Abstract:
Based on the data of inventory stocks listed on the Main Board and the ChiNext Board from 2018 to 2022, this paper identifies the causality of whether the registration-based IPO system reform of the ChiNext Board affects the volatility of its inventory stocks using a difference-in-difference (DID) model and the estimation is based on the use of “counterfactual estimators” that overcomes the parallel trend violation problem. The estimation results of the “counterfactual estimators” show that the registration-based IPO system reform of the ChiNext Board increases the volatility of its inventory stocks in the short run but reduces stock volatility in the long run significantly. The mechanism analysis shows that changes in investor sentiment, the relaxation of the daily price limit rule, and the improvement in pricing efficiency are the main ways in which the registration-based IPO system reform of the ChiNext Board affects the volatility of its inventory stocks. The heterogeneity analysis shows that stocks that are easily targeted for speculation are more sensitive to policy shocks, and the volatility of these stocks rises more in the short run but falls more substantially in the long run.
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