本文選題：投資者情緒 + 違規(guī)行為　； 參考：《上海交通大學(xué)》2013年碩士論文

【摘要】：關(guān)于中國A股市場的投資者情緒以及上市公司違規(guī)行為的市場反應(yīng)，學(xué)術(shù)界尚未作廣泛而深入的探討。本論文收集了自1998年至2011年被公開披露并處罰的上市公司違規(guī)事件，并試圖研究市場對這類違規(guī)事件以及其子分類的反應(yīng)。在此基礎(chǔ)上，論文還探討了投資者情緒對上述市場反應(yīng)程度的影響。 通過對上市公司違規(guī)行為的處罰公告運(yùn)用標(biāo)準(zhǔn)事件分析法進(jìn)行研究，論文發(fā)現(xiàn)違規(guī)公司股票價(jià)格在公告日當(dāng)天及前后三天有明顯的負(fù)向反應(yīng)，平均超額收益率分別達(dá)-0.98%和-1.28%。進(jìn)一步分析表明，，在根據(jù)上市公司的違規(guī)類型、監(jiān)管者類型、受到處罰類型進(jìn)行劃分的子樣本中，除“違規(guī)購買股票”子類的違規(guī)行為反映出利好消息外，其他樣本中股票價(jià)格對違規(guī)行為也均表現(xiàn)出負(fù)向反應(yīng)。 為了研究投資者情緒對公告日附近市場反應(yīng)程度的關(guān)系，本論文構(gòu)造了A股市場的投資者情緒指數(shù)。論文選取封閉式基金折價(jià)、A股市場換手率、股市融資家數(shù)、IPO首日收益率以及中國消費(fèi)者信心指數(shù)這五個(gè)變量作為投資者情緒代理變量，并使用其前兩個(gè)主成分的加權(quán)平均值作為投資者情緒指數(shù)。通過多元線性回歸發(fā)現(xiàn)，投資者情緒指數(shù)與違規(guī)行為市場反應(yīng)程度（絕對值）正相關(guān)，但統(tǒng)計(jì)顯著性較弱。根據(jù)股票總市值、銷售收入增長率、每股收益/賬面價(jià)值、近三年現(xiàn)金股利政策將樣本二分后，重新作回歸分析發(fā)現(xiàn)，上述正相關(guān)關(guān)系對小市值、無盈利能力的公司以及不支付現(xiàn)金股利的公司股票在統(tǒng)計(jì)上顯著。針對在高投資者情緒下上述類型股票價(jià)格對違規(guī)行為負(fù)向反應(yīng)較強(qiáng)的現(xiàn)象，論文從不同情緒水平下的股票估值、投資者對信息的處理方式、產(chǎn)生羊群效應(yīng)的傾向三方面進(jìn)行了分析和解釋。 本論文結(jié)論的現(xiàn)實(shí)意義在于：在高投資者情緒環(huán)境下，股票投資者，尤其是小市值、盈利能力差、無現(xiàn)金分紅的股票投資者應(yīng)加強(qiáng)對公司違規(guī)風(fēng)險(xiǎn)的分析和控制。另外，監(jiān)管單位應(yīng)在高情緒環(huán)境下加大對投資者的風(fēng)險(xiǎn)警示，以平抑違規(guī)行為公告后股票價(jià)格的巨大波動(dòng)。由此，投資者利益有望得到更好的保護(hù)，A股市場得以更健康地發(fā)展。
[Abstract]:There has been no extensive and in-depth discussion on investor sentiment and market reaction of listed companies in China's A-share market. This paper collects the listed companies' violations that were publicly disclosed and punished from 1998 to 2011, and attempts to study the market reaction to such violations and their sub-categories. On this basis, the paper also discusses the impact of investor sentiment on the above-mentioned market reaction. By using the standard event analysis method, the paper finds that the stock price of the illegal company has a negative reaction on the day of announcement and three days before and after, and the average excess return rate is -0.98% and -1.28% respectively. Further analysis shows that, in the subsamples classified according to the type of violation, the type of supervisor and the type of punishment of listed company, the illegal behavior of the subcategory of "illegal purchase of stocks" reflects good news. Other samples of stock prices also showed a negative response to violations. In order to study the relationship between investor sentiment and the reaction degree of the market near the announcement date, this paper constructs the index of investor sentiment in A share market. The paper selects five variables as investor sentiment proxy variables, such as closed-end fund discount, A-share market turnover rate, stock market capitalists and IPO first-day yield, and Chinese consumer confidence index. The weighted average of the first two principal components is used as the investor sentiment index. Through multiple linear regression it is found that the investor sentiment index is positively correlated with the market reaction degree (absolute value) but the statistical significance is weak. According to the stock total market value, the growth rate of sales income, the earnings per share / book value, the cash dividend policy of the last three years, the sample was divided into two points, and the regression analysis showed that the above positive correlation was related to the small market value. Stocks of companies with no profitability and without cash dividends are statistically significant. In view of the phenomenon that the above types of stock prices have a strong negative reaction to illegal behavior under the high investor sentiment, the paper analyzes the stock valuation under different emotional levels and the way investors deal with the information. The tendency to produce herding effect is analyzed and explained in three aspects. The practical significance of this paper lies in: under the environment of high investor sentiment, stock investors, especially small market value, have poor profitability and should strengthen the analysis and control of the risk of corporate violation. In addition, regulators should step up the risk warning to investors in the high mood environment, in order to calm the huge volatility of stock prices after the announcement of violations. As a result, the interests of investors are expected to be better protected, A-share market can be more healthy development.
【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】：2013
【分類號(hào)】：F832.51

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