国外突发事件对国内股票市场影响研究

发布时间：2018-03-14 03:50

本文选题：国外突发事件　切入点：影响机理　出处：《哈尔滨工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：突发事件与股票市场密切相关，已有的研究大多用事件研究法考察某类或某个突发事件是否会对某行业股票产生正向或负向影响，鲜有研究关注重大突发事件对整个股票市场的影响及其影响机理。近年来，随着国际局势动荡、金融危机、自然灾害的频繁发生，对国外突发事件的研究开始成为热点。但目前此类研究很少，并没有形成系统性。因此，论文尝试系统性的研究国外突发事件对国内股票市场的影响，在研究股价异动表象的同时，亦对其影响机理和影响因素进行探索。在国内外研究基础上，论文首先对国外突发事件进行了界定，继而构建了国外突发事件对国内股票市场影响机理模型，然后对情绪与股票市场进行了理论分析。根据对国外突发事件的界定，以新华社评出的2011年国际十大新闻为重大性标准，筛选出符合论文定义的国外突发事件，以上证A股主板上市公司为样本，，对筛选出的事件分别进行事件研究、股价异动检验以及多元线性回归分析。事件研究中对样本股票的异常收益、累积超常收益进行了考察；在异动检验中分别检验了时间窗内事件前后样本股票的日振幅平均以及短期波动情况；在回归分析中以企业业绩、流通股股权集中度、机构投资者等因素作为自变量对股价异动进行了解释。实证研究结果表明：（1）异常收益、累积异常收益分别在t=3、t=4前达最值；（2）事件发生前后A股市场的活跃程度及收益率有显著不同；（3）企业业绩对股价异动具有双重作用，流通股大股东在国外突发事件中投资决策具有非一致性，机构投资者没有起到推波助澜的作用；（4）ST(*ST)股票表现不俗。
[Abstract]:Emergent events are closely related to the stock market. Most of the previous studies have used event research methods to investigate whether a certain type of emergency or an unexpected event will have a positive or negative impact on the stock market in a certain industry. Few studies have focused on the impact of major emergencies on the entire stock market and its mechanism. In recent years, with the turbulence of the international situation, the financial crisis, and the frequent occurrence of natural disasters, The research on foreign emergencies has become a hot topic. However, there are few such studies at present, and there is no systematization. Therefore, this paper attempts to systematically study the impact of foreign emergencies on the domestic stock market. At the same time, the influence mechanism and influencing factors of stock price are explored. Based on the research at home and abroad, the paper defines the foreign emergencies, and then constructs the model of the influence mechanism of the foreign emergencies on the domestic stock market. Then it makes a theoretical analysis of emotion and the stock market. According to the definition of foreign emergencies, taking the top ten international news stories of 2011 as the significant standards, the paper selects the foreign emergencies that accord with the definition of the paper. Taking the listed companies on the main board of Shanghai Stock Exchange A as the sample, the selected events are studied respectively by event analysis, stock price change test and multiple linear regression analysis. The abnormal returns and cumulative extraordinary returns of the sample stocks are investigated in the event study. The average daily amplitude and short-term fluctuation of the sample stock before and after the event in the time window were tested in the change test, and in the regression analysis, the performance of the enterprise, the concentration of tradable shares, the concentration of tradable shares, were analyzed in the regression analysis. Institutional investors and other factors are used as independent variables to explain the volatility of stock prices. Cumulative abnormal returns reached the maximum value before TX 3 / TX 4) before and after the incident, there were significant differences in the degree of activity and rate of return in the A share market. (3) Enterprise performance has a dual effect on stock price volatility. The investment decisions of the major shareholders of circulating shares in foreign emergencies are inconsistent, and institutional investors have not played a role in contributing to the development of the stock market, and the performance of the stocks is not vulgar.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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