本文選題：事件研究 + 產(chǎn)品質(zhì)量新聞　； 參考：《上海交通大學(xué)》2012年碩士論文

【摘要】：7.23溫州動(dòng)車事故造成了大約200人的死亡，同時(shí)也對(duì)相關(guān)上市公司的股價(jià)造成了巨大的下跌。在那次事故之后，有關(guān)和諧號(hào)的制造及維護(hù)的一系列公司都經(jīng)歷了股價(jià)的大幅下挫，他們中的一些甚至遭遇了跌停。這次事件的例子很好的體現(xiàn)了產(chǎn)品質(zhì)量相關(guān)的負(fù)面消息對(duì)股市的影響。然而，這一題目在學(xué)術(shù)界仍然是個(gè)嶄新的論題，很少有人專門研究這一類消息對(duì)股價(jià)的影響，尤其是在中國幾乎沒有前人做過類似的研究。 本文總結(jié)了2011年5月至2012年2月間發(fā)生的166件產(chǎn)品質(zhì)量相關(guān)的新聞，采用30天的事件窗口研究負(fù)面新聞與之后的股價(jià)變動(dòng)之間的關(guān)系。本文采用假設(shè)檢驗(yàn)的方法，論證了產(chǎn)品質(zhì)量相關(guān)的負(fù)面新聞與股價(jià)下跌之間的顯著聯(lián)系；通過回歸模型進(jìn)一步闡述影響范圍廣的新聞會(huì)帶來更大的股價(jià)下跌。 研究結(jié)果表明，一旦出面產(chǎn)品質(zhì)量相關(guān)的負(fù)面消息，股價(jià)會(huì)有一個(gè)持續(xù)4天左右平均0.60%的顯著下跌；對(duì)于累積超額收益而言，其顯著負(fù)值的持續(xù)時(shí)間會(huì)更長(zhǎng)，大約是14個(gè)交易日，總共的股價(jià)下跌約1.7%。除此之外，更多的搜索量、更大的媒體覆蓋率會(huì)導(dǎo)致更為嚴(yán)重的股價(jià)下跌。以上兩個(gè)現(xiàn)象強(qiáng)有力地證明了產(chǎn)品相關(guān)的負(fù)面消息與之后股價(jià)下跌的因果關(guān)系。 除了上述的因果關(guān)系之外，本文還發(fā)現(xiàn)搜索量和公司產(chǎn)品種類的豐富程度是決定負(fù)面產(chǎn)品質(zhì)量新聞對(duì)股價(jià)影響的重要因素，越大的搜索量、越單一的產(chǎn)品種類，新聞對(duì)股價(jià)的影響就越大。
[Abstract]:The Wenzhou crash killed about 200 people and caused a huge drop in the shares of listed companies. In the wake of the accident, a series of companies involved in the manufacture and maintenance of Harmony have experienced sharp falls in their share prices, some of which have even fallen by a limit. The example of this event is a good example of product quality related negative news on the stock market. However, this topic is still a new topic in academic circles, and few people have studied the influence of this kind of news on stock price, especially in China. This paper summarizes 166 news items related to product quality from May 2011 to February 2012, and uses a 30-day event window to study the relationship between negative news and subsequent stock price movements. In this paper, the hypothesis test is used to demonstrate the significant relationship between the negative news related to product quality and the decline of stock price, and the regression model is used to further explain that the news with a wide range of influence will bring about a bigger decline of stock price. The results show that once the negative news about product quality comes forward, the stock price will have a significant decline of 0.60% on average for about 4 days, and the negative value of the stock price will last longer for the cumulative excess return. About 14 trading days, a total of about 1.7 shares fell. In addition, more search volume, greater media coverage will lead to a more serious decline in stock prices. These two phenomena strongly demonstrate the causal relationship between the negative news related to the product and the subsequent stock price decline. In addition to the above causality, this paper also finds that the quantity of search and the richness of the company's product types are the important factors that determine the impact of negative product quality news on the stock price. The larger the search volume, the more the single product category. The greater the impact of news on stock prices.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F273.2;F832.51

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