在美中国概念股信任危机的系统性影响力分析
发布时间：2018-07-13 21:45
【摘要】：“信”乃个人的立身之本,是企业的立业之本,也是国家政府的立国之本。我国古代商道提倡“诚信为本,以义取利”,“义、信、利”等。诚信是社会正常运行的道德基础,更是我国市场经济持续健康发展的一个不可忽视的软条件与软约束。市场经济体制有利于我国经济的发展,但同时在这竞争激烈甚至残酷的当代,容易诱发部分企业尤其是成长环境艰苦的企业过分重利等观念和风气,甚至在企业之间盛行着“不走寻常路,才能活下来。走正常途径,反而办不了事”的观念。创新本身是好的,合理规避法律法规,也是可以的,但这所谓的“不寻常路”观念亦滋生了一种不好的风气,那就是挑战法律与道德底线,从而出现不诚信,甚至造假等问题。这种风气不仅体现在了我国企业的实体发展运营中,亦蔓延至了资本市场。 2010年11月10日,在美上市中国企业大连绿诺被美国做空机构Muddy Water指控财务造假、信息披露不实、高管贪污,并被评级为“强力卖出”。以此为标志拉开序幕,美国资本市场中国概念股在美国做空机构的疯狂“猎杀”下,上演了有史以来中国企业在美国资本市场上最为严重的信任危机事件。此次事件中,中国高速频道、中国东方纸业等多家公司遭遇集体诉讼,美国市场投资者则对诸多中国概念股以脚投票,美国证监会SEC展开对中国企业尤其是以借壳方式上市的中国企业的调查,132家中国企业被美国最大的非银行券商盈透拉入黑名单,美国龙昌会计师事务所甚至做出了审计界罕见的事情,举报纳伟仕、岳鹏成电机等4家中国客户涉嫌财务造假,多家赴美上市中国企业受牵连IP0遭遇破发,西安宝润、大连绿诺、中国高速频道、盛大科技、江波制药等多家公司被勒令退市或停牌,泰富电气、大连傅氏、中能集团(SNEN)、同济堂等企业则选择主动私有化退市。 这次信任危机事件,不仅重创了确有财务造假、信息披露不实等情况的“原罪”企业,逼迫其市值缩水、接受调查、退市、停牌、也严重影响了绝大多数在美国上市的其他中国企业,中国企业股价纷纷下跌,市值遭到严重缩水。再者,此次信任危机事件,也很可能波及到整个美国资本市场,甚至其他地区资本市场中国概念股,比如香港中国概念股。因此,本文以该次信任危机事件为着眼点进行研究,并论证“信任”的系统性影响力,以引起个人、企业、乃至国家政府对“诚信”、“信用”建设的高度重视。 本文第二章,首先从中国概念股定义开始,介绍了近年来我国企业赴海外上市数量、融资额、上市企业总量以及在全球各国资本市场上市的数量分布情况,从而对中国企业海外上市有了概览性认识,同时,我们也了解到,香港市场与美国市场是我国企业赴海外上市的最主要两大资本市场。其次,本文介绍了在美中国概念股基本情况,总结了美国资本市场层次、美国主要资本市场上市条件,中国概念股在美国资本市场的历史渊源与四波上市浪潮、中国企业在美上市方式以及中国企业在美国各大资本市场分布等。 第三章中,在大量阅读期刊杂志的基础上整理归纳,首先按照时间顺序描述了信任危机事件的起源与开端、危机步步蔓延直至全面爆发的过程,其次描述了此次危机事件中美国证监会SEC、各大交易所、会计师事务所等中介机构、做空机构等各方的反应与行动。之后,本文分析了此次信任危机事件发生的原因。进一步地,从四个层面上分析了此次信任危机事件的“系统性”影响冲击力：第一层面：信任危机在企业个体层面的系统性扩散；第二层面：在美国资本市场中国概念股范围层面上的系统性扩散；第三层面：在美国资本市场层面上的系统性扩散；第四层面：在全球资本市场范围层面上的扩散,重点讨论对香港资本市场中国概念股产生影响。其中第三层面与第四层面的系统性扩散作为遗留问题,在后面逐步解决。 在第四章、第五章,通过单位根检验、格兰杰因果检验、VAR模型建立、脉冲响应函数以及方差分解等实证研究及实证分析,着重论证了前述遗留问题：一是论证了在2010年11月10日至2012年2月24日期间,即美国信任危机事件发生后的一年多时间里,美国市场中国概念股对美国市场具有较强的格兰杰领先影响关系,其对美国市场大盘指数的脉冲响应冲击均较为明显。换句话说,中国概念股的信任危机,也通过股市的这种传递机制,波及到了整个美国资本市场。二是论证了在2010年11月10日至2012年2月24日期间,即美国信任危机事件发生后的一年多时间里,美国市场中国概念股对香港市场中国概念股,包括香港H股指数HSCEI与香港红筹股指数HSCCI均有显著的格兰杰领先影响关系,其对香港市场中国概念股的脉冲响应冲击均较为明显。中国概念股的信任危机,通过跨市场的这种传递机制,波及到了香港市场中国概念股。 综上所述,得出了本文的结论： 一、“信”乃企业立业之根本,是资本市场机制有效运行之基石,应引起所有企业,资本市场监管机构,乃至国家政府高度重视。 二、此次信任危机事件有力体现了美国资本市场的自发性监管机制。 三、“诚信”“信任”出现问题,容易引起系统性的影响冲击力,本次美国市场中国概念股信任危机事件,体现了四个层面上的系统性冲击力： 第一层面：在企业个体层面的系统性扩散 事发企业由于财务造假、信息披露不实等局部原因,受做空机构指控,引发市场投资者对该企业的整体“诚信”“信誉”产生怀疑,尤其在企业态度不端正或不明朗的情况下,更容易导致系统性崩溃,企业股价与市值迅速蒸发无几,最后走上退市之路。 第二层面：在美国资本市场中国概念股范围层面上的系统性扩散。 2007年5月8日至2010年11月9日期间,美国市场中国概念股指数CHXN比率(注：与其基点的比率)走势图均在标准普尔500、纳斯达克指数以及道琼斯工业指数比率走势图上方。