我国上市公司违规事件的市场反应研究

发布时间：2018-01-21 03:56

本文关键词： 公司违规动因研究市场反应实证检验异常收益累积异常收益　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：证券市场监管的首要目标是保护中小投资者的利益,但是,从1996年5月31日到2014年3月14日,我国证券市场共发生上市公司违规事件6726起,从2009年后上市公司违规事件呈现逐年递增趋势,给投资者造成重大损失。上市公司违规事件对市场的负面影响有多大及其违规动因又是什么,在这样的背景之下,本文重点研究中国上市公司违规的市场反应与违规动因。在借鉴相关研究成果的基础上,本文选取2003-2012年我国沪深A股市场上市公司违规事件为样本,运用二元分类线性回归模型(Logistic回归模型)挖掘上市公司违规动因,得出5点结论：1.股权集中度高的上市公司违规概率越低,股权控制越分散的上市公司发生违规的概率越大。2.高管人员持股比例与上市公司违规概率显著正相关。3.股票交易活跃的上市公司有更低的违规概率。4.内部审计机制对上市公司违规没有约束作用。5.高资产负债率是我国上市公司违规的动因,总股本、审计委员会、利息保障倍数、现金比率、财务杠杆系数、净资产收益率(ROE)指标不构成上市公司违规动因。选取2003-2012年我国沪深A股市场上市公司违规事件为样本,采用事件研究法首先对上市公司违规的市场反应进行全样本检验,再进一步根据不同影响因素对违规事件的市场反应分类检验,得出5点结论：1.监管机构对上市公司违规行为进行处罚,市场在事件日前有预期,在事件日负面反应强烈,且事后还受到持续性的负面冲击,持续时间为10天,后开始小幅修正。2.不同的监管机构对上市公司违规事件处罚,市场都有预期并提前做出反应,事件日后受到持续的负面冲击,深圳证券交易所对上市公司做出的处罚对市场冲击程度最大,市场对深圳证券交易所的处罚过度反应。3.上市公司被监管机构公开批评、公开谴责、公开处罚,市场有预期并提前做出反应,事件日后市场有持续的负面冲击,其中公开处罚对市场负面影响程度最大,公开谴责没有威慑力。4.市场对上市公司违规占用公司资产、内幕交易负面反应最强烈,表现为过度反应。投资者对公司擅自违规改变资金用途不关心,对虚构利润、违规买卖股票表现不能容忍的态度,对推迟披露表达不满,对虚假记载负面反应强烈。5.不同行业的上市公司违规被处罚,公告日前市场都有预期,预期时间最早,对处罚信息传递最有效率的是信息技术及通信服务行业；公告日后,制造业、信息技术及通信服务业、采矿业、其他行业上市公司违规被处罚市场存在过度反应。
[Abstract]:The primary goal of securities market regulation is to protect the interests of small and medium-sized investors, but from May 31st 1996 to March 14th 2014. Since 2009, there have been 6,726 violations by listed companies in China's securities market, which have been increasing year by year since 2009. In such a context, what is the negative impact of listed companies' violations on the market and what are the reasons for such violations? This paper focuses on the market reaction and the motivation of violation of the regulations of listed companies in China. On the basis of reference of relevant research results. In this paper, we choose the listed companies in Shanghai and Shenzhen A-share market as samples from 2003 to 2012. Using the binary classification linear regression model and Logistic regression model) mining listed companies violation motivation, draw 5 conclusions: 1. The higher the degree of ownership concentration, the lower the violation probability of listed companies. The more decentralized the equity control, the greater the probability of violation. 2. the proportion of senior managers holding shares and the violation probability of listed companies are significantly positive correlation .3. the listed companies with active stock trading have a lower probability of violation .4. The internal audit mechanism has no binding effect on the listed companies' violation. 5. high asset-liability ratio is the cause of the violation. Total share capital, audit committee, interest guarantee multiple, cash ratio, financial leverage factor. The index of return on net assets (ROEE) does not constitute the motivation of violation of listed companies. Select the listed companies in Shanghai and Shenzhen A-share market from 2003 to 2012 as samples. First of all, the market reaction of listed companies is tested by the event study method, and then according to the different factors, the market reaction of the violations is classified. Draw a conclusion of 5 points: 1. The regulatory authorities punish listed companies for violations, the market expected before the event day, in the event of a strong negative reaction, but also sustained negative impact. The duration is 10 days, and then start to slightly revise .2. different regulators punish the listed companies for violations, the market has expected and reacted in advance, the incident will be sustained negative impact in the future. Shenzhen Stock Exchange on the listed companies to impose the biggest impact on the market, the market on the Shenzhen Stock Exchange punishment overreaction .3. listed companies have been publicly criticized by regulators, public condemnation. Public punishment, the market has expected and made a response in advance, the event after the market has a sustained negative impact, among them, the largest negative impact of public punishment on the market. Public condemnation of no deterrent. 4. the market to the listed company illegal occupation of the company's assets, insider trading negative reaction is the strongest, the overreaction. Investors do not care about the company unauthorized use of funds. False profits, illegal trading of stock performance intolerable attitude, to delay disclosure express dissatisfaction, false record negative reaction strong .5. different industries of listed companies were punished. The market is expected before the announcement day, expecting time is the earliest, the information technology and the communication service industry are the most efficient to the punishment information transmission; After the announcement, the manufacturing, information technology and communications services, mining, and other industries listed companies were punished by the market over-reaction.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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