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The Efficiency of China’s Stock Market
Figure 3.4 P rices response to the announcem ent o f public inform ation
The clearest and most reliable test for the abnormal returns associated with the
announcement of public information is called an event study. In the first stage of
the event study, what the new information is should be determined. Generally, the
announcements of balance sheet, annual report, dividend issue, stock splits and so
forth concerning listed companies are examples of the new information. The timing
of the information release is defined in the second stage for the event study. If the
announcement occurs after the ...