本文選題：國外突發(fā)事件　切入點：影響機(jī)理　出處：《哈爾濱工業(yè)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：突發(fā)事件與股票市場密切相關(guān)，已有的研究大多用事件研究法考察某類或某個突發(fā)事件是否會對某行業(yè)股票產(chǎn)生正向或負(fù)向影響，鮮有研究關(guān)注重大突發(fā)事件對整個股票市場的影響及其影響機(jī)理。近年來，隨著國際局勢動蕩、金融危機(jī)、自然災(zāi)害的頻繁發(fā)生，對國外突發(fā)事件的研究開始成為熱點。但目前此類研究很少，并沒有形成系統(tǒng)性。因此，論文嘗試系統(tǒng)性的研究國外突發(fā)事件對國內(nèi)股票市場的影響，在研究股價異動表象的同時，亦對其影響機(jī)理和影響因素進(jìn)行探索。 在國內(nèi)外研究基礎(chǔ)上，論文首先對國外突發(fā)事件進(jìn)行了界定，繼而構(gòu)建了國外突發(fā)事件對國內(nèi)股票市場影響機(jī)理模型，然后對情緒與股票市場進(jìn)行了理論分析。根據(jù)對國外突發(fā)事件的界定，以新華社評出的2011年國際十大新聞為重大性標(biāo)準(zhǔn)，篩選出符合論文定義的國外突發(fā)事件，以上證A股主板上市公司為樣本，，對篩選出的事件分別進(jìn)行事件研究、股價異動檢驗以及多元線性回歸分析。事件研究中對樣本股票的異常收益、累積超常收益進(jìn)行了考察；在異動檢驗中分別檢驗了時間窗內(nèi)事件前后樣本股票的日振幅平均以及短期波動情況；在回歸分析中以企業(yè)業(yè)績、流通股股權(quán)集中度、機(jī)構(gòu)投資者等因素作為自變量對股價異動進(jìn)行了解釋。實證研究結(jié)果表明：（1）異常收益、累積異常收益分別在t=3、t=4前達(dá)最值；（2）事件發(fā)生前后A股市場的活躍程度及收益率有顯著不同；（3）企業(yè)業(yè)績對股價異動具有雙重作用，流通股大股東在國外突發(fā)事件中投資決策具有非一致性，機(jī)構(gòu)投資者沒有起到推波助瀾的作用；（4）ST(*ST)股票表現(xiàn)不俗。
[Abstract]:Emergent events are closely related to the stock market. Most of the previous studies have used event research methods to investigate whether a certain type of emergency or an unexpected event will have a positive or negative impact on the stock market in a certain industry. Few studies have focused on the impact of major emergencies on the entire stock market and its mechanism. In recent years, with the turbulence of the international situation, the financial crisis, and the frequent occurrence of natural disasters, The research on foreign emergencies has become a hot topic. However, there are few such studies at present, and there is no systematization. Therefore, this paper attempts to systematically study the impact of foreign emergencies on the domestic stock market. At the same time, the influence mechanism and influencing factors of stock price are explored. Based on the research at home and abroad, the paper defines the foreign emergencies, and then constructs the model of the influence mechanism of the foreign emergencies on the domestic stock market. Then it makes a theoretical analysis of emotion and the stock market. According to the definition of foreign emergencies, taking the top ten international news stories of 2011 as the significant standards, the paper selects the foreign emergencies that accord with the definition of the paper. Taking the listed companies on the main board of Shanghai Stock Exchange A as the sample, the selected events are studied respectively by event analysis, stock price change test and multiple linear regression analysis. The abnormal returns and cumulative extraordinary returns of the sample stocks are investigated in the event study. The average daily amplitude and short-term fluctuation of the sample stock before and after the event in the time window were tested in the change test, and in the regression analysis, the performance of the enterprise, the concentration of tradable shares, the concentration of tradable shares, were analyzed in the regression analysis. Institutional investors and other factors are used as independent variables to explain the volatility of stock prices. Cumulative abnormal returns reached the maximum value before TX 3 / TX 4) before and after the incident, there were significant differences in the degree of activity and rate of return in the A share market. (3) Enterprise performance has a dual effect on stock price volatility. The investment decisions of the major shareholders of circulating shares in foreign emergencies are inconsistent, and institutional investors have not played a role in contributing to the development of the stock market, and the performance of the stocks is not vulgar.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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