存款准备金率调整和重大资产重组事件对中国A股市场影响的实证研究

发布时间：2018-05-23 23:00

本文选题：存款准备金率调整 + 重大资产重组　；参考：《电子科技大学》2014年硕士论文

【摘要】：我国股票市场的效率问题一直是学术界关注的重点。目前国内学者主要从市场的长期价值表现方面来研究A股市场的有效性,但却较少有人探究市场对新信息的日内反应效率。为此,本文利用近年来市场频繁发生的宏观存款准备金率调整事件和微观重大资产重组事件,运用基于低频和高频数据的事件研究方法,对这两类事件的日间效应和日内效应做一更深入的分析研究。存款准备金率调整事件方面,本文选取了上证指数、深证成指、沪深300、中小板指数4个代表总体股票市场的指数以及农林、采掘、纺织、石化、电子、金属、机械、医疗、水电、IT、批零、服务、地产13个行业的指数低频日数据和日内高频数据,针对2006年~2011年期间的28次上调事件,分别采用事件研究法和回归分析法研究了存准率调整对我国股票市场的宣告效应及长期影响。结论表明:长期看,存款准备金率调整的货币政策公告并未对股票价值产生实质性影响。但从日内表现看,存准率上调在开盘后短期内会导致股票市场总体的价格显著下跌,但这种影响在持续一段时间后可能会消失。在熊市行情中,上调事件下上证指数均处于全天下跌的状态中,并且在大部分时段都显著小于零。但是,在牛市中,可能出现存准率上调反而导致全天收益率(日收益率)不跌反涨的“异常现象”。可见,虽然存准率调整与股票市场并没有实质性的关联关系,但却作为非系统性事件在政策宣告后造成了短期的日内影响。重大资产重组方面,本文以深圳股票市场2008~2011年共772例重大资产重组事件为研究对象,依据重组性质将其分为重大资产重组预案公告、重大资产重组审核通过公告和终止重组公告三个类别,分别从日间和日内的角度,对这三类事件的收益率、平均每笔成交量、相对价差、深度、订单不平衡及已实现波动率做了全面的分析。研究结论表明,重大资产重组事件存在严重的信息泄漏,早在停牌前8日已经存在显著的累积异常收益率。并且,市场对该类事件存在严重的“过度反应”现象,炒作热情高涨,其中重大资产重组预案的过度反应程度最高。从日内微观指标看,市场对重组信息的反应是不对称的,投资者对坏消息的市场反应效率较高。另外,复牌日成交量未出现明显上升,价差变大,订单不平衡程度上升,说明市场的关注并没有增加“重组概念股”的流动性,反而导致利好消息买方流动性紧缺,利空消息卖方流动性紧缺。另外,通过回归发现,复牌日的价差、深度和订单不平衡程度是解释收益率的领先指标,而其它交易日却不存在这种领先关系;平均每笔成交量和已实现波动率是收益率的同步指标,并且这种同步关系一直存在。可见,相较宏观货币政策事件,市场对公司类微观事件的反应效率较低。这可能与理性投资者人数和信息对称性程度有关,宏观事件参与分析的投资者人数较多,并且基本不存在信息泄漏,从而更有利于保证估值的准确性。而公司类重大事件的信息非对称性程度很高,由此滋生了部分投机者通过炒作获取暴利,容易造成估值的扭曲。鉴于此,笔者认为加强市场披露监管,遏制内幕交易,对改善我国A股市场公司类事件的价格发现效率能够起到重要的推动作用。
[Abstract]:The efficiency of the stock market in China has always been the focus of the academic circle. At present, domestic scholars mainly study the effectiveness of the A share market from the long-term value performance of the market, but few have explored the efficiency of the daily response of the market to the new information. The event and the microscopic major asset reorganization event, using the event research method based on low frequency and high frequency data, make a more thorough analysis and Study on the day effect and the day effect of the two types of events. In terms of the deposit reserve ratio adjustment events, this paper selects the Shanghai stock index, the Shenzhen stock index, the Shanghai and Shenzhen 300, and the medium and small plate index 4 represents the overall stock. The index of the ticket market and the index of agroforestry, mining, textile, petrochemical, electronic, electronic, metal, mechanical, medical, hydroelectric, IT, batch, service, and real estate are the index low frequency days data and the daily high frequency data in 13 industries. According to the 28 up-regulation events of the 2006 period, the event study method and the regression analysis method were used to study the stock rate adjustment to our country stock. The announcement effect and long-term effect of the market. The conclusion shows that, in the long run, the monetary policy announcement of the adjusted reserve ratio has not had a substantial impact on the stock value. However, in the daily performance, the increase in the reserve rate will lead to a significant decline in the overall stock market price in the short term after the opening period, but this effect can be sustained after a period of time. In the bear market, the Shanghai stock market, under the up-regulation event, is in the state of all the world falls, and is significantly less than zero for most of the period. However, in the bull market, there may be a "abnormal phenomenon" which leads to the overall rate of return (daily return) rising and not falling and rising in the bull market. There is no substantive relationship, but as a non systematic event, it has caused a short period of internal influence after the policy announcement. In the aspect of major asset reorganization, this article takes 772 cases of major asset reorganization in the Shenzhen stock market in 2008~2011 as the research object, and divides it into a major asset reorganization plan announcement according to the nature of the reorganization. Through the three categories of announcement and termination of reorganization, the production and reorganization review made a comprehensive analysis of the rate of return, the average per stroke volume, the relative price difference, the depth, the order imbalance and the realized volatility from the angle of day and day, respectively, from the point of view of day and day, and the conclusion shows that there are serious information leaks in the major assets reorganization events. There has been a significant cumulative abnormal return on the 8 days before the suspension. Moreover, there is a serious "overreaction" phenomenon in the market, the hype is high, and the overreaction of the major asset reorganization plan is the highest. From the internal microcosmic index, the reaction of the market to the reorganization information is asymmetric, and the investor is bad news. The efficiency of the market reaction is high. In addition, there is no obvious rise in the trading volume of the re licensing day, the higher price difference and the increase of the order imbalance, indicating that the concern of the market does not increase the liquidity of the "reorganization concept". On the contrary, the liquidity of the buyer is short and the seller is short of liquidity. The price difference, the depth and the order imbalance are the leading indicators of the rate of return, while the other trading days do not exist. The average volume and the realized volatility are the synchronization indicators of the yield, and the synchronization relationship has always existed. It is obvious that the market is more microscopic than the macro monetary policy events. The efficiency of the response is low. This may be related to the number of rational investors and the degree of information symmetry. The number of investors in the analysis of macro events is more, and there is no information leakage, which is more conducive to the accuracy of the valuation. In view of this, the author believes that strengthening market disclosure supervision and containment of insider trading can play an important role in improving the efficiency of price discovery of companies like companies in the A stock market.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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