隔夜信息对创业板市场的影响研究

发布时间：2018-04-20 12:49

本文选题：隔夜信息 + 创业板市场　；参考：《西南财经大学》2014年硕士论文

【摘要】：由于股市的交易时间很短,很多市场信息会在非交易时间发布和传播.一方面,政府部门和上市公司等为了避免交易时间发布信息的过度反应,会选择非交易时间来发布信息,从而产生隔夜信息；另一方面,在当今全球化经济环境下,中国股市与国际主要资本市场非同步交易,也是隔夜信息产生的来源之一,这样就造成了非交易期间累积了大量的隔夜信息。从上个世纪六十年代以来,随着有效市场假说的提出和完善,股票价格的波动一直被认为是市场受到外界信息的冲击而产生的。但是越来越多的异常波动现象在股票市场上不断出现,而且股票价格在无信息时也会产生异常波动,这就使得EMH中以外界信息冲击来解释股票价格波动的理论显得不够充分。随着行为金融学的兴起,人们发现投资者的非理性行为也是导致资产价格异常波动的原因。因此,引起股票价格的波动原因不仅包括外界信息的冲击,投资者的交易行为也是一个不可忽视的原因。因此,本文结合交易因素,分析隔夜信息对我国创业板市场隔夜收益及日内交易期间收益波动的影响,并且将之与主板市场对比。研究表明：(1)在集合竞价阶段,由于我国创业板市场的隔夜收益既受到隔夜信息的影响还受到前一交易日滞后信息的影响,所以相对于主板市场我国创业板市场的隔夜收益波动略大。(2)在日内交易期间,创业板市场当日的收益波动要大于主板市场,一是因为创业板市场的当日的收益仍然受到隔夜信息的影响,二是因为创业板市场上成交量的波动对创业板市场当日收益的影响大于主板市场上成交量的波动对主板市场当日收益的影响。进一步使用GARCH模型分析隔夜信息对创业板市场日内每小时收益的影响,研究发现：从创业板市场交易时间的第3个60分钟开始,隔夜信息对创业板市场的日内收益状况才没有显著性的影响,也就是说创业板市场的信息传递效率较低,隔夜信息随着交易的进行逐步缓慢融入到股票价格之中,直到开盘之后两个小时才反应完全。最后,本文将2011年1月4日到2013年12月31日三年的样本数据平均划分为三份,逐年来验证隔夜信息对创业板市场日内收益的影响,发现每-年的样本检测结果与三年期的样本检测结果都不尽相同,但是可以看到创业板市场的隔夜信息传递效率从2011年到2013年呈现出提升的趋势。本文认为研究隔夜信息对创业板市场的影响是极具现实意义的。首先,收益率的波动特征是国内股票市场的极为关键的一个特征,这种波动特征是许多企业进行投融资决策的重要参考,也是许多投资者研究国内股票市场风险因素、不确定性以及投资者行为模式的重要参考,此外还是我们测量VAR(Value at Risk风险价值)的重要参考。本文对国内创业板市场和主板市场的隔夜收益、日内收益以及日间收益的波动性进行实证研究,并对这种波动性特征作了比较分析,有助于明晰创业板市场的股价波动规律,进而明晰创业板市场的微观结构、投资者行为以及股票的定价问题。其次,从宏观层面来看,本文对创业板市场和主板市场的收益状况的比较研究有助于减少创业板市场股票剧烈的股票价格波动,有助于提高市场效率以及优化市场资源配置,并且对决策机构制定信息披露制度和完善市场交易结构也会起到一定的参考作用；从微观层面来看,比较分析创业板市场和主板市场的隔夜收益的波动性特征,以及结合隔夜收益对创业板市场的日内收益变动做出更为有效的预测,对于投资者和金融市场的学术研究者都具有一定的理论价值和现实意义：首先,对于投资者来说,结合隔夜收益对股市日内走势做出预测,可以帮助投资者做出合理的判断和投资决策；其次,对于学术研究者来说,关于隔夜收益的研究文献相对较少,本文在对现有的文献进行总结的基础上,创新性地比较研究了隔夜收益对于创业板市场和主板市场的不同影响,进而弥补了国内对创业板市场隔夜信息的研究空白。本文在对隔夜信息、影响创业板市场的机制进行研究过程中具有以下方面的贡献与创新：(1)股票市场的日收益由隔夜收益与日内交易时段收益一起构成,一直以来,众多的文献都是借助分析日收益率的波动特征来分析股票价格的波动规律,并且众多的文献实证研究的样本数据都是来源于国内主板市场或国外主要股票市场,本文首次借助分析隔夜收益率的波动特征来分析创业板市场的股票价格的波动规律,以便进一步地了解创业板市场的微观结构、投资者行为以及股票的定价问题。(2)目前众多的文献要么针对股票市场的日间变量关系和日内变量关系作实证研究,要么针对股票市场的隔夜变量关系作实证研究,并且对日间变量关系和日内变量关系的研究远远超过对隔夜变量关系的研究,本文首次综合比较分析了主板市场和创业板市场的日间收益状况、日内收益状况以及隔夜收益状况,有利于我们对国内股票市场的收益变动状况形成一个完整清晰的印象,有助于我们整体把握国内股票市场的股票价格的波动规律。(3)不同市场成熟度和制度建设完善度的股票市场(比如说创业板市场和主板市场)的上市公司受市场关注程度不同,上市公司信息透明度不同,它们的开盘价格(或隔夜收益)对隔夜信息的揭示效率必然不同,它们的信息融入股票价格的过程必然不用,从而它们的交易价格会对隔夜信息会产生不同的信息反馈。因此,虽然本文的研究重心是隔夜信息对创业板市场的影响,但是考虑到创业板市场和主板市场的市场成熟度和制度建设完善度不同,本文首次引入主板市场作为参照标准,通过两个市场的实证结果对比更加明晰创业板市场的收益波动水平和隔夜信息的传递效率。(4)众所周知,股票市场中的交易过程就是各种宏微观的信息不断融入交易价格从而引起交易量的变动,而交易量的变动进一步又继续作为一种信息再次融入下一阶段交易价格的过程。因此,本文创新性地将成交量的变动项引入到GARCH模型的均值方程中,并且不用考虑其他因素的影响,直接引入虚拟变量来考察隔夜信息对日内收益的冲击。(5)众多文献对于隔夜信息影响股市的研究都是基于一个长期大样本,本文将2011年1月4日到2013年12月31日三年的样本数据平均划分为三份,逐年来验证隔夜信息对创业板市场日内收益的影响,有助于我们把握隔夜信息作用于创业板市场的动态特征。
[Abstract]:Because the trading time of the stock market is very short, many market information will be released and disseminated in non trading time. On the one hand, the government departments and listed companies will choose non trading time to publish information in order to avoid the overreaction of the transaction time. On the other hand, in today's globalized economic environment, The non synchronous transaction between the national stock market and the major international capital markets is also one of the sources of the overnight information. Thus, a large amount of overnight information has been accumulated during the non trading period.