而在信任危机事件发生后,2010年11月10日至今2012年2月24日期间,尤其是2011年5月份开始,美国市场中国概念股指数CHXN比率走势图在纳斯达克指数以及道琼斯工业指数比率走势图下万。 第三层面：在美国资本市场范围层面上的系统性扩散。 在2011年11月10日至2012年2月24日期间,即美国信任危机事件发生后的一年多时间里,美国市场中国概念股对美国市场具有较强的领先影响关系,其对美国市场的脉冲响应冲击均较为明显,且随着期数往前推移,CHXN对纳斯达克指数的可解释变异比率维持在68%的水平,对道琼斯工业指数DOWJ的可解释变异比率维持在约54%水平。中国概念股的信任危机,也通过股市的这种传递机制,波及到了整个美国资本市场。 第四层面：在香港资本市场中国概念股范围层面上的系统性扩散。 在2010年11月10日至2012年2月24日期间,即美国信任危机事件发生后的一年多时间里,美国市场中国概念股对香港市场中国概念股,包括香港H股指数HSCEI与香港红筹股指数HSCCI均有较强的格兰杰领先影响关系,其对香港市场中国概念股的脉冲响应冲击均较为明显,且随着期数的往前推移CHXN对HSCEI、HSCCI的可解释变异比率均维持在30%左右。中国概念股的信任危机,通过跨市场的这种传递机制,影响到了香港市场中国概念股。 四、对于非上市公司,尤其是跨国公司、多元化集团,“诚信”“信任”体系建设亦尤其重要,应高度重视。 在结论基础上,本文给出建议：一是建议无论非上市公司层面、上市公司层面、跨国公司、多元化集团公司层面,还是行业自律组织、监管机构,直至国家政府层面,均应高度重视对“诚信”“信用”的精心维护,谨防个体信任问题引发系统性的危机。二是呼吁国民对企业“不诚信”行为给予道德与行动上的严厉惩戒,应避免麻木、被动的心态对待,首先从态度上拒绝轻易原谅“犯错主体”,其次以自身行动拒绝向“犯错主体”贡献利润。此外,政府应重视媒体诚信建设,尽量减少对博客、微博等具有大众媒体的干预,从而加强公众道德约束的力度。 本文创新在于：在描述信任危机事件过程、分析发生原因的基础上,从企业个体范围层面、美国市场中国概念股范围层面、所在资本市场范围层面、全球资本市场中国概念股范围层面,采用数量分析与实证研究结合的方法,剖析了“信任”的层层系统性扩散与系统性影响冲击力,从而引起人们高度重视诚信建设,谨防系统性信任危机发生。 本文缺陷在于：未对此次美国市场中国概念股信任危机,是否波及到香港市场以外的其他资本市场中国概念股,予以实证研究与论证,在第四层面的结论上,缺乏完整性。
[Abstract]:"Letter" is the foundation of the individual, the foundation of the enterprise and the foundation of the state government. The ancient commercial road of our country advocates "honesty, righteousness, faith, profit". Honesty is the moral foundation of the normal operation of the society, and it is also a soft and soft contract which can not be ignored in the sustainable development of our market economy. The market economic system is conducive to the development of our country's economy, but at the same time, in the fierce and even cruel contemporary era, it is easy to induce some enterprises, especially the enterprises with hard growth environment, to overprofit and so on. Concept. Innovation itself is good, it is also possible to reasonably circumvent laws and regulations, but the so-called "unusual road" concept also creates a bad atmosphere, which is the challenge of the bottom line of law and morality, and thus the emergence of dishonesty and even counterfeiting, which is not only reflected in the entity development and operation of Chinese enterprises, but also tendril. It has been extended to the capital market.
