我国上市银行金融创新信息披露的市场反应研究

发布时间：2018-02-21 04:25

本文关键词： 金融创新市场反应事件研究法累计超额收益率　出处：《东华大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国金融改革不断深化和金融业的逐步开放,金融创新成为商业银行必然的选择。目前,关于商业银行金融创新的研究主要集中于动因的分析,创新能力的分析,策略的选择和对策建议等方面,对于商业银行金融创新事件发生后特别是市场投资者知晓后,该银行的股票收益和市场价值的变化却鲜有研究。随着我国资本市场的不断发展,上市银行数量的逐步增加,使我们有条件对上市商业银行金融创新事件的市场反应进行定量分析。本文分为六个部分：第一部门为导论。包括研究背景,研究目的与意义,研究思路和相关概念的界定。第二部分是文献综述,主要从国外和国内两个角度概括了其他学者关于金融创新方面研究的情况。第三部分是上市银行金融创新信息披露市场反应的理论分析。结合相关的理论对上市银行金融创新信息披露市场反应的作用机理进行分析和阐述。第四章是我国上市商业银行金融创新的现状分析。主要从一些财务指标来分析上市商业银行金融创新的情况,并就存在的不足以及制约金融创新发展的因素作出分析。第五章是实证研究。采用事件研究法,通过分析金融创新事件窗期内的每日超额收益率和累积超额收益率,来分析研究上市商业银行的市场反应。第六章为结论。本文通过研究得出以下结论：通过理论分析,我们认为金融创新信息的披露必然会引起投资者对银行价值的重新评估,并且在证券市场上通过股价的变化反应出来。从实证的结果来看,目前我国股票市场能够对金融创新信息的披露作出显著的反应。尽管样本容量不大,但是事件都具有代表性,所以,本文认为市场反应具有较强的典型性。从金融创新信息披露期间的平均异常收益率和累积异常收益率来看,证券市场的反应时及时的甚至是超前的,并且在信息披露之前,正的异常收益已经出现,显然金融创新的信息已经被提前泄露了。本文的创新：以16家上市商业银行披露的金融创新事件作为研究样本,对创新公司信息披露后的市场反应做了统计学的研究,为投资者决策和相关监管部门指定政策提供了依据。
[Abstract]:With the gradual opening of China's financial reform and financial deepening, financial innovation has become an inevitable choice for the commercial banks. At present, the analysis and Research on the financial innovation of commercial banks mainly focused on the analysis of motivation, innovation ability, strategy and countermeasures and other aspects, for the financial innovation of commercial banks especially after the occurrence of events market investors know, changes in the bank's stock returns and market value is rarely studied. With the continuous development of China's capital market, the number of listed banks gradually increased, so that we have made a quantitative analysis on the market reaction of financial innovation on commercial bank.
This paper is divided into six parts: the first part is the introduction, including research background, research purpose and significance, research ideas and concepts. The second part is literature review, mainly from the two perspective of foreign and domestic situation summarized the research on financial innovation of other scholars. The third part is the financial innovation information of listed banks disclosure analysis of market reaction theory. Combined with the related theory and analysis of listed banks financial innovation information disclosure mechanism of market reaction. The fourth chapter is the analysis of the present situation of financial innovation of China's listed commercial banks. From the analysis of some major financial indicators of listed financial innovation of commercial banks, and the existing problems and factors restricting the development of financial innovation are analysed. The fifth chapter is the empirical research. By using the method of event study, through the analysis of the financial innovation event window period daily The sixth chapter is the conclusion of the market reaction of the listed commercial banks.
This paper draws the following conclusions: through theoretical analysis, we believe that financial innovation information disclosure will cause investors to re evaluate the value of the bank, and the stock price changes reflected in the stock market. The empirical results show that, at present China's stock market to the information disclosure of financial innovation made significant response. Although the sample size is not large, but the events are representative, so, I think the market reaction is typical. From financial innovation information disclosure during the average abnormal return rate and cumulative abnormal returns, the stock market's reaction time even is advanced, and the information disclosure before the positive abnormal returns financial innovation has emerged, apparently information has been leaked in advance.
The innovation of this paper is to take the financial innovation events disclosed by 16 listed commercial banks as research samples, making a statistical study of the market reaction after the information disclosure of innovative companies, providing a basis for investors to make policy decisions and relevant regulatory departments to specify policies.

【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.51;F224

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