本文關鍵詞： 公司違規(guī) 動因研究 市場反應 實證檢驗 異常收益 累積異常收益　出處：《南京大學》2014年碩士論文　論文類型：學位論文

【摘要】：證券市場監(jiān)管的首要目標是保護中小投資者的利益,但是,從1996年5月31日到2014年3月14日,我國證券市場共發(fā)生上市公司違規(guī)事件6726起,從2009年后上市公司違規(guī)事件呈現(xiàn)逐年遞增趨勢,給投資者造成重大損失。上市公司違規(guī)事件對市場的負面影響有多大及其違規(guī)動因又是什么,在這樣的背景之下,本文重點研究中國上市公司違規(guī)的市場反應與違規(guī)動因。在借鑒相關研究成果的基礎上,本文選取2003-2012年我國滬深A股市場上市公司違規(guī)事件為樣本,運用二元分類線性回歸模型(Logistic回歸模型)挖掘上市公司違規(guī)動因,得出5點結論：1.股權集中度高的上市公司違規(guī)概率越低,股權控制越分散的上市公司發(fā)生違規(guī)的概率越大。2.高管人員持股比例與上市公司違規(guī)概率顯著正相關。3.股票交易活躍的上市公司有更低的違規(guī)概率。4.內部審計機制對上市公司違規(guī)沒有約束作用。5.高資產負債率是我國上市公司違規(guī)的動因,總股本、審計委員會、利息保障倍數(shù)、現(xiàn)金比率、財務杠桿系數(shù)、凈資產收益率(ROE)指標不構成上市公司違規(guī)動因。選取2003-2012年我國滬深A股市場上市公司違規(guī)事件為樣本,采用事件研究法首先對上市公司違規(guī)的市場反應進行全樣本檢驗,再進一步根據(jù)不同影響因素對違規(guī)事件的市場反應分類檢驗,得出5點結論：1.監(jiān)管機構對上市公司違規(guī)行為進行處罰,市場在事件日前有預期,在事件日負面反應強烈,且事后還受到持續(xù)性的負面沖擊,持續(xù)時間為10天,后開始小幅修正。2.不同的監(jiān)管機構對上市公司違規(guī)事件處罰,市場都有預期并提前做出反應,事件日后受到持續(xù)的負面沖擊,深圳證券交易所對上市公司做出的處罰對市場沖擊程度最大,市場對深圳證券交易所的處罰過度反應。3.上市公司被監(jiān)管機構公開批評、公開譴責、公開處罰,市場有預期并提前做出反應,事件日后市場有持續(xù)的負面沖擊,其中公開處罰對市場負面影響程度最大,公開譴責沒有威懾力。4.市場對上市公司違規(guī)占用公司資產、內幕交易負面反應最強烈,表現(xiàn)為過度反應。投資者對公司擅自違規(guī)改變資金用途不關心,對虛構利潤、違規(guī)買賣股票表現(xiàn)不能容忍的態(tài)度,對推遲披露表達不滿,對虛假記載負面反應強烈。5.不同行業(yè)的上市公司違規(guī)被處罰,公告日前市場都有預期,預期時間最早,對處罰信息傳遞最有效率的是信息技術及通信服務行業(yè)；公告日后,制造業(yè)、信息技術及通信服務業(yè)、采礦業(yè)、其他行業(yè)上市公司違規(guī)被處罰市場存在過度反應。
[Abstract]:The primary goal of securities market regulation is to protect the interests of small and medium-sized investors, but from May 31st 1996 to March 14th 2014. Since 2009, there have been 6,726 violations by listed companies in China's securities market, which have been increasing year by year since 2009. In such a context, what is the negative impact of listed companies' violations on the market and what are the reasons for such violations? This paper focuses on the market reaction and the motivation of violation of the regulations of listed companies in China. On the basis of reference of relevant research results. In this paper, we choose the listed companies in Shanghai and Shenzhen A-share market as samples from 2003 to 2012. Using the binary classification linear regression model and Logistic regression model) mining listed companies violation motivation, draw 5 conclusions: 1. The higher the degree of ownership concentration, the lower the violation probability of listed companies. The more decentralized the equity control, the greater the probability of violation. 2. the proportion of senior managers holding shares and the violation probability of listed companies are significantly positive correlation .3. the listed companies with active stock trading have a lower probability of violation .4. The internal audit mechanism has no binding effect on the listed companies' violation. 5. high asset-liability ratio is the cause of the violation. Total share capital, audit committee, interest guarantee multiple, cash ratio, financial leverage factor. The index of return on net assets (ROEE) does not constitute the motivation of violation of listed companies. Select the listed companies in Shanghai and Shenzhen A-share market from 2003 to 2012 as samples. First of all, the market reaction of listed companies is tested by the event study method, and then according to the different factors, the market reaction of the violations is classified. Draw a conclusion of 5 points: 1. The regulatory authorities punish listed companies for violations, the market expected before the event day, in the event of a strong negative reaction, but also sustained negative impact. The duration is 10 days, and then start to slightly revise .2. different regulators punish the listed companies for violations, the market has expected and reacted in advance, the incident will be sustained negative impact in the future. Shenzhen Stock Exchange on the listed companies to impose the biggest impact on the market, the market on the Shenzhen Stock Exchange punishment overreaction .3. listed companies have been publicly criticized by regulators, public condemnation. Public punishment, the market has expected and made a response in advance, the event after the market has a sustained negative impact, among them, the largest negative impact of public punishment on the market. Public condemnation of no deterrent. 4. the market to the listed company illegal occupation of the company's assets, insider trading negative reaction is the strongest, the overreaction. Investors do not care about the company unauthorized use of funds. False profits, illegal trading of stock performance intolerable attitude, to delay disclosure express dissatisfaction, false record negative reaction strong .5. different industries of listed companies were punished. The market is expected before the announcement day, expecting time is the earliest, the information technology and the communication service industry are the most efficient to the punishment information transmission; After the announcement, the manufacturing, information technology and communications services, mining, and other industries listed companies were punished by the market over-reaction.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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