In November 10, 2010, Dalian Rino, a Chinese listed Chinese company, was launched by the American capital market China concept stock in the history of "hunting" in the United States under the crazy "hunting" of the American capital market, Dalian Lindo, the American empty agency, accused of fraudulent financial fraud by the American shorting agency, Muddy Water, and was rated as "strong selling". In the event of the most serious crisis of trust crisis in the US capital market, many companies such as China's high speed channel, China Oriental paper industry encountered collective action, and American market investors voted for many Chinese concept stocks, and the US Securities Regulatory Commission SEC launched a Chinese enterprise, especially a Chinese enterprise listed on a shell way. A survey of 132 Chinese companies has been blacklisted by the largest non bank securities firms in the United States. The American public accounting firm has even made a rare event in the audit field. 4 Chinese customers, such as Yue Pengcheng motor, were reported to have been suspected of financial fraud, and many Chinese companies listed in the United States have been affected by IP0, Xi'an, Dalian and Dalian. Many companies, such as Rino, China high-speed channel, Shanda technology, Jiang Bo pharmaceutical and other companies were ordered to go out of the market or discontinuation of the market. Tai Fu electric, Dalian Fu, Zhong Neng group (SNEN), Tongji hall and other enterprises chose to take the initiative to privatize the market.
The trust crisis has not only created a "original sin" enterprise that has a real financial fraud and information disclosure, forcing its market value to shrink, accepting investigation, delisting and discontinuation. It has also seriously affected the vast majority of other Chinese companies listed in the United States, the price of Chinese enterprises has fallen and the market value has been severely shrinking. The crisis is also likely to spread to the entire American capital market, and even the other regional capital markets, such as the Chinese concept stock in Hongkong, such as the Chinese concept stock. Therefore, this article takes this trust crisis as the focus of the study and demonstrates the systematic influence of "trust" in order to cause the "integrity" of individuals, enterprises and even the government. The construction of "credit" is highly valued.
