社会责任事件、企业性质与股票市场反应

发布时间：2018-02-28 02:28

本文关键词： 资本市场事件研究法社会责任事件惩罚效应　出处：《武汉大学》2017年硕士论文　论文类型：学位论文

【摘要】：随着我国经济的不断发展,劣质商品、员工"过劳死"、环境污染等社会责任问题层出不穷,一次次的社会责任事件拨动着人们的神经,人们纷纷谴责涉事企业的同时也越来越关注企业社会责任这一概念,而人们的关注也给涉事企业带来一些"灾难",轻者产品受到抵制、上市公司股价腰斩,重者导致企业倒闭,责任人锒铛入狱。在这样的背景下,一定程度上促进了企业重视社会责任事件、重视履行社会责任。尽管如此,近年来我国的社会责任事件依然频发。相比其他方面的有关社会责任研究,目前关于社会责任事件的研究较少,因为这一定程度上要受制于社会责任事件,而且有关社会责任事件的研究主要研究资本市场对涉事企业和涉事企业同行业的反应,普遍得出当发生社会责任事件时,涉事企业和涉事企业的同行业的累积超常收益率为负的结论。但对涉事企业的相关行业却鲜有研究,这就使人们不能客观认识到社会责任事件的影响范围。通过阅读大量文献发现,研究大多聚焦于单一的社会责任事件,对资本市场在不同时间相似的社会责任事件引起的反应缺乏纵向的对比研究。因此,本文将选取2005年的"松花江事件"和2015年的"8.12天津爆炸事件",研究资本市场对化工行业的上市公司的反应,将两次事件进行对比研究,此外还将对企业性质对惩罚效应的影响进行研究。本文首先对研究的背景、研究思路和研究意义等进行说明,随后对社会责任依托理论和相关学者研究文献进行阐述,在理论理解和前人研究的基础上,进行本文的理论推演并提出相应的假设。在对研究的事件、相关方法、变量进行说明后,将对实证研究的结果进行阐述和总结。最后将会提出本研究的贡献和不足,以及未来可能的研究方向。通过研究发现:无论是2005年的"松花江事件"还是2015年的"8.12天津爆炸事件",当社会责任事件发生时,化工行业的平均累积超常收益率均为负,且通过了显著性检验;将两次事件的平均累计超常收益率进行独立样本T检验,检验其负效应差异的显著性。控制了企业相关变量进行回归分析,将两次事件进行纵向的对比研究后,发现相对于2005年的"松花江事件","8.12天津爆炸事件"中股票市场对化工行业的"惩罚效应"明显增强。此外,通过本文的研究还发现,企业性质的不同对惩罚效应的影响也存在差异。具体来说,当企业的性质为国有时,惩罚效应的增强作用不显著;当企业的性质为非国有时,惩罚效应的增强作用却达到很高的显著性水平,并且交互项也通过了显著性检验。
[Abstract]:With the continuous development of our country's economy, the problems of social responsibility, such as poor quality goods, employees'"overwork", environmental pollution, and so on, emerge in endlessly. Again and again, social responsibility events have stirred people's nerves. People have condemned the concept of corporate social responsibility as well as the growing concern about the concept of corporate social responsibility, and people's concern has also brought some "disasters" to the enterprises involved, with the light products being boycotted, the share prices of listed companies halving, and the heavy ones leading to the closure of enterprises. Those responsible are in prison. In this context, to some extent, enterprises are encouraged to pay attention to social responsibility events and to fulfill social responsibility. In recent years, social responsibility events in China are still frequent. Compared with other studies on social responsibility, there are fewer studies on social responsibility events at present, because to some extent they are subject to social responsibility events. Moreover, the research on social responsibility events mainly studies the reaction of the capital market to the enterprises involved and the enterprises involved in the same industry. It is generally concluded that when social responsibility events occur, The conclusion that the cumulative abnormal rate of return of the same industry is negative. However, there are few studies on the related industries of the involved enterprises. This makes it impossible for people to realize objectively the impact of social responsibility events. After reading a large number of literatures, it is found that most of the studies focus on a single social responsibility event. There is no longitudinal comparative study of the responses of capital markets to similar social responsibility events at different times. In this paper, the "Songhua River incident" on 2005 and the "8. 12 Tianjin explosion event" on 2015 will be selected to study the reaction of the capital market to the listed companies in the chemical industry, and the two events will be compared and studied. In addition, it will also study the influence of the nature of the enterprise on the punishment effect. Firstly, this paper explains the background, the research ideas and the significance of the research, and then expounds the theory of social responsibility dependence and the relevant scholars' research literature. On the basis of theoretical understanding and previous studies, this paper deduces the theory and puts forward the corresponding hypotheses. The results of the empirical research will be elaborated and summarized. Finally, the contributions and shortcomings of this study will be pointed out. And the possible research directions in the future. It is found that whether the "Songhua River incident" on 2005 or the "8. 12 Tianjin explosion incident" on 2015, the average cumulative extraordinary return rate of the chemical industry is negative when the social responsibility event occurs. Through the significance test, the average cumulative abnormal return rate of two events is tested by independent sample T test, and the significance of the difference of negative effects is tested, which controls the regression analysis of the enterprise related variables. Through the longitudinal comparative study of the two events, it is found that the "punishment effect" of the "8.12 Tianjin explosion" on the chemical industry is obviously enhanced compared with the "Songhua River incident" on 2005. In addition, it is also found through the research in this paper that the "punishment effect" of the stock market on the chemical industry is obviously enhanced. In particular, when the nature of the enterprise is state-owned, the enhancement of the penalty effect is not significant; when the nature of the enterprise is non-state-owned, The enhancement of penalty effect reached a very high level of significance, and the interaction also passed the significance test.
【学位授予单位】：武汉大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F270;F271;F832.51

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