本文選題：謠言 + 澄清公告　； 參考：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文

【摘要】：我國證券市場成立二十多年來取得了長足的進(jìn)步,市場制度日趨完善。隨著科技的進(jìn)步與投資者的成熟,投資者已經(jīng)可以越來越全面的了解上市公司的信息。然而謠言始終是危及投資者利益的一個不確定因素,我國證券市場曾謠言滿天飛,隨著制度的完善和上市公司的重視,這種狀況在近年來得到一定的緩解。證監(jiān)會也下發(fā)了文件來規(guī)范上市公司的澄清方式。對于市面所傳的謠言,上市公司一般會采取在指定機(jī)構(gòu)發(fā)布澄清公告的方式來澄清所傳謠言不實(shí)。然而澄清公告也不盡相同,有的內(nèi)容詳盡,有的卻很簡略,且在我國證券市場澄而不清的現(xiàn)象較為明顯。以往的研究中關(guān)于國內(nèi)股市傳謠辟謠的較少,本文綜合研究傳謠及澄清謠言的市場反應(yīng),并且通過對比融資融券政策前后傳謠辟謠效果對比,來研究不同政策環(huán)境下澄清公告效果的影響。這對于我國股市的現(xiàn)狀有較強(qiáng)的現(xiàn)實(shí)意義,并且兼具一定的創(chuàng)新性。本文首先回顧了前人在此方面的研究,在此基礎(chǔ)上,針對我國股市的現(xiàn)實(shí)情況,提出三個假設(shè)。選取融資融券政策前的2008-2010年與該政策之后的2014-2016年,共415個澄清公告作為樣本。首先,整理并分類所收集到的樣本,并對樣本進(jìn)行描述性統(tǒng)計(jì)分析。本文主要將收集到的澄清公告分為三類:澄清利好謠言、澄清利空謠言與澄清中性謠言。運(yùn)用事件研究法來研究傳謠及辟謠的效果,使用了CAPM模型Hsiao模型對結(jié)果進(jìn)行對比,得出了相同的結(jié)論。并使用多元回歸分析研究澄清公告質(zhì)量對于澄清效果的影響。結(jié)果表明,無論是在融資融券政策發(fā)布前后,利好利空謠言都會對股價造成顯著的沖擊,利好謠言使得股價上升,利空謠言使得股價下降,而這種影響也在傳謠前就已經(jīng)開始。對于利好謠言,股價一般在傳謠前三天就已經(jīng)出現(xiàn)正的異常收益率,而對于利空謠言,股價在傳謠當(dāng)天才有負(fù)的異常收益率。而且就反應(yīng)程度來說,利好謠言的反應(yīng)程度也大于利空謠言的反應(yīng)程度。就澄清的效果來看,無論是利好還是利空謠言,澄清的效果都不是很理想。利好謠言澄清的當(dāng)日,澄清公告對股價有一定的影響,而在利空謠言澄清的當(dāng)日,異常收益率并無顯著變化。而對于澄清之后的10個交易日內(nèi),澄清公告并沒有持續(xù)發(fā)揮預(yù)期的作用。股票每日的平均異常收益率都沒有顯著異于0的情況出現(xiàn),且累計(jì)異常收益率在這段時間內(nèi)仍顯著異于0。說明謠言即使在被澄清之后依然發(fā)揮著作用,股價未能回到傳謠之前的水平。說明了投資者對于謠言有一定的反應(yīng),但對澄清公告卻反應(yīng)不充分。導(dǎo)致此行為的原因有心理上的也有行為金融方面的原因。除此之外,澄清公告的詳細(xì)性以及股價是否處于上升趨勢中,也對澄清公告效果有一定的影響。基于以上結(jié)論本文對市場參與者及監(jiān)管部門提出了一些建議。
[Abstract]:China's securities market has made great progress since it was established more than 20 years ago, and the market system is becoming more and more perfect.With the development of science and technology and the maturity of investors, investors can understand the information of listed companies more and more comprehensively.However, rumors are always an uncertain factor that endangers the interests of investors. The stock market of our country has been full of rumors. With the improvement of the system and the attention of listed companies, this situation has been alleviated in recent years.Securities Regulatory Commission also issued documents to regulate the clarification of listed companies.To the rumour of the market, the listed company usually adopts the way of issuing clarification notice in the appointed organization to clarify the false rumor.However, the clarification announcement is not the same, some contents are detailed, some are very simple, and the phenomenon is obvious in our country's securities market.In the past studies on the domestic stock market rumour disinformation is less, this paper comprehensively studies the market reaction of rumour spreading and clarifying rumors, and compares the effect of rumor-breaking before and after margin financing policy.To study the effects of clarifying announcements in different policy settings.This has strong realistic significance for the present situation of our country's stock market, and also has certain innovation.This paper first reviews the previous researches in this field, and then puts forward three hypotheses in view of the reality of China's stock market.A total of 415 clarifications were selected from 2008 to 2010 before the margin policy and 2014-2016 after the policy.Firstly, the collected samples are sorted out and analyzed by descriptive statistics.In this paper, the collected clarification notices are divided into three categories: clarifying positive rumors, clarifying negative rumors and clarifying neutral rumors.This paper studies the effect of spreading and refuting rumors by using event research method, and compares the results with Hsiao model of CAPM model, and draws the same conclusion.Multiple regression analysis was used to study the effect of clarifying announcement quality on the clarification effect.The results show that, both before and after the issuance of margin financing policy, the bullish rumor will have a significant impact on the stock price, good rumors will cause the stock price to rise, and the bad rumor will make the stock price decline, and this influence has already begun before the rumor spread.For good rumors, stock prices usually have a positive abnormal return three days before rumour spread, while for bad rumors, stock prices have negative abnormal returns only on the same day.Moreover, in terms of reaction degree, the reaction degree of good rumors is greater than that of bad rumors.On the effect of clarification, whether good or bad rumors, clarification effect is not very ideal.On the day of positive rumor clarification, clarification announcement has a certain impact on the stock price, while on the day of the clearing of bad rumors, abnormal yield does not change significantly.And for the clarification after 10 trading days, clarification notice did not continue to play the expected role.There was no significant difference between the daily abnormal returns of stocks and zero, and the cumulative abnormal returns remained significantly different from 0.The rumour has worked even after it has been clarified, and stock prices have failed to return to their pre-rumour levels.It shows that investors have a certain reaction to rumors, but not enough to clarify the announcement.There are psychological and financial reasons for this behavior.In addition, the detail of the clarification announcement and whether the stock price is in an upward trend also have a certain impact on the effect of the clarification announcement.Based on the above conclusions, this paper puts forward some suggestions to market participants and regulatory authorities.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：C912.63;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 賈明;阮宏飛;張U，

本文編號：1756263