谣言的散播及澄清对股票收益的影响

发布时间：2018-04-15 23:18

本文选题：谣言 + 澄清公告　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：我国证券市场成立二十多年来取得了长足的进步,市场制度日趋完善。随着科技的进步与投资者的成熟,投资者已经可以越来越全面的了解上市公司的信息。然而谣言始终是危及投资者利益的一个不确定因素,我国证券市场曾谣言满天飞,随着制度的完善和上市公司的重视,这种状况在近年来得到一定的缓解。证监会也下发了文件来规范上市公司的澄清方式。对于市面所传的谣言,上市公司一般会采取在指定机构发布澄清公告的方式来澄清所传谣言不实。然而澄清公告也不尽相同,有的内容详尽,有的却很简略,且在我国证券市场澄而不清的现象较为明显。以往的研究中关于国内股市传谣辟谣的较少,本文综合研究传谣及澄清谣言的市场反应,并且通过对比融资融券政策前后传谣辟谣效果对比,来研究不同政策环境下澄清公告效果的影响。这对于我国股市的现状有较强的现实意义,并且兼具一定的创新性。本文首先回顾了前人在此方面的研究,在此基础上,针对我国股市的现实情况,提出三个假设。选取融资融券政策前的2008-2010年与该政策之后的2014-2016年,共415个澄清公告作为样本。首先,整理并分类所收集到的样本,并对样本进行描述性统计分析。本文主要将收集到的澄清公告分为三类:澄清利好谣言、澄清利空谣言与澄清中性谣言。运用事件研究法来研究传谣及辟谣的效果,使用了CAPM模型Hsiao模型对结果进行对比,得出了相同的结论。并使用多元回归分析研究澄清公告质量对于澄清效果的影响。结果表明,无论是在融资融券政策发布前后,利好利空谣言都会对股价造成显著的冲击,利好谣言使得股价上升,利空谣言使得股价下降,而这种影响也在传谣前就已经开始。对于利好谣言,股价一般在传谣前三天就已经出现正的异常收益率,而对于利空谣言,股价在传谣当天才有负的异常收益率。而且就反应程度来说,利好谣言的反应程度也大于利空谣言的反应程度。就澄清的效果来看,无论是利好还是利空谣言,澄清的效果都不是很理想。利好谣言澄清的当日,澄清公告对股价有一定的影响,而在利空谣言澄清的当日,异常收益率并无显著变化。而对于澄清之后的10个交易日内,澄清公告并没有持续发挥预期的作用。股票每日的平均异常收益率都没有显著异于0的情况出现,且累计异常收益率在这段时间内仍显著异于0。说明谣言即使在被澄清之后依然发挥着作用,股价未能回到传谣之前的水平。说明了投资者对于谣言有一定的反应,但对澄清公告却反应不充分。导致此行为的原因有心理上的也有行为金融方面的原因。除此之外,澄清公告的详细性以及股价是否处于上升趋势中,也对澄清公告效果有一定的影响。基于以上结论本文对市场参与者及监管部门提出了一些建议。
[Abstract]:China's securities market has made great progress since it was established more than 20 years ago, and the market system is becoming more and more perfect.With the development of science and technology and the maturity of investors, investors can understand the information of listed companies more and more comprehensively.However, rumors are always an uncertain factor that endangers the interests of investors. The stock market of our country has been full of rumors. With the improvement of the system and the attention of listed companies, this situation has been alleviated in recent years.Securities Regulatory Commission also issued documents to regulate the clarification of listed companies.To the rumour of the market, the listed company usually adopts the way of issuing clarification notice in the appointed organization to clarify the false rumor.However, the clarification announcement is not the same, some contents are detailed, some are very simple, and the phenomenon is obvious in our country's securities market.In the past studies on the domestic stock market rumour disinformation is less, this paper comprehensively studies the market reaction of rumour spreading and clarifying rumors, and compares the effect of rumor-breaking before and after margin financing policy.To study the effects of clarifying announcements in different policy settings.This has strong realistic significance for the present situation of our country's stock market, and also has certain innovation.This paper first reviews the previous researches in this field, and then puts forward three hypotheses in view of the reality of China's stock market.A total of 415 clarifications were selected from 2008 to 2010 before the margin policy and 2014-2016 after the policy.Firstly, the collected samples are sorted out and analyzed by descriptive statistics.In this paper, the collected clarification notices are divided into three categories: clarifying positive rumors, clarifying negative rumors and clarifying neutral rumors.This paper studies the effect of spreading and refuting rumors by using event research method, and compares the results with Hsiao model of CAPM model, and draws the same conclusion.Multiple regression analysis was used to study the effect of clarifying announcement quality on the clarification effect.The results show that, both before and after the issuance of margin financing policy, the bullish rumor will have a significant impact on the stock price, good rumors will cause the stock price to rise, and the bad rumor will make the stock price decline, and this influence has already begun before the rumor spread.For good rumors, stock prices usually have a positive abnormal return three days before rumour spread, while for bad rumors, stock prices have negative abnormal returns only on the same day.Moreover, in terms of reaction degree, the reaction degree of good rumors is greater than that of bad rumors.On the effect of clarification, whether good or bad rumors, clarification effect is not very ideal.On the day of positive rumor clarification, clarification announcement has a certain impact on the stock price, while on the day of the clearing of bad rumors, abnormal yield does not change significantly.And for the clarification after 10 trading days, clarification notice did not continue to play the expected role.There was no significant difference between the daily abnormal returns of stocks and zero, and the cumulative abnormal returns remained significantly different from 0.The rumour has worked even after it has been clarified, and stock prices have failed to return to their pre-rumour levels.It shows that investors have a certain reaction to rumors, but not enough to clarify the announcement.There are psychological and financial reasons for this behavior.In addition, the detail of the clarification announcement and whether the stock price is in an upward trend also have a certain impact on the effect of the clarification announcement.Based on the above conclusions, this paper puts forward some suggestions to market participants and regulatory authorities.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：C912.63;F832.51

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