本文選題：價(jià)格波動(dòng)程度 + 信息頻度�。� 參考：《吉林大學(xué)》2013年碩士論文

【摘要】：證券市場(chǎng)的基礎(chǔ)是信息，信息在股票投資決策的過程中起著非常重要的作用，是股票估值的基礎(chǔ)。同時(shí)信息是證券市場(chǎng)健康發(fā)展的關(guān)鍵因素，證券市場(chǎng)的運(yùn)行過程就是一個(gè)信息處理的過程。國內(nèi)外學(xué)者對(duì)信息經(jīng)濟(jì)學(xué)普遍進(jìn)行了深入研究，法瑪（E.Fama）在1965年發(fā)表的《股票市場(chǎng)價(jià)格的行為》一文中提出了著名的“有效市場(chǎng)假說”。有效市場(chǎng)假說（EMH）是現(xiàn)代金融理論中最重要也是最有爭(zhēng)議性的概念之一。根據(jù)這一理論，在完全有效的市場(chǎng)中，股價(jià)對(duì)公司財(cái)務(wù)報(bào)告中的收入信息的反應(yīng)，應(yīng)當(dāng)是及時(shí)的，充分的，在這樣一個(gè)市場(chǎng)中，沒有人能夠通過對(duì)收入信息的分析采取一定的投資策略從而獲得高于市場(chǎng)的收益，即沒有人能夠獲得超額收益。 然而隨著有關(guān)有效市場(chǎng)研究的深入，學(xué)術(shù)界發(fā)現(xiàn)實(shí)證結(jié)果所揭露的事實(shí)情況并非如此。Ball和Bromn（1968）通過對(duì)紐約證券交易所上市的261家公司從1946年到1965年年度會(huì)計(jì)盈利信息披露前12個(gè)月到后6個(gè)月的股價(jià)進(jìn)行的實(shí)證研究結(jié)果表明市場(chǎng)中存在著超額收益，并且“好消息”組合股票的價(jià)格在公告前后持續(xù)向上漂移，“壞消息”組合股票的價(jià)格則持續(xù)向下漂移。我國學(xué)者張俊喜和張華（2003）對(duì)1996-1999年間上海證券交易所的所有上市公司進(jìn)行了詳細(xì)研究，發(fā)現(xiàn)在盈利公告之前和公告后交易首日，盈利變化和股價(jià)走勢(shì)之間呈現(xiàn)強(qiáng)烈的正相關(guān)關(guān)系，但之后這種正相關(guān)關(guān)系便不復(fù)存在了，而且在盈利公告之后，，盈利狀況的公司股價(jià)上漲最快。阮奕（2003）等人對(duì)2000年以前深市A股的年報(bào)數(shù)據(jù)進(jìn)行了分析，發(fā)現(xiàn)財(cái)務(wù)報(bào)表收入數(shù)據(jù)與股價(jià)的走勢(shì)基本相反。在總結(jié)以往國內(nèi)外文獻(xiàn)后我們發(fā)現(xiàn)，會(huì)計(jì)盈余數(shù)據(jù)是一種信號(hào)，但是這種信號(hào)如何對(duì)股價(jià)產(chǎn)生影響，學(xué)術(shù)界并沒有給出滿意的一致性的答案。因此，本文不將這種信號(hào)加以區(qū)分（不分好壞），從另一個(gè)維度，即信息披露頻度對(duì)股票估值的影響這一維度進(jìn)行分析，從而證明信息是有延遲效應(yīng)和彎曲效應(yīng)的。 本文研究的是上市公司信息披露頻度與股價(jià)波動(dòng)程度的關(guān)系，采用的是信息經(jīng)濟(jì)學(xué)研究方法。本文基于信息經(jīng)濟(jì)學(xué)的相關(guān)理論，選取2006到2010年滬深兩市上市公司的面板數(shù)據(jù)為研究樣本，運(yùn)用信息經(jīng)濟(jì)學(xué)研究法對(duì)信息披露頻度與上市公司股價(jià)波動(dòng)程度的相關(guān)性進(jìn)行研究分析。本文用累計(jì)超額收益（Cumulative Abnormal Return,CAR）來表示投資者獲取股票超額收益的情況，用股票的年度價(jià)格離差均值表示股票價(jià)格的波動(dòng)（Price Fluctuation,PF）程度。用相鄰年報(bào)公布期間的上市公司發(fā)布信息的數(shù)量來表示信息披露頻度(Q)。首先，經(jīng)過規(guī)范性分析提出信息延遲效應(yīng)（Information Delaying Effect）和信息彎曲效應(yīng)（Information Curving Effect）的假設(shè)。其次，采用信息經(jīng)濟(jì)學(xué)研究方法分析信息披露頻度(Q)對(duì)累計(jì)超額收益率（CAR）的影響，從而證明信息延遲效應(yīng)（Information Delaying Effect）的存在。最后，分析信息披露頻度(Q)與股票價(jià)格波動(dòng)程度（PF）之間的相關(guān)關(guān)系，基于研究結(jié)論提出信息彎曲效應(yīng)（Information Curving Effect）的存在。 研究結(jié)果表明：我國證券市場(chǎng)信息披露頻度具有市場(chǎng)效應(yīng)，信息披露頻度對(duì)股票估值存在影響。第一，經(jīng)過本文的分析，我們發(fā)現(xiàn)我國證券市場(chǎng)存在著延遲效應(yīng)。首先，信息頻度對(duì)年報(bào)公布日后的累計(jì)超額收益的影響都是負(fù)向的，這說明隨著信息頻度的增加市場(chǎng)的有效性在增強(qiáng)。其次，信息頻度對(duì)年報(bào)公布日后的累計(jì)超額收益的影響隨著時(shí)間的加長(zhǎng)而越來越顯著，這說明市場(chǎng)對(duì)信息的消化需要一個(gè)比較長(zhǎng)的過程，這說明存在著信息延遲效應(yīng)。第二，經(jīng)過分析，我們發(fā)現(xiàn)我國證券市場(chǎng)具有信息彎曲效應(yīng)的性質(zhì)。信息頻度對(duì)股票價(jià)格波動(dòng)程度的影響隨著信息頻度的增加而由負(fù)向逐漸轉(zhuǎn)為正向。這表明我國證券市場(chǎng)具有信息彎曲效應(yīng)的性質(zhì)。
[Abstract]:The basis of the securities market is information. Information plays a very important role in the process of stock investment decision. It is the basis of stock valuation. At the same time information is the key factor for the healthy development of the stock market. The process of the operation of the securities market is a process of information processing. The effective market hypothesis (EMH) is one of the most important and most controversial concepts in modern financial theory, E.Fama, published in 1965, is one of the most important and most controversial concepts in modern financial theory. The reaction of interest should be timely and sufficient. In such a market, no one can obtain a certain investment strategy through the analysis of income information so as to gain higher income than the market, that is, no one can gain excess income.
