传闻对上市公司股票价格影响的实证研究

发布时间：2018-07-27 18:24

【摘要】：股票市场是一个由基本面，消息面和资金面相互共同作用下形成的一个互为博弈的市场。本文将重点研究其中的消息面，更具体的说是消息面中具有不确定性质的一类消息，或更为流行的说法“软信息”，包含了所有以非标准化书面公告的方式。由于中国证券市场的发展历程较短，投资者结构还是以中小散户为主，中小散户由于其专业知识的局限性，投资决策还是主要依赖于市场上流传的信息，并且由于投资者的非理性，看似一则信息，往往能给市场带来不小的影响。近年来，股票市场“传闻满天飞”，本文以此为切入点，研究上市公司公开澄清的传闻，想必这些传闻必然已引起投资者的注意，故笔者在上交所和深交所网站上阅读了自2013年以来上市公司的澄清公告，从行为金融学的角度，并辅以事件研究法和多元回归分析法来对传闻及传闻发生后股价的影响因素进行深入的研究。本文研究的内容主要概括为以下几个方面：第一，以行为金融学的理论知识为依据，对传闻和股票价格的影响的机制做了论述。主要是从人性的一些特征出发，向投资者的认知偏差、有限注意力和有限理性三个方面进行展开。在研究中发现，投资者在获取信息的时候，注意力是有限的，且由于我国股票市场投资者组成结构的特殊性，个人投资者占绝大比例，更容易受到市场上传闻的影响，这一结论，为我们实证检验的结果提供了理论依据。第二，利用事件分析法来论证负面传闻对股票价格的影响。以发生负面传闻且上市公司对负面传闻澄清的一类公司为数据样本，以超额收益率来衡量传闻对股票价格波动的影响，并通过T检验来证明传闻对股价影响的效应是显著的。研究结论表明，在我国A股市场中，受到传闻影响的上市公司的股价在传闻发生期内的累积超额收益为负的。第三，利用多元回归分析对传闻对上市公司影响的因素进行了分析。传闻对上市公司的影响不尽相同，本文从这个角度出发，研究了传闻对上市公司股价的影响主要是基于哪些基本因素，由此，本文先选取了上市公司自身特征，净资产盈利率、上市公司的声誉、上市公司流通盘市值和上市公司在出现传闻时是否采取停牌策略，随后选取了传闻本身的特征，，传闻的来源、传闻的可信度。回归结果表明，在以上六个自变量中，仅有“上市公司的声誉”和“上市公司流通盘市值”是不显著的。所以得出了研究结论，传闻的可信度越高且传闻的来源越可靠，对上市公司的股价的负作用越大。上市公司自身的盈利能力较强或在传闻发生时上市公司采取停牌策略，传闻对上市公司的股价的负作用较小。第四，本文为了证明传闻对股价影响的效应存在性，还加入了A股市场中真实的案例，出现传闻时投资者对股票的炒作，使得股票价格暴涨暴跌，从侧面反映了我国证券市场投资者的非理性和不成熟。，中小投资者的利益容易受到损害。本文从相关政策、新闻工作人员的综合素质和投资者自身的综合素质几个方面提出了相关建议。
[Abstract]:The stock market is a mutual game market formed by the mutual action of the fundamentals, the message surface and the capital side. This paper will focus on the message surface, more specifically, a kind of message with uncertain nature in the message surface, or the more popular saying "soft information", including all non standardized written public. Because of the short development course of China's securities market, the investor structure is mainly small and medium, and the investment decision is mainly dependent on the information circulated on the market because of the limitation of its professional knowledge.
In recent years, the stock market has been "rumored to fly". This paper takes this as the breakthrough point to study the public clarification of the listed companies. It is necessary that these rumors must have aroused the attention of the investors. So I read the clarification bulletin on the listed company since 2013 on the Shanghai Stock exchange and the Shenzhen Stock Exchange website, from the perspective of behavioral finance and supplemented by events. Research method and multiple regression analysis method are used to conduct in-depth research on the influencing factors of stock price after hearsay and hearsay.
The main contents of this paper are summarized as follows:
First, based on the theoretical knowledge of behavioral finance, the mechanism of the influence of hearsay and stock price is discussed. It is mainly from the characteristics of human nature to carry out the three aspects of investors' cognitive deviation, limited attention and limited rationality. In the study, the attention is limited when investors are getting information. And because of the particularity of the structure of the investors in the stock market of our country, individual investors make up a large proportion and are more easily influenced by the rumors on the market. This conclusion provides a theoretical basis for the results of our empirical test.
Second, using the event analysis method to demonstrate the impact of negative rumors on stock prices. A group of companies with negative rumors and listed companies clarified negative rumors are data samples, and the effect of hearsay on stock price volatility is measured by excess rate of return, and the effect of hearsay on stock price is proved to be significant through T test. The conclusion is that in China's A share market, the accumulated excess return of the listed companies affected by rumors is negative during the hearsay period.
Third, the factors of the influence of hearsay on the listed companies are analyzed by multiple regression analysis. The influence of rumor on listed companies is different. From this point of view, this paper studies the basic factors based on the effect of rumor on the stock price of listed companies. This article first selects the characteristics of the listed companies, net assets and earnings. The interest rate, the reputation of the listed company, the market value of the listed company's circulation plate and the suspension strategy of the listed company in the event of a rumor, then select the characteristics of the hearsay itself, the source of the hearsay, the credibility of the hearsay. The regression results show that among the above six independent variables, only "the reputation of the listed company" and "the market value of the listed company" It is not significant. Therefore, the conclusion is drawn that the higher the credibility of the rumor and the more reliable source of the rumor, the greater the negative effect on the stock price of the listed company. The listed company's own profitability is stronger or the listed company take a stop strategy when the rumor has happened, the rumor has a little negative effect on the stock price of the listed company.
Fourth, in order to prove the existence of the effect of hearsay on the stock price, the real case in the A stock market is added to the stock market, and the speculation of the stock in the stock market makes the stock price rise and fall, which reflects the irrational and immature of the investors in our securities market. Relevant suggestions are put forward from the aspects of relevant policies, the comprehensive quality of journalists and the comprehensive quality of investors themselves.
【学位授予单位】：浙江财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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