In the second chapter, first of all, from the definition of the Chinese concept stock, we introduce the number of overseas listed companies, the amount of financing, the amount of the listed companies and the distribution of the number of Listed Companies in the world's capital markets in recent years, so as to have a general understanding of the overseas listing of Chinese enterprises. At the same time, we also know that the Hongkong market and the United States are also known. The field is the most important two largest capital market for Chinese enterprises to go to the overseas market. Secondly, this paper introduces the basic situation of Chinese concept stocks in the United States, summarizes the level of the American capital market, the listed conditions of the major capital markets in the United States, the historical origin of the Chinese concept stock in the US capital market and the four wave of the wave of listing in the United States, and the way Chinese enterprises are listed in the United States. And the distribution of Chinese enterprises' major capital markets in the US.
In the third chapter, on the basis of a large number of reading periodicals and magazines, the origin and the beginning of the crisis of trust crisis are described in accordance with the time sequence, and the crisis is spreading to the whole. Secondly, it describes the United States Securities Regulatory Commission (SEC), the agency of the CSRC, the accounting firms and other intermediaries, and the empty institutions. After the response and action of the parties, this paper analyzes the causes of the crisis, and further analyzes the impact of the "systematic" impact of the trust crisis from four levels: the first level: the systemic diffusion of the trust crisis at the individual level of the enterprise; the second level: in the American capital market Systematic diffusion on the level of the country's conceptual share; the third level: systematic diffusion in the level of American capital market; the fourth level: the diffusion in the scope of the global capital market, the emphasis on the influence of the Chinese concept stock in the capital market of Hongkong. The systematic diffusion of the third level and the fourth level is a legacy. The problem is solved in the back.
In the fourth chapter and the fifth chapter, through the unit root test, the Grainger causality test, the VAR model establishment, the impulse response function and the variance decomposition, the empirical study and the empirical analysis are carried out. The first is to demonstrate the previous problems, one is to demonstrate the time of more than a year between November 10, 2010 and February 2012 24, that is, the crisis of the American trust crisis. In the meantime, the US market China concept stock has a strong Grainger lead influence on the US market, and its impulse response to the American market index is more obvious. In other words, the trust crisis of the Chinese concept stock is also passed through the transfer mechanism of the stock market, and the wave and the whole American capital market. Two is 2010. From November 10th to February 24, 2012, the American market China concept stock has a significant Grainger lead influence on the Hongkong market China concept stock, including the Hongkong H-share index HSCEI and the Hongkong red chip index HSCCI, and its impulse response to the Chinese concept stock market in Hongkong market. The trust crisis of China's concept stocks has spread to the Hongkong concept market through the cross market transmission mechanism.
To sum up, the conclusion of this paper is drawn.
First, "letter" is the foundation of enterprise establishment and the cornerstone of the effective operation of the capital market mechanism. It should be highly valued by all enterprises, capital market regulators and even the national government.
Two, this trust crisis has strongly reflected the spontaneous regulatory mechanism of the US capital market.
Three, the problem of "trust" and "trust" can cause the impact of systematic impact. The crisis of trust crisis in the Chinese concept stock market of the United States embodies the systematic impact on the four levels.
First level: systemic diffusion at the individual level of enterprises
Because of the local reasons such as false financial fraud and false information disclosure, the market investors are doubtful of the overall "credibility" and "credibility" of the enterprise, especially in the case of inaccurate or uncertain enterprise attitude, which will lead to a rapid evaporation of the stock price and market value. Walk on the way out of the market.
The second level: systematic diffusion in the scope of China's concept stocks in the US capital market.
From May 8, 2007 to November 9, 2010, the CHXN ratio of the U. S. market China concept stock index (the ratio of its base points) was above the standard & Poor's 500, the NASDAQ index and the Dow Jones industrial index ratio chart. And after the crisis of trust, from November 10, 2010 to February 24, 2012, especially in February 24, 2012. Starting in May 2011, the US stock market index of China's index CHXN ratio charts under the NASDAQ index and the Dow Jones industrial index ratio chart.
The third level: systemic diffusion in the scope of US capital market.
