Idiosyncratic market fluctuations

• 1、College of Finance and statistics, Hunan University,ChangSha 410000

Abstract：The issue of major shareholder reductions, as an important part of maintaining the stability of the financial market, ensuring the standardized operation of the financial market and improving the information disclosure system, has always attracted national attention. This article starts with two issues reflected by idiosyncratic volatility changes, and defines heterogeneous volatility in the stock market as an index that reflects market perfection and information transparency. The Fama-French three-factor model is used to find the heterogeneous volatility series of the world\'s major financial market stock indexes. Based on this, the panel data policy evaluation method (Hsiao, Ching and Wan, 2012) is used to fit the idiosyncratic of the Chinese market Sexual volatility, and further studied the impact of the old rules of reducing holdings introduced in January 2016 and the new rules of reducing holdings introduced in May 2017 on the idiosyncratic volatility of the Chinese stock market. Expand the nature of heterogeneous volatility from a single stock to the market as a whole.

Keywords： Idiosyncratic volatility Major shareholder reduction Panel data policy evaluation