投资者情绪与上市公司违规行为的市场反应

发布时间：2018-07-12 11:47

本文选题：投资者情绪 + 违规行为　；参考：《上海交通大学》2013年硕士论文

【摘要】：关于中国A股市场的投资者情绪以及上市公司违规行为的市场反应，学术界尚未作广泛而深入的探讨。本论文收集了自1998年至2011年被公开披露并处罚的上市公司违规事件，并试图研究市场对这类违规事件以及其子分类的反应。在此基础上，论文还探讨了投资者情绪对上述市场反应程度的影响。通过对上市公司违规行为的处罚公告运用标准事件分析法进行研究，论文发现违规公司股票价格在公告日当天及前后三天有明显的负向反应，平均超额收益率分别达-0.98%和-1.28%。进一步分析表明，，在根据上市公司的违规类型、监管者类型、受到处罚类型进行划分的子样本中，除“违规购买股票”子类的违规行为反映出利好消息外，其他样本中股票价格对违规行为也均表现出负向反应。为了研究投资者情绪对公告日附近市场反应程度的关系，本论文构造了A股市场的投资者情绪指数。论文选取封闭式基金折价、A股市场换手率、股市融资家数、IPO首日收益率以及中国消费者信心指数这五个变量作为投资者情绪代理变量，并使用其前两个主成分的加权平均值作为投资者情绪指数。通过多元线性回归发现，投资者情绪指数与违规行为市场反应程度（绝对值）正相关，但统计显著性较弱。根据股票总市值、销售收入增长率、每股收益/账面价值、近三年现金股利政策将样本二分后，重新作回归分析发现，上述正相关关系对小市值、无盈利能力的公司以及不支付现金股利的公司股票在统计上显著。针对在高投资者情绪下上述类型股票价格对违规行为负向反应较强的现象，论文从不同情绪水平下的股票估值、投资者对信息的处理方式、产生羊群效应的倾向三方面进行了分析和解释。本论文结论的现实意义在于：在高投资者情绪环境下，股票投资者，尤其是小市值、盈利能力差、无现金分红的股票投资者应加强对公司违规风险的分析和控制。另外，监管单位应在高情绪环境下加大对投资者的风险警示，以平抑违规行为公告后股票价格的巨大波动。由此，投资者利益有望得到更好的保护，A股市场得以更健康地发展。
[Abstract]:There has been no extensive and in-depth discussion on investor sentiment and market reaction of listed companies in China's A-share market. This paper collects the listed companies' violations that were publicly disclosed and punished from 1998 to 2011, and attempts to study the market reaction to such violations and their sub-categories. On this basis, the paper also discusses the impact of investor sentiment on the above-mentioned market reaction. By using the standard event analysis method, the paper finds that the stock price of the illegal company has a negative reaction on the day of announcement and three days before and after, and the average excess return rate is -0.98% and -1.28% respectively. Further analysis shows that, in the subsamples classified according to the type of violation, the type of supervisor and the type of punishment of listed company, the illegal behavior of the subcategory of "illegal purchase of stocks" reflects good news. Other samples of stock prices also showed a negative response to violations. In order to study the relationship between investor sentiment and the reaction degree of the market near the announcement date, this paper constructs the index of investor sentiment in A share market. The paper selects five variables as investor sentiment proxy variables, such as closed-end fund discount, A-share market turnover rate, stock market capitalists and IPO first-day yield, and Chinese consumer confidence index. The weighted average of the first two principal components is used as the investor sentiment index. Through multiple linear regression it is found that the investor sentiment index is positively correlated with the market reaction degree (absolute value) but the statistical significance is weak. According to the stock total market value, the growth rate of sales income, the earnings per share / book value, the cash dividend policy of the last three years, the sample was divided into two points, and the regression analysis showed that the above positive correlation was related to the small market value. Stocks of companies with no profitability and without cash dividends are statistically significant. In view of the phenomenon that the above types of stock prices have a strong negative reaction to illegal behavior under the high investor sentiment, the paper analyzes the stock valuation under different emotional levels and the way investors deal with the information. The tendency to produce herding effect is analyzed and explained in three aspects. The practical significance of this paper lies in: under the environment of high investor sentiment, stock investors, especially small market value, have poor profitability and should strengthen the analysis and control of the risk of corporate violation. In addition, regulators should step up the risk warning to investors in the high mood environment, in order to calm the huge volatility of stock prices after the announcement of violations. As a result, the interests of investors are expected to be better protected, A-share market can be more healthy development.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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