我国A股市场特别处理公告效应研究

发布时间：2017-12-31 22:32

本文关键词：我国A股市场特别处理公告效应研究　出处：《中国矿业大学》2014年硕士论文　论文类型：学位论文

【摘要】：为了遏制股票市场中的投机操作，以及加强对上市公司的监管，中国证监会在1997年12月对沪、深交易所股票上市规则的批复中，首次提出要对经营异常的上市公司进行处特别理的意见。特别处理制度是我国特有的风险警示制度，其针对的对象是出现财务状况异常或其他状况异常的上市公司。财务指标是否对股东财富效应以及股票流动性影响显著？特别处理事件又对股东财富效应及股票流动性影响多大？这正是本文研究的重点。本文以2007-2013年被实施和撤销特别处理的上市公司为研究样本，运用多元回归分析考察财务指标对股东财富效应及股票流动性的影响，同时运用事件研究法验证了我国证券市场对特别处理事件的反应。研究结果表明：（1）股票财务指标对股东财富效应及股票流动性影响不大。公司规模、偿债能力、盈利能力以及成长能力等因素对被实施和撤销特别处理股东财富效应有一定影响，，但对股票流动性没有影响。（2）我国A股市场存在特别处理公告效应，被特别处理及撤销特别处理公告对股东财富效应及股票流动性具有显著影响。特别处理公告在事件发生前后十天内出现较多的显著平均超额收益或平均超额交易。（3）不同年份特别处理公告效应受当年经济及市场环境影响所表现出的差异较大。（4）退市风险警示板块也存在较为显著的公告效应，在退市风险公告期间有少数几天具有显著的累计超额收益及累计超额交易。（5）沪市较深市公告效应更为明显，股东财富效应及股票流动性波动更为明显。最后，针对实证研究的结论，结合中国证券市场现实，本文对特别处理相关监管制度的完善提出政策建议，为特别处理公司以及投资者行为提供借鉴性的经验。
[Abstract]:In order to curb speculation in the stock market and strengthen the supervision of listed companies, the CSRC approved the listing rules of Shanghai and Shenzhen Stock Exchange on December 1997. It is the first time to put forward the opinion that the listed companies with abnormal management should be given special advice. The special treatment system is a special risk warning system in China. It is aimed at listed companies with abnormal financial position or other abnormal conditions. Does the financial index have a significant impact on shareholder wealth effect and stock liquidity? What is the impact of special events on shareholder wealth and equity liquidity? This is the focus of this paper. This paper takes the listed companies that were implemented and cancelled special treatment from 2007-2013 as the research sample, using multiple regression analysis to investigate the impact of financial indicators on shareholder wealth effect and stock liquidity. At the same time, the event research method is used to verify the response of China's securities market to special events. The results show that the financial index of stock has little effect on shareholder wealth effect and stock liquidity. Some factors, such as solvency, profitability and growth ability, have a certain impact on the wealth effect of shareholders who have been implemented and withdrawn from the special treatment. However, there is no effect on stock liquidity. Notice of special treatment and revocation has a significant impact on shareholder wealth effect and stock liquidity. The notice of special treatment has more significant average excess returns or average excess transactions within 10 days before and after the event. (. 3) the effect of special treatment in different years is different from that of the economic and market environment in that year.) there is also a significant announcement effect in the delisting risk warning plate. During the period of delisting risk announcement, there are a few days with significant accumulative excess return and accumulative excess trading. 5) Shanghai stock market has more obvious announcement effect than Shenzhen stock market, and shareholder wealth effect and stock liquidity fluctuation are more obvious. Finally, according to the conclusions of the empirical study, combined with the reality of China's securities market, this paper puts forward policy recommendations for the improvement of the special handling of the relevant regulatory system. Provide reference experience for dealing with companies and investor behavior in particular.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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