Since the 60s of last century, with the improvement of the effective market hypothesis, the fluctuation of the stock price has been thought to be the result of the impact of the outside information. But more and more abnormal fluctuations appear in the stock market, and the stock price will produce abnormal fluctuations when there is no information, which makes it possible. With the rise of behavioral finance, people find that the irrational behavior of investors is also the cause of the abnormal fluctuation of the asset price with the rise of behavioral finance. Therefore, the cause of the fluctuation of the stock price not only covers the impact of the external information, but also the trading behavior of the investors. It is also a reason that can not be ignored.
Therefore, this paper analyzes the effect of overnight information on the overnight earnings and the fluctuation of earnings during the daily transaction in China's GEM market, and compares it with the main board market. The study shows that: (1) in the stage of the rally, the overnight profit of the gem is not only affected by overnight information but also by the previous day. The impact of lag information, so relative to the main board market of China's GEM market is slightly more volatile. (2) during the day of intra day trading, the growth of the gem on the day of volatility is greater than the motherboard market, one is because the growth of the day of the gem is still affected by overnight information, the two is because of the growth of the GEM market. The impact of volatility on the day's earnings of the gem is greater than the impact of volatility on the main board market on the day of the motherboard. Further using the GARCH model to analyze the impact of overnight information on the day's earnings per hour in the GEM market, the study found that the third 60 minutes from the GEM market start, overnight information. There is no significant impact on the daily income of the gem, that is to say, the efficiency of the information transfer in the gem is low, and the overnight information slowly integrates into the stock price with the transaction, until two hours after the opening. Finally, this article will be from January 4, 2011 to three years. The sample data are divided into three copies, which verify the effect of the overnight information on the daily income of the gem. It is found that the results of each year's sample test and the three year sample are not the same. However, it can be seen that the efficiency of the overnight information transfer in the gem is rising from 2011 to 2013.