During the period of November 10, 2011 to February 24, 2012, the American market Chinese concept shares have a strong leading influence on the American market in more than a year after the American trust crisis, and the impulse response to the American market is more obvious. And the CHXN's solvability to the NASDAQ index has gone on as the period goes on. The rate of variability is maintained at the level of 68%, and the interpretable variation ratio of the Dow Jones industrial index DOWJ is maintained at about 54% levels. The trust crisis of the Chinese concept stock has also reached the whole American capital market through the transfer mechanism of the stock market.
The fourth level: systematic diffusion in the scope of China's concept stocks in Hongkong capital market.
During the period of more than a year from November 10, 2010 to February 24, 2012, the American market China concept stock has a strong Grainger leading influence on the Hongkong market China concept stock, including the Hongkong H-share index HSCEI and the Hongkong red chip index HSCCI, and the Chinese concept stock of the Hongkong market. The impulse response impact is more obvious, and the interpretable variation ratio of CHXN to HSCEI and HSCCI is about 30% as the period goes on. The trust crisis of the Chinese concept stock has influenced the Chinese concept stock in Hongkong market through this transfer mechanism across the market.
Four, for Non-listed Company, especially multinational corporations, the construction of "integrity" and "trust" system is also important, and we should attach great importance to it.
On the basis of the conclusion, this paper gives suggestions: first, it is suggested that no matter the non-listed company level, the listed company level, the multinational corporation, the diversified group company level, the industry self-discipline organization, the regulatory agency, and the national government level, we should attach great importance to the careful maintenance of "credit" and "credit", and beware of the individual trust issue. The two is to call on the people to give strict moral and action to the "dishonest" behavior of the enterprise. It should avoid numbness and passive attitude. First, it refuses to forgive the "main body" from the attitude, and then refuses to make a profit to the "wrong subject" by its own action. In addition, the government should attach importance to the construction of media integrity. We should minimize the intervention of mass media such as blogs, micro-blog and so on, so as to enhance the public's moral restraint.
The innovation of this paper is: on the basis of describing the process of trust crisis events and analyzing the causes, from the individual scope of the enterprise, the scope level of the Chinese concept stock market in the United States market, the scope of the capital market, the scope of the global capital market China concept share, the combination of quantitative analysis and empirical research, and the analysis of the "trust". "Systematic diffusion and systemic impact impact", which causes people to attach great importance to the building of integrity and guard against the occurrence of systemic trust crisis.
The defects of this paper are: no trust crisis in the Chinese concept stock market in the US market, or whether it has affected the Chinese concept shares of other capital markets outside Hongkong market, and gives an empirical study and demonstration, and the conclusion of the fourth level is lack of integrity.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.51;F224
本文编号：2120834
[Abstract]:"Letter" is the foundation of the individual, the foundation of the enterprise and the foundation of the state government. The ancient commercial road of our country advocates "honesty, righteousness, faith, profit". Honesty is the moral foundation of the normal operation of the society, and it is also a soft and soft contract which can not be ignored in the sustainable development of our market economy. The market economic system is conducive to the development of our country's economy, but at the same time, in the fierce and even cruel contemporary era, it is easy to induce some enterprises, especially the enterprises with hard growth environment, to overprofit and so on. Concept. Innovation itself is good, it is also possible to reasonably circumvent laws and regulations, but the so-called "unusual road" concept also creates a bad atmosphere, which is the challenge of the bottom line of law and morality, and thus the emergence of dishonesty and even counterfeiting, which is not only reflected in the entity development and operation of Chinese enterprises, but also tendril. It has been extended to the capital market.
In November 10, 2010, Dalian Rino, a Chinese listed Chinese company, was launched by the American capital market China concept stock in the history of "hunting" in the United States under the crazy "hunting" of the American capital market, Dalian Lindo, the American empty agency, accused of fraudulent financial fraud by the American shorting agency, Muddy Water, and was rated as "strong selling". In the event of the most serious crisis of trust crisis in the US capital market, many companies such as China's high speed channel, China Oriental paper industry encountered collective action, and American market investors voted for many Chinese concept stocks, and the US Securities Regulatory Commission SEC launched a Chinese enterprise, especially a Chinese enterprise listed on a shell way. A survey of 132 Chinese companies has been blacklisted by the largest non bank securities firms in the United States. The American public accounting firm has even made a rare event in the audit field. 4 Chinese customers, such as Yue Pengcheng motor, were reported to have been suspected of financial fraud, and many Chinese companies listed in the United States have been affected by IP0, Xi'an, Dalian and Dalian. Many companies, such as Rino, China high-speed channel, Shanda technology, Jiang Bo pharmaceutical and other companies were ordered to go out of the market or discontinuation of the market. Tai Fu electric, Dalian Fu, Zhong Neng group (SNEN), Tongji hall and other enterprises chose to take the initiative to privatize the market.
