基于重组信息的股价异动研究

发布时间：2018-05-20 15:20

本文选题：重组 + 信息泄露　；参考：《北方工业大学》2014年硕士论文

【摘要】：鉴于证券市场普遍存在的信息泄露现象,本文选择中国股市2010年至2013年重大重组事件为样本,展开信息泄露与股价异常波动的研究。主要运用事件研究法和残差系数法,选取累计异常收益率、公告效应、内幕交易效应、残差系数等指标来检验重大重组事件信息披露对股价的影响。事件研究法验证信息披露对重组事件影响时,采取经典市场模型,估计参数并计算异常收益率,估计期定为重组公告前120到前30个交易日,共90个交易日,事件期定为公告前后30个交易日,共60个交易日。本文从多角度分析重组样本,如年度重组企业异常收益、上证和深证重组企业异常收益、不同重组类型样本异常收益、公告效应和内幕交易效应。接着利用残差系数法计算出不同样本的残差系数,并判断是否出现股价异动,结合交易量、异常收益等指标综合判断重组信息是否泄露,提供了一种简洁、快速的判断方法。本文其他部分结构如下：第一章为引言,介绍研究背景、研究意义、研究内容、研究框架；第二章为理论综述,介绍国内外重组情况及重组类型、股价异动与内幕交易相关研究；第三章介绍本文的研究方法和指标,阐述事件研究法和内幕交易情况、介绍了累计平均异常报酬、公告效应和内幕交易效应三个指标,除此之外,还介绍了残差系数法；第四章为样本选取标准及数据来源；第五章为实证分析,是本文的重点内容,利用各种指标验证重组市场信息泄露的现象,并提出更简洁的判断方法；第六章针对重组市场存在的问题提出相应对策,完善信息披露措施；第七章总结全文,得出结论,提出进一步研究的问题和不足。通过对2010到2013年重组样本公司进行检验,得出我国证券市场存在普遍的习惯,即将资产重组事件视为利好消息,且进行重组的公司在短期内价值增加,总体CAR走势表明市场存在信息泄露、操纵股价现象,这个结论与国内大部分研究结果一样。由于受到数据获得以及本人理论基础的限制,很难全面、完整的从某个理论体系展开,会造成研究结论的片面和缺失,有待日后改进。
[Abstract]:In view of the widespread phenomenon of information leakage in the stock market, this paper selects the major restructuring events of Chinese stock market from 2010 to 2013 as the sample to carry out the research on information leakage and abnormal volatility of stock price. This paper mainly uses event research method and residual coefficient method to test the influence of information disclosure on stock price by selecting accumulative abnormal rate of return, announcement effect, insider trading effect, residual coefficient and so on. When the event research method verifies the influence of information disclosure on the reorganization event, it adopts the classical market model, estimates the parameters and calculates the abnormal rate of return. The estimated period is 120 to 30 trading days before the reorganization announcement, a total of 90 trading days. The event period is set as 30 trading days before and after the announcement, a total of 60 trading days. This paper analyzes the recombination samples from many angles, such as the abnormal returns of the annual reorganization enterprises, the abnormal returns of the Shanghai and Shenzhen stock exchanges, the abnormal returns of the different types of recombination samples, the effect of announcement and the effect of insider trading. Then the residual coefficient of different samples is calculated by the method of residual coefficient, and a simple and fast judgment method is provided to judge whether the recombination information is leaking or not combined with the index of trading volume, abnormal return and so on. The other parts of this paper are as follows: the first chapter is the introduction, the research background, significance, research content, research framework, the second chapter is a theoretical review, introducing the domestic and foreign reorganization situation and types, The third chapter introduces the research methods and indicators of this paper, describes the event research method and insider trading situation, introduces the accumulative average abnormal return, the announcement effect and the insider trading effect. In addition, the residual coefficient method is introduced; the fourth chapter is the sample selection criteria and data sources; the fifth chapter is the empirical analysis, which is the focus of this paper, using various indicators to verify the phenomenon of information leakage in the reorganization market. And put forward a more concise judgment method; Chapter VI for restructuring the market problems put forward the corresponding countermeasures to improve information disclosure measures; Chapter VII summarizes the full text, draw conclusions, put forward further research problems and deficiencies. By testing the recombination sample companies from 2010 to 2013, it is concluded that there is a general habit in China's securities market, that is, asset restructuring events are regarded as good news, and the value of the restructured companies increases in the short term. The overall CAR trend indicates that there is information leakage and stock price manipulation in the market. This conclusion is the same as most domestic research results. Because of the limitation of the data acquisition and the theoretical basis, it is very difficult to start from a theoretical system completely, which will lead to the one-sided and missing of the research conclusions, which need to be improved in the future.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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