Stock Exchange Comment Letters and Market Response: Evidence from China

초록

This study examines investor reactions to the three types of regulatory comment letters (CLs) issued by the Shanghai Stock Exchange—M&A proposal, periodic report, and general. Using 973 CLs issued between 2016 and 2022, we find that market responses systematically vary with the informational characteristics of each category. Periodic report CLs trigger an immediate and sustained negative effect on abnormal returns; general CLs produce mild and short-lived price reactions; and M&A proposal CLs have limited valuation effects. However, analyses of absolute abnormal trading volume reveal consistently increased trading activity across all categories. These findings have implications for regulatory agencies.

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