The trust crisis has not only created a "original sin" enterprise that has a real financial fraud and information disclosure, forcing its market value to shrink, accepting investigation, delisting and discontinuation. It has also seriously affected the vast majority of other Chinese companies listed in the United States, the price of Chinese enterprises has fallen and the market value has been severely shrinking. The crisis is also likely to spread to the entire American capital market, and even the other regional capital markets, such as the Chinese concept stock in Hongkong, such as the Chinese concept stock. Therefore, this article takes this trust crisis as the focus of the study and demonstrates the systematic influence of "trust" in order to cause the "integrity" of individuals, enterprises and even the government. The construction of "credit" is highly valued.
In the second chapter, first of all, from the definition of the Chinese concept stock, we introduce the number of overseas listed companies, the amount of financing, the amount of the listed companies and the distribution of the number of Listed Companies in the world's capital markets in recent years, so as to have a general understanding of the overseas listing of Chinese enterprises. At the same time, we also know that the Hongkong market and the United States are also known. The field is the most important two largest capital market for Chinese enterprises to go to the overseas market. Secondly, this paper introduces the basic situation of Chinese concept stocks in the United States, summarizes the level of the American capital market, the listed conditions of the major capital markets in the United States, the historical origin of the Chinese concept stock in the US capital market and the four wave of the wave of listing in the United States, and the way Chinese enterprises are listed in the United States. And the distribution of Chinese enterprises' major capital markets in the US.
In the third chapter, on the basis of a large number of reading periodicals and magazines, the origin and the beginning of the crisis of trust crisis are described in accordance with the time sequence, and the crisis is spreading to the whole. Secondly, it describes the United States Securities Regulatory Commission (SEC), the agency of the CSRC, the accounting firms and other intermediaries, and the empty institutions. After the response and action of the parties, this paper analyzes the causes of the crisis, and further analyzes the impact of the "systematic" impact of the trust crisis from four levels: the first level: the systemic diffusion of the trust crisis at the individual level of the enterprise; the second level: in the American capital market Systematic diffusion on the level of the country's conceptual share; the third level: systematic diffusion in the level of American capital market; the fourth level: the diffusion in the scope of the global capital market, the emphasis on the influence of the Chinese concept stock in the capital market of Hongkong. The systematic diffusion of the third level and the fourth level is a legacy. The problem is solved in the back.
In the fourth chapter and the fifth chapter, through the unit root test, the Grainger causality test, the VAR model establishment, the impulse response function and the variance decomposition, the empirical study and the empirical analysis are carried out. The first is to demonstrate the previous problems, one is to demonstrate the time of more than a year between November 10, 2010 and February 2012 24, that is, the crisis of the American trust crisis. In the meantime, the US market China concept stock has a strong Grainger lead influence on the US market, and its impulse response to the American market index is more obvious. In other words, the trust crisis of the Chinese concept stock is also passed through the transfer mechanism of the stock market, and the wave and the whole American capital market. Two is 2010. From November 10th to February 24, 2012, the American market China concept stock has a significant Grainger lead influence on the Hongkong market China concept stock, including the Hongkong H-share index HSCEI and the Hongkong red chip index HSCCI, and its impulse response to the Chinese concept stock market in Hongkong market. The trust crisis of China's concept stocks has spread to the Hongkong concept market through the cross market transmission mechanism.
To sum up, the conclusion of this paper is drawn.
