615股灾中我国A股上市公司停牌避险事件研究

发布时间：2018-02-24 23:17

本文关键词： 615股灾停牌事件研究法异常收益率　出处：《北京外国语大学》2017年硕士论文　论文类型：学位论文

【摘要】：股灾(The Stock Market Disaster)是指在股票市场发生的一种极端现象,具体表现为股价非理性暴跌,流动性枯竭,并对其他领域产生严重负面影响,其根本原因在于股票市场某种内部矛盾的积累,这种内部矛盾可能来源于制度,也可能来源于交易,并被某个偶然因素触发。2015年6月15日至2015年8月26日,受证监会清查场外配资触发,上证指数从高点5178点狂泻至最低点2850点,跌幅达到45%,自6月15日至7月15日,沪深两市出现了千股跌停的惨烈局面,也有超过千家上市公司选择停牌避险自救,而在监管层发布一系列维稳措施后又匆匆要求复牌,反映了我国A股市场上市公司滥用停牌权利的怪像。而我国A股自2014年开始,连续三年冲关MSCI新兴市场指数失败的一个重要原因便是我国停复牌制度不规范。针对615股灾时期千股停牌的现象,本文站在上市公司,股东和监管层三个角度对停牌行为的动机,是否成功避险以及避险效果展开研究。本文主要采取实证研究方法,从Wind数据库获取2015年6月15日至2015年7月15日共一个月的停牌样本,经过筛选后首先和非停牌样本作对比,最终发现和上市公司是否选择停牌策略相关的变量有是否涉及股权质押,是否为民营企业和外资企业,以及大股东持股比例。接下来本文采用事件研究法,将股灾中的停牌作为影响股票收益率的一项事件研究,我们定义停牌当日为第0天,复牌当日为第1天,估计窗为(-120,-2),事件窗为(-1,4),同时应用市场模型和市场调整模型对事件窗内的股票收益率做出预测并和股票实际收益率作对比,计算出异常收益率,以复牌后产生的异常收益率为准分为好消息组和坏消息组,验证异常收益率在事件窗内是否显著不为0。结果显示,股灾中停牌的股票复牌后均会产生正的或负的异常收益率,其中主板股票在价格发现效率上优于中小创业板股票,即主板股票的异常收益率会比中小创板块的异常收益率更快地调整到0。根据异常收益率的分布状况,可以看出从停牌避险的效果看,中小创好消息组股票要大于主板好消息组股票,而坏消息组的股票样本选择停牌避险反而加速了股票收益率的下降。最后,本文将全部停牌股票窗口期的异常收益率加总计算出累积异常收益率作为因变量,对其进行回归拟合,发现停牌股票窗口期的累积异常收益率和前90日涨跌幅,停牌时间长短呈正相关关系,和资产负债率呈负相关关系。根据实证研究结果,本文从普通投资者,上市公司,监管层三个方面对此次股灾千股停牌事件的启示展开论述,并对中国现行停复牌制度可能存在的不足提出了相关建议。615股灾虽然说是股票市场的极端情形,但它的爆发不是偶然的,停牌避险也只是权宜之计,我国A股市场在完善价格发现职能,保护中小投资者方面还有很长的路要走。
[Abstract]:The Stock Market disaster is an extreme phenomenon in the stock market, characterized by an irrational plunge in stock prices, a drying up of liquidity, and a serious negative impact on other areas. The root cause lies in the accumulation of certain internal contradictions in the stock market, which may originate from institutions or transactions, and are triggered by some accidental factor. June 15th 2015 to August 26th 2015, Triggered by the CSRC's over-the-counter allocation, the Shanghai Stock Exchange index plummeted from a high of 5178 points to a low of 2,850 points, a drop of 450.From June 15th to July 15th, the Shanghai and Shenzhen stock exchanges saw a tragic situation of thousands of shares falling by the limit. There are also more than a thousand listed companies that choose to suspend trading to avoid risks and save themselves. After the regulators issued a series of maintenance measures, they rushed to ask for resumption of trading, reflecting the strange phenomenon of abuse of suspension rights by listed companies in China's A-share market. Since 2014, China's A-shares have been on hold. An important reason for the failure of the emerging market index of MSCI for three consecutive years is the non-standard trading system in China. In view of the suspension of thousands of shares in the 615 stock disaster period, this paper stands in the listed company. Shareholders and regulators study the motivation of suspension, the success of risk aversion and the effect of hedging. This paper mainly adopts empirical research methods. Samples from Wind database were obtained for one month from June 15th 2015 to July 2015. After screening, the samples were compared with the non-suspension samples. Finally, it is found that the variables related to whether the listed company chooses the suspension strategy include whether the equity pledge is involved, whether it is a private enterprise and a foreign-funded enterprise, and the shareholding ratio of the major shareholders. Considering the suspension of trading in stock disaster as an event that affects the return of stock, we define the day of suspension as day 0 and the day of resumption of trading as day 1. The estimated window is -120 ~ 120 ~ (-2), and the event window is "Li ~ (-1)". At the same time, the market model and the market adjustment model are used to predict the stock return rate in the event window and compare it with the real stock return rate to calculate the abnormal rate of return. The abnormal rate of return after resumption of trading is divided into good news group and bad news group. The results show that the abnormal rate of return is significantly less than 0 in the event window. The results show that the abnormal return rate will be positive or negative after the resumption of trading of stocks suspended in the stock market. Among them, the price discovery efficiency of the main board stock is better than that of the small and medium-sized gem stock, that is, the abnormal return rate of the main board stock will be adjusted to 0 faster than the abnormal return rate of the small and medium-sized creating plate. We can see from the effect of suspending trading and avoiding risks that the stocks in the small and medium good news group are larger than the stocks in the good news group on the main board, while the stock samples of the bad news group choose to suspend trading and avoid risk instead, it accelerates the decline of the stock yield. Finally, In this paper, the cumulative abnormal rate of return is calculated as a dependent variable, and the cumulative abnormal rate of return in the window period of suspended stock is found to be the cumulative abnormal return rate and the rise and fall of the previous 90 days, and the cumulative abnormal rate of return in the window period of the suspended stock is calculated as a dependent variable. According to the results of empirical research, this paper discusses the enlightenment of the stock market suspension from three aspects: ordinary investors, listed companies, and regulatory levels. And put forward relevant suggestions on the possible shortcomings of the current system of suspension and resumption of trading in China. Although the stock disaster .615 is an extreme situation in the stock market, its outbreak is not accidental, and the suspension of trading and hedging is only a temporary measure. China's A-share market has a long way to go in perfecting its price discovery function and protecting small and medium investors.
【学位授予单位】：北京外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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