航母建设对军工股票投资机会的影响研究

发布时间：2018-01-05 09:01

本文关键词：航母建设对军工股票投资机会的影响研究　出处：《西南交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：在经济生活中,金融市场的效率对于一个国家的经济资源的配置起着至关重要的作用,而其中股票市场在金融市场中占据着主导地位。1990年我国股市创建以来,取得了显著的成绩,但同时由于种种条件的制约,也存在着较多问题。本文首先从理论上分析了信息对市场有效性的影响,然后从实证方面结合航母事件是否使军工板块股票产生异常收益率,考察其是否存在投资机会。理论方面,文章认为市场的有效性必须建立在整个信息传递过程全部通畅有效的基础上。从有限注意力入手,阐释了注意力配置的相关理论,分析了人认知的有限性导致注意力的有限性,致使信息传递的不完全有效。最后得到结论：在证券市场中,一切可能会对市场造成影响的信息只有得到投资者注意才会在股票的价格中得到体现。实证方面,采用事件研究法,从航母传言、航母传言证实和中国第一艘航母交付三个方面对航母事件对军工板块股票的影响来考察分析。研究发现：(1)航母传言给军工板块的股价带来了显著的正的异常收益。在散播航母传言的当日,军工板块有显著的正的异常收益率(1.48%),在整个事件窗口[-3,3],累计异常收益率高达1.08%,并且航母传言的前一日,市场已经对该信息有提前反应的迹象。(2)传言证实事件在事件窗口区间对军工股板块也产生了正的异常收益率,并且产生的是正向的冲击,在3天的事后窗口期[0,3],异常收益率累积达到1.43%。在整个事件窗口[-3,3],累计异常收益率高达5.02%。(3)航母交付事件在公告日前一日就已经对股价产生了正的异常收益率,在宣布消息当日,对军工股板块股票产生的累积异常收益率已经高达2.39%,在整个事件窗口[-3,3],累计异常收益率高达2.39%。本文研究结果表明：军工板块股票是存在航母效应的,有关航母假设的相关报道信息使得军工板块股票产生了异常收益率。对于广大投资者而言,虽然在短期内可以获得较为客观的价差收益,但是由于航母相关信息存在时效性问题,导致军工板块股票存在提前反应的情形,因此,对投资者来说,不能过分追涨,避免发生不必要的损失。广大的投资者关注多方面的信息,多方面考虑,真正关注公司的价值,得到更真实的估值。
[Abstract]:In economic life, the efficiency of financial market plays a vital role in the allocation of a country's economic resources. Since the establishment of the stock market in 1990, the stock market has made remarkable achievements, but at the same time, there are many problems because of the constraints of various conditions. This paper first theoretically analyzes the effect of information on market efficiency, and then from the empirical analysis of whether the aircraft carrier incident makes the military sector stock abnormal rate of return. In theory, the paper argues that the effectiveness of the market must be based on the whole process of information transmission, all smooth and effective, starting with limited attention. This paper explains the relevant theory of attention allocation, analyzes that the limitation of human cognition leads to the limitation of attention and makes the information transmission incomplete and effective. Finally, the conclusion is drawn: in the stock market. Any information that could have an impact on the market is only reflected in the price of the stock if it gets investors' attention. Empirical aspects, the use of incident research method, from the carrier rumors. Carrier rumors confirmed and China's first aircraft carrier delivered to examine and analyze the impact of carrier incidents on military sector stocks. Carrier rumors have brought significant positive returns to the military sector's share price. On the day of the carrier rumors. The military sector has a significantly positive abnormal rate of return of 1.48% in the entire event window [The cumulative abnormal rate of return was as high as 1. 08%, and the carrier rumors were prior to 1st. The market has already reacted to this information in advance. 2) rumors confirm that the event in the event window interval on the military industry sector also has a positive abnormal rate of return, and produce a positive impact. Three days after the window. [The abnormal rate of return accumulates to 1.43 in the whole event window. [The cumulative abnormal rate of return reached as high as 5.02%) the carrier delivery event on 1st before the announcement date has produced a positive abnormal rate of return on the stock price, on the day of the announcement of the news. The cumulative abnormal rate of return on military sector stocks has been as high as 2.39 in the entire event window. [The cumulative abnormal rate of return is as high as 2.39. The results of this paper show that there is carrier effect in military industry stocks, and the related information about aircraft carrier hypothesis makes the abnormal return rate of military industry stocks. For the majority of investors. Although in the short term we can get more objective return of the spread of the price, but because the carrier related information has the problem of timeliness, which leads to the military industry plate stocks have the situation of early reaction, therefore, for investors. Investors pay attention to a wide range of information, consider many aspects, really focus on the value of the company, and get a more real valuation.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F426.48;F832.51

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