This paper holds that it is of great practical significance to study the impact of overnight information on the GEM market. First, the volatility of the rate of return is a key feature of the domestic stock market. This volatility is an important reference for many enterprises to make investment and financing decisions, and is also a risk factor for many investors to study the domestic stock market. The important reference of the qualitative and investor behavior patterns is also an important reference for our measurement of the VAR (Value at Risk risk value). This paper makes an empirical study on the overnight earnings of the domestic gem and the main board markets, the intraday returns and the volatility of the daytime income, and makes a comparative analysis of the volatility characteristics. To clarify the fluctuation law of the stock market, and then clarify the micro structure of the gem, investor behavior and the pricing of stock. Secondly, from the macro level, the comparative study on the income of the gem and the main board will help to reduce the volatility of the stock price in the gem stock market, and help to reduce the volatility of the stock price in the GEM market. To improve the market efficiency and optimize the allocation of market resources, it also plays a certain reference role in making information disclosure system and perfecting market transaction structure. From the micro level, it compares and analyzes the volatility characteristics of the overnight earnings of the gem and the main board markets, and the GEM market combined with the overnight earnings. For investors and the academic researchers of the financial market, it has a certain theoretical and practical significance for investors and the academic researchers in the financial market. First, it can help investors to make reasonable judgments and investment decisions with the combination of overnight returns to the stock market, and secondly, for the investors. On the basis of summarizing the existing literature, this paper makes a comparative study of the different effects of overnight earnings on the gem and the main board markets, and then makes up for the gap in the research on the overnight information of the GEM market.
In this paper, this paper has the following contributions and innovations in the study of the mechanism of the impact of the GEM market. (1) the daily income of the stock market is composed of the overnight earnings and the earnings of the intra day trading period. It is the first time to analyze the fluctuation of the stock price in the GEM market by analyzing the fluctuation characteristics of the overnight return rate, so as to further understand the microstructure of the GEM market and the behavior of the investor. And the problem of stock pricing. (2) many of the current literature can either do empirical research on the relationship between day variables and daily variables in the stock market, or make an empirical study on the overnight variable relationship in the stock market, and the study on the relationship between the daily variables and the daily variables is far more than the study of the relationship between the overnight variables. For the first time, the paper makes a comprehensive comparison and analysis of the daytime income of the main board market and the GEM market, the intra day income and the overnight income, which will help us to make a complete and clear impression on the fluctuation of the domestic stock market, and help us to grasp the fluctuation law of the stock price in the domestic stock market. (3) no The listed companies of the stock market (such as the gem and the main board market) have different market concerns, and the information transparency of the listed companies is different. Their opening prices (or overnight earnings) are different in the efficiency of revealing the overnight information, and their information is integrated into the stock price process. Therefore, although the focus of this study is on the impact of overnight information on the GEM market, considering the market maturity of the gem and the main board market, the main board market is introduced as a reference for the first time. According to the standard, through the empirical results of the two markets, the volatility level of the GEM market and the transmission efficiency of the overnight information are clearer. (4) it is well known that the transaction process in the stock market is that various macro and micro information constantly integrates the transaction price and thus causes the change of the transaction volume, and the change of the transaction volume continues to continue. As a process in which information is reintegrated into the next stage of the transaction price, this paper introduces the change term of the volume to the mean equation of the GARCH model, and does not consider the influence of other factors and directly introduces the virtual variable to investigate the impact of the overnight information on the daily income. (5) many documents are for the overnight information shadow. The research on the stock market is based on a long term large sample. This paper divides the sample data of three years from January 4, 2011 to December 31, 2013 to three, to verify the effect of the overnight information on the daily income of the GEM market, which will help us to grasp the dynamic characteristics of the night information on the GEM market.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】