First, "letter" is the foundation of enterprise establishment and the cornerstone of the effective operation of the capital market mechanism. It should be highly valued by all enterprises, capital market regulators and even the national government.
Two, this trust crisis has strongly reflected the spontaneous regulatory mechanism of the US capital market.
Three, the problem of "trust" and "trust" can cause the impact of systematic impact. The crisis of trust crisis in the Chinese concept stock market of the United States embodies the systematic impact on the four levels.
First level: systemic diffusion at the individual level of enterprises
Because of the local reasons such as false financial fraud and false information disclosure, the market investors are doubtful of the overall "credibility" and "credibility" of the enterprise, especially in the case of inaccurate or uncertain enterprise attitude, which will lead to a rapid evaporation of the stock price and market value. Walk on the way out of the market.
The second level: systematic diffusion in the scope of China's concept stocks in the US capital market.
From May 8, 2007 to November 9, 2010, the CHXN ratio of the U. S. market China concept stock index (the ratio of its base points) was above the standard & Poor's 500, the NASDAQ index and the Dow Jones industrial index ratio chart. And after the crisis of trust, from November 10, 2010 to February 24, 2012, especially in February 24, 2012. Starting in May 2011, the US stock market index of China's index CHXN ratio charts under the NASDAQ index and the Dow Jones industrial index ratio chart.
The third level: systemic diffusion in the scope of US capital market.
During the period of November 10, 2011 to February 24, 2012, the American market Chinese concept shares have a strong leading influence on the American market in more than a year after the American trust crisis, and the impulse response to the American market is more obvious. And the CHXN's solvability to the NASDAQ index has gone on as the period goes on. The rate of variability is maintained at the level of 68%, and the interpretable variation ratio of the Dow Jones industrial index DOWJ is maintained at about 54% levels. The trust crisis of the Chinese concept stock has also reached the whole American capital market through the transfer mechanism of the stock market.
The fourth level: systematic diffusion in the scope of China's concept stocks in Hongkong capital market.
During the period of more than a year from November 10, 2010 to February 24, 2012, the American market China concept stock has a strong Grainger leading influence on the Hongkong market China concept stock, including the Hongkong H-share index HSCEI and the Hongkong red chip index HSCCI, and the Chinese concept stock of the Hongkong market. The impulse response impact is more obvious, and the interpretable variation ratio of CHXN to HSCEI and HSCCI is about 30% as the period goes on. The trust crisis of the Chinese concept stock has influenced the Chinese concept stock in Hongkong market through this transfer mechanism across the market.
Four, for Non-listed Company, especially multinational corporations, the construction of "integrity" and "trust" system is also important, and we should attach great importance to it.
On the basis of the conclusion, this paper gives suggestions: first, it is suggested that no matter the non-listed company level, the listed company level, the multinational corporation, the diversified group company level, the industry self-discipline organization, the regulatory agency, and the national government level, we should attach great importance to the careful maintenance of "credit" and "credit", and beware of the individual trust issue. The two is to call on the people to give strict moral and action to the "dishonest" behavior of the enterprise. It should avoid numbness and passive attitude. First, it refuses to forgive the "main body" from the attitude, and then refuses to make a profit to the "wrong subject" by its own action. In addition, the government should attach importance to the construction of media integrity. We should minimize the intervention of mass media such as blogs, micro-blog and so on, so as to enhance the public's moral restraint.
The innovation of this paper is: on the basis of describing the process of trust crisis events and analyzing the causes, from the individual scope of the enterprise, the scope level of the Chinese concept stock market in the United States market, the scope of the capital market, the scope of the global capital market China concept share, the combination of quantitative analysis and empirical research, and the analysis of the "trust". "Systematic diffusion and systemic impact impact", which causes people to attach great importance to the building of integrity and guard against the occurrence of systemic trust crisis.
The defects of this paper are: no trust crisis in the Chinese concept stock market in the US market, or whether it has affected the Chinese concept shares of other capital markets outside Hongkong market, and gives an empirical study and demonstration, and the conclusion of the fourth level is lack of integrity.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.51;F224
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