The Impact of Listing Select Tier on Determinants of the Stock Returns

Abstract

This study is mainly to find the impact of the select tier on the stock returns of the first batch of the companies. In July 2020, the select tier was successfully listed. However, the impact of listing select tier on investors has not yet been studied, which is the motivation of this research. I analyzed the stock returns of the 32 companies which are selected to be listed as the first batch. In the study, the stepwise regression model was used to screen the variables. This study found out that the listing of the select tier does not positively influence the stock returns but changes the determinants of stock returns. The results showed that after listing, average stock returns became lower and the influence of determinants has changed. The results did not pass the rubostness check using sub-samples of different industries but passed the robustness check using alternative regression. This research fills the current gaps in the research on the stock returns of the select tier of New Third Board and the findings could help investors make further investments as references.