However, with the deepening of effective market research, the fact that the empirical results revealed by the academic community is not so.Ball and Bromn (1968) the empirical results of the stock price of the 261 companies listed on the New York stock exchange from the 12 months to the 6 months of the annual accounting earnings information disclosure from 1946 to 1965. There are excess returns in the field, and the price of "good news" portfolio is drifting up and down continuously before and after the announcement, and the price of "bad news" combination stock continues to drift downward. Chinese scholars Zhang Junxi and Zhang Hua (2003) have carried out a detailed study on all listed companies of the Shanghai stock exchange in 1996-1999 years, and found in the profit-making public. There was a strong positive correlation between earnings changes and stock prices on the first day of the announcement and the first day of the announcement, but the positive correlation disappeared after the announcement, and after the profit announcement, the company's share price was the fastest. And Ruan Yi (2003) analyzed the annual data of the A shares before 2000 and found the money. After summarizing the previous domestic and foreign literature, we found that the accounting earnings data is a kind of signal, but how this signal affects the stock price, the academic circle does not give a satisfactory answer. Therefore, this paper does not distinguish the signal from the other (good or bad), from the other. One dimension, that is, the influence of information disclosure frequency on stock valuation, is to prove that information has delayed effect and bending effect.
In this paper, the relationship between the frequency of information disclosure and the volatility of stock prices is studied. Based on the related theory of information economics, this paper selects the panel data of the listed companies in the Shanghai and Shenzhen two cities from 2006 to 2010 as the research sample, and uses the information economics research method to make information disclosure frequency and listing. The correlation of the volatility of the company's stock price is analyzed. In this paper, the Cumulative Abnormal Return (CAR) is used to express the investor's gain in the stock price, and the average annual price deviation of the stock is used to express the volatility of the stock price (Price Fluctuation, PF). The number of information is published to express the frequency of information disclosure (Q). First, the hypothesis of the Information Delaying Effect and the information bending effect (Information Curving Effect) is proposed through the normative analysis. Secondly, the information economics research method is used to analyze the effect of the information disclosure frequency (Q) on the cumulative excess rate of return (CAR). It will prove the existence of Information Delaying Effect. Finally, the correlation between the frequency of information disclosure (Q) and the volatility of stock price (PF) is analyzed, and the existence of the information bending effect (Information Curving Effect) is proposed based on the conclusion of the research.
The results show that the frequency of information disclosure in China's securities market has a market effect, and the frequency of information disclosure has an impact on the stock valuation. First, after this analysis, we found that there is a delay effect in our securities market. First, the frequency of information has a negative impact on the cumulative excess returns after the annual report. This shows that the effect of the information frequency on the cumulative excess returns after the annual report is negative. With the increase of the frequency of information, the effectiveness of the market is increasing. Secondly, the influence of the frequency of information on the cumulative excess returns after the annual report is more and more significant as the time increases. This shows that the market needs a longer process of information digestion, which shows the existence of information delay effect. Second, we find that we find that the information delay effect is present. China's securities market has the nature of information bending effect. The influence of the frequency of information on the volatility of stock prices is gradually turning from negative to positive with the increase of the frequency of information. This shows that the securities market in China has the nature of information bending effect.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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