中国股市谣言研究:传谣、辟谣及其对股价的冲击

发布时间：2018-05-05 13:22

本文选题：谣言 + 澄清公告　；参考：《管理世界》2010年11期

【摘要】：本文对我国股市上的谣言进行了梳理和研究,发现市场上流传的大多为利好谣言,涉谣公司多以规模较大、业绩变化不确定或者业绩连续变好的公司为主;传谣者既有一般商业性媒体,也有证监会指定的信息披露媒体。在谣言对股价的冲击方面,第一,传谣对股价造成了显著的异常冲击。第二,在面对谣言时,不管是哪种类型的谣言,投资者都宁愿信其有,这导致辟谣并不能快速、完全地回复股价,辟谣澄清了消息,但却拉不回股价。第三,传谣和辟谣显著增加了涉谣股票的关注度,导致涉谣股票的交易活跃度和流动性出现了短暂的显著提升。第四,在面对谣言时,机构投资者和散户投资者表现出了基本一致的市场反应,没有证据显示机构投资者的交易策略比散户投资者更加理性和稳健。本文的研究说明,谣言已经成为扰乱我国证券市场秩序的重大问题,投资者对谣言的处理存在不理性行为,其中存在的制度性问题值得监管层和上市公司高度重视。另外,本文的一些研究结论对其他领域谣言的研究也有一定的借鉴意义。
[Abstract]:This article combs and studies the rumour in the stock market of our country, and finds that most of the rumors circulating in the market are positive rumors, and the companies involved in the rumour are mainly those whose scale is large, whose performance is uncertain or whose performance has changed continuously. Rumour propagandists not only general commercial media, but also the information disclosure media designated by the CSRC. In the impact of rumors on the stock price, first, rumour caused a significant impact on the stock price. Second, in the face of rumors, regardless of the type of rumor, investors prefer to believe it, which leads to disinformation is not quick, full return to the stock price, rumour clarification, but can not pull back the stock price. Thirdly, rumour spreading and rumour refuting significantly increased the attention of rumor-related stocks, which led to a brief and significant increase in the trading activity and liquidity of rumor-related stocks. Fourth, in the face of rumors, institutional investors and retail investors have shown a basically consistent market response, there is no evidence that institutional investors trading strategy than retail investors more rational and sound. The research in this paper shows that rumor has become a major problem that disturbs the order of securities market in our country, and investors have irrational behavior to deal with the rumor, among which the institutional problems are worthy of great attention by regulators and listed companies. In addition, some conclusions of this paper also have some reference significance for the study of rumors in other fields.
【作者单位】：西南财经大学金融学院;西南财经大学经济研究院;西南交通大学经济管理学院;
【基金】：国家社会科学基金西部项目《现代金融理论在证券民事赔偿中的运用及司法建议》(批准号08XFX022) 西南财经大学211工程3期重点学科建设项目的资助
【分类号】：F832.51

【相似文献】