WHITE COLLAR CRIME AND STOCK RETURN IN CHINA : EMPIRICAL STUDY FROM ANNOUNCEMENT EFFECT

CHONG, MIAW HUA (2013) WHITE COLLAR CRIME AND STOCK RETURN IN CHINA : EMPIRICAL STUDY FROM ANNOUNCEMENT EFFECT. [Final Year Project Report] (Unpublished)

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Abstract

The primary objective of this paper is to examine the impact of white collar crime announcement on Chinese stock performance. This is because white collar crime is on the rise around the world and China is ranked high in this area. The research employs event study methodology to investigate the performance of stock return to the announcement of white collar crime as well as to examine the market efficiency. The normative research suggests that Chinese stock market is not affected by the announcement. This study also suggests that the market is efficient as the significant negative abnormal returns are not obtained. Furthermore, shareholders, investors, company managers, policy makers, and Chinese Government should be aware with the rise of white collar crime as it might bring down the market as well as the economy. Evidence is not found to prove the negative impact of white collar crime on stock performance but other study had proved that such result is due to the inconsistent of enforcement practice and uncertain law. Moreover, the limitation for this study is the small sample size and only one model is used to examine the abnormal return of stocks. A longer estimation period is recommended in order to obtain a more reliable result.

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