本文關(guān)鍵詞：上海股票市場(chǎng)半強(qiáng)式有效性實(shí)證研究　出處：《遼寧大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 半強(qiáng)式有效性 事件研究法 定向增發(fā)信息首次公布 盈余信息公布

【摘要】：資本市場(chǎng)在現(xiàn)代經(jīng)濟(jì)中發(fā)揮著重要的作用，有效的資本市場(chǎng)是實(shí)現(xiàn)社會(huì)經(jīng)濟(jì)資源有效配置的重要前提條件。在當(dāng)代金融理論中，，市場(chǎng)的半強(qiáng)式有效性具有重要的理論和實(shí)踐意義。在半強(qiáng)式有效市場(chǎng)的情況下，可以得出現(xiàn)代金融學(xué)中的一系列重要的理論，如MM理論、資本資產(chǎn)定價(jià)模型等。在市場(chǎng)實(shí)踐中，半強(qiáng)式有效的市場(chǎng)配合制度措施限制內(nèi)幕交易的發(fā)生，市場(chǎng)交易者就可以采取被動(dòng)復(fù)制市場(chǎng)組合的交易策略。反之，如果市場(chǎng)沒(méi)有實(shí)現(xiàn)半強(qiáng)式有效，那么市場(chǎng)交易者就應(yīng)該采取積極的交易策略，通過(guò)分析公開(kāi)信息獲取超額收益。研究股票市場(chǎng)的半強(qiáng)式有效性可以在理論上檢驗(yàn)有效市場(chǎng)理論，為金融理論的發(fā)展提供支持或反對(duì)的證據(jù)。股票市場(chǎng)的效率狀況還能夠?yàn)檎咧贫ㄕ咧贫ㄕ咛峁﹨⒖�。本文就是在股�?quán)分置改革已經(jīng)完成，市場(chǎng)基本實(shí)現(xiàn)全流通的情況下，采用最新的市場(chǎng)數(shù)據(jù)，對(duì)上海股票市場(chǎng)的半強(qiáng)式有效性進(jìn)行檢驗(yàn)。 論文從理論研究入手，結(jié)合上海股票市場(chǎng)的實(shí)際情況，采用實(shí)證研究的方法，對(duì)上海股票市場(chǎng)的半強(qiáng)式有效性進(jìn)行實(shí)證研究。在對(duì)市場(chǎng)的半強(qiáng)式有效性的研究中，常用的方法是事件研究法。本文選擇了股票市場(chǎng)中普遍存在的定向增發(fā)信息首次公布事件和盈余信息公布事件進(jìn)行研究。在選擇樣本公司時(shí)，力求保持事件窗的獨(dú)立性。 本文分為如下的幾個(gè)部分：第一，緒論部分。本章對(duì)選題的背景和意義做出了說(shuō)明。第二，理論和方法部分。主要介紹了本文的理論基礎(chǔ)以及使用的事件研究方法。本章針對(duì)半強(qiáng)式有效市場(chǎng)做了概述。對(duì)半強(qiáng)式有效市場(chǎng)定義、特點(diǎn)、實(shí)證檢驗(yàn)、做了介紹。接下來(lái)，針對(duì)本文的研究方法——事件研究方法內(nèi)容、步驟做了詳細(xì)說(shuō)明，并給出檢驗(yàn)統(tǒng)計(jì)量的計(jì)算公式。第三，實(shí)證分析部分。實(shí)證分析部分包括對(duì)定向增發(fā)首次信息公布事件和年度盈余報(bào)告公布事件兩個(gè)事件的研究。第四，結(jié)論和啟示部分。給出本研究的結(jié)論，并對(duì)比兩個(gè)事件所獲得的超額收益率，對(duì)政策制定者給予一定的啟示。 本文通過(guò)對(duì)上海股票市場(chǎng)的定向增發(fā)首次信息公布事件和盈余公布事件進(jìn)行分析，得出如下結(jié)論：對(duì)于本文選擇的定向增發(fā)信息首次公布事件和盈余信息公布事件，在事件窗末期都可以獲得累計(jì)超額收益率，并且在統(tǒng)計(jì)上顯著。這與半強(qiáng)式有效性的市場(chǎng)不符�，F(xiàn)階段，上海股票市場(chǎng)還沒(méi)有達(dá)到半強(qiáng)式有效，政策制定者應(yīng)該制定有利于市場(chǎng)實(shí)現(xiàn)半強(qiáng)式有效性的政策。
[Abstract]:The capital market plays an important role in the modern economy, the capital market is an important prerequisite for the effective allocation of social economic resources. In modern financial theory, which has important theoretical and practical significance to semi strong form efficient market. In the semi strong efficient market, can be obtained in modern finance in a series of important theories such as MM theory, the capital asset pricing model. In the actual market, semi strong efficient market system with measures to limit the occurrence of insider trading, market traders can take passive replication market portfolio trading strategies. On the contrary, if the market does not achieve the semi strong efficiency, so market traders should take active trading strategies, obtain excess returns by analyzing the public information. Semi strong efficiency research of the stock market can test the efficient market theory in theory , support or oppose the evidence for the development of financial theory. The efficiency of the stock market can also provide a reference for policy makers to formulate policies. This article is in the share reform has been completed, the basic realization of the market circulation, with the latest market data, to test the semi strong efficiency in Shanghai in the stock market.
The dissertation starts from theory research, combined with the actual situation of Shanghai stock market, using the methods of empirical research, the empirical research on the semi strong form efficiency of Shanghai stock market. In the study of semi strong efficiency on the market, the commonly used method is the method of event study. This paper chose directional common stock market the additional information published for the first time the event and earnings information released events for research. In the choice of the Sample Firms, in order to maintain the independence of the event window.
This paper is divided into the following several parts: first, introduction. In this chapter the background and significance of the topic and explained. The second part, the theory and method. This paper mainly introduces the basic theory and the use of the event study method. This chapter focuses on the semi strong efficient market is summarized. The semi strong efficient market definition, characteristics, empirical test, is introduced. Next, according to the research methods, contents of the event study method, steps in detail, and gives a calculation formula of the test statistic. The third part of empirical analysis. The empirical analysis of privateplacement information first published events and annual earnings report released on the two event event. Fourth, the conclusion and revelation. Given the conclusions of this study, and compare the two events the excess rate of return, for policymakers to give some enlightenment.
The orientation of Shanghai stock market in the first issuance of information published events and earnings announced events are analyzed, the conclusions are as follows: for the additional directional information published for the first time the event and earnings information released in the event, the event window can be obtained at the end of the cumulative abnormal return, and there is a statistically significant. This is inconsistent with the semi strong efficient market. At present, the Shanghai stock market has not reached the semi strong efficiency, policymakers should set the market to achieve the semi strong effective policy.

【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)博士學(xué)位論文 前2條

1 趙云立;中國(guó)股票市場(chǎng)效率實(shí)證研究[D];吉林大學(xué);2004年

2 楊代平;中國(guó)證券市場(chǎng)超額收益研究[D];暨南大學(xué);2005年

本文編號(hào)：1405026