本文關鍵詞： 資本市場 事件研究法 社會責任事件 懲罰效應　出處：《武漢大學》2017年碩士論文　論文類型：學位論文

【摘要】：隨著我國經濟的不斷發(fā)展,劣質商品、員工"過勞死"、環(huán)境污染等社會責任問題層出不窮,一次次的社會責任事件撥動著人們的神經,人們紛紛譴責涉事企業(yè)的同時也越來越關注企業(yè)社會責任這一概念,而人們的關注也給涉事企業(yè)帶來一些"災難",輕者產品受到抵制、上市公司股價腰斬,重者導致企業(yè)倒閉,責任人鋃鐺入獄。在這樣的背景下,一定程度上促進了企業(yè)重視社會責任事件、重視履行社會責任。盡管如此,近年來我國的社會責任事件依然頻發(fā)。相比其他方面的有關社會責任研究,目前關于社會責任事件的研究較少,因為這一定程度上要受制于社會責任事件,而且有關社會責任事件的研究主要研究資本市場對涉事企業(yè)和涉事企業(yè)同行業(yè)的反應,普遍得出當發(fā)生社會責任事件時,涉事企業(yè)和涉事企業(yè)的同行業(yè)的累積超常收益率為負的結論。但對涉事企業(yè)的相關行業(yè)卻鮮有研究,這就使人們不能客觀認識到社會責任事件的影響范圍。通過閱讀大量文獻發(fā)現,研究大多聚焦于單一的社會責任事件,對資本市場在不同時間相似的社會責任事件引起的反應缺乏縱向的對比研究。因此,本文將選取2005年的"松花江事件"和2015年的"8.12天津爆炸事件",研究資本市場對化工行業(yè)的上市公司的反應,將兩次事件進行對比研究,此外還將對企業(yè)性質對懲罰效應的影響進行研究。本文首先對研究的背景、研究思路和研究意義等進行說明,隨后對社會責任依托理論和相關學者研究文獻進行闡述,在理論理解和前人研究的基礎上,進行本文的理論推演并提出相應的假設。在對研究的事件、相關方法、變量進行說明后,將對實證研究的結果進行闡述和總結。最后將會提出本研究的貢獻和不足,以及未來可能的研究方向。通過研究發(fā)現:無論是2005年的"松花江事件"還是2015年的"8.12天津爆炸事件",當社會責任事件發(fā)生時,化工行業(yè)的平均累積超常收益率均為負,且通過了顯著性檢驗;將兩次事件的平均累計超常收益率進行獨立樣本T檢驗,檢驗其負效應差異的顯著性�？刂屏似髽I(yè)相關變量進行回歸分析,將兩次事件進行縱向的對比研究后,發(fā)現相對于2005年的"松花江事件","8.12天津爆炸事件"中股票市場對化工行業(yè)的"懲罰效應"明顯增強。此外,通過本文的研究還發(fā)現,企業(yè)性質的不同對懲罰效應的影響也存在差異。具體來說,當企業(yè)的性質為國有時,懲罰效應的增強作用不顯著;當企業(yè)的性質為非國有時,懲罰效應的增強作用卻達到很高的顯著性水平,并且交互項也通過了顯著性檢驗。
[Abstract]:With the continuous development of our country's economy, the problems of social responsibility, such as poor quality goods, employees'"overwork", environmental pollution, and so on, emerge in endlessly. Again and again, social responsibility events have stirred people's nerves. People have condemned the concept of corporate social responsibility as well as the growing concern about the concept of corporate social responsibility, and people's concern has also brought some "disasters" to the enterprises involved, with the light products being boycotted, the share prices of listed companies halving, and the heavy ones leading to the closure of enterprises. Those responsible are in prison. In this context, to some extent, enterprises are encouraged to pay attention to social responsibility events and to fulfill social responsibility. In recent years, social responsibility events in China are still frequent. Compared with other studies on social responsibility, there are fewer studies on social responsibility events at present, because to some extent they are subject to social responsibility events. Moreover, the research on social responsibility events mainly studies the reaction of the capital market to the enterprises involved and the enterprises involved in the same industry. It is generally concluded that when social responsibility events occur, The conclusion that the cumulative abnormal rate of return of the same industry is negative. However, there are few studies on the related industries of the involved enterprises. This makes it impossible for people to realize objectively the impact of social responsibility events. After reading a large number of literatures, it is found that most of the studies focus on a single social responsibility event. There is no longitudinal comparative study of the responses of capital markets to similar social responsibility events at different times. In this paper, the "Songhua River incident" on 2005 and the "8. 12 Tianjin explosion event" on 2015 will be selected to study the reaction of the capital market to the listed companies in the chemical industry, and the two events will be compared and studied. In addition, it will also study the influence of the nature of the enterprise on the punishment effect. Firstly, this paper explains the background, the research ideas and the significance of the research, and then expounds the theory of social responsibility dependence and the relevant scholars' research literature. On the basis of theoretical understanding and previous studies, this paper deduces the theory and puts forward the corresponding hypotheses. The results of the empirical research will be elaborated and summarized. Finally, the contributions and shortcomings of this study will be pointed out. And the possible research directions in the future. It is found that whether the "Songhua River incident" on 2005 or the "8. 12 Tianjin explosion incident" on 2015, the average cumulative extraordinary return rate of the chemical industry is negative when the social responsibility event occurs. Through the significance test, the average cumulative abnormal return rate of two events is tested by independent sample T test, and the significance of the difference of negative effects is tested, which controls the regression analysis of the enterprise related variables. Through the longitudinal comparative study of the two events, it is found that the "punishment effect" of the "8.12 Tianjin explosion" on the chemical industry is obviously enhanced compared with the "Songhua River incident" on 2005. In addition, it is also found through the research in this paper that the "punishment effect" of the stock market on the chemical industry is obviously enhanced. In particular, when the nature of the enterprise is state-owned, the enhancement of the penalty effect is not significant; when the nature of the enterprise is non-state-owned, The enhancement of penalty effect reached a very high level of significance, and the interaction also passed the significance test.
【學位授予單位】：武漢大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F270;F271;F832.51

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