本文選題：存款準備金率調(diào)整 + 重大資產(chǎn)重組��； 參考：《電子科技大學(xué)》2014年碩士論文

【摘要】：我國股票市場的效率問題一直是學(xué)術(shù)界關(guān)注的重點。目前國內(nèi)學(xué)者主要從市場的長期價值表現(xiàn)方面來研究A股市場的有效性,但卻較少有人探究市場對新信息的日內(nèi)反應(yīng)效率。為此,本文利用近年來市場頻繁發(fā)生的宏觀存款準備金率調(diào)整事件和微觀重大資產(chǎn)重組事件,運用基于低頻和高頻數(shù)據(jù)的事件研究方法,對這兩類事件的日間效應(yīng)和日內(nèi)效應(yīng)做一更深入的分析研究。存款準備金率調(diào)整事件方面,本文選取了上證指數(shù)、深證成指、滬深300、中小板指數(shù)4個代表總體股票市場的指數(shù)以及農(nóng)林、采掘、紡織、石化、電子、金屬、機械、醫(yī)療、水電、IT、批零、服務(wù)、地產(chǎn)13個行業(yè)的指數(shù)低頻日數(shù)據(jù)和日內(nèi)高頻數(shù)據(jù),針對2006年~2011年期間的28次上調(diào)事件,分別采用事件研究法和回歸分析法研究了存準率調(diào)整對我國股票市場的宣告效應(yīng)及長期影響。結(jié)論表明:長期看,存款準備金率調(diào)整的貨幣政策公告并未對股票價值產(chǎn)生實質(zhì)性影響。但從日內(nèi)表現(xiàn)看,存準率上調(diào)在開盤后短期內(nèi)會導(dǎo)致股票市場總體的價格顯著下跌,但這種影響在持續(xù)一段時間后可能會消失。在熊市行情中,上調(diào)事件下上證指數(shù)均處于全天下跌的狀態(tài)中,并且在大部分時段都顯著小于零。但是,在牛市中,可能出現(xiàn)存準率上調(diào)反而導(dǎo)致全天收益率(日收益率)不跌反漲的“異�，F(xiàn)象”。可見,雖然存準率調(diào)整與股票市場并沒有實質(zhì)性的關(guān)聯(lián)關(guān)系,但卻作為非系統(tǒng)性事件在政策宣告后造成了短期的日內(nèi)影響。重大資產(chǎn)重組方面,本文以深圳股票市場2008~2011年共772例重大資產(chǎn)重組事件為研究對象,依據(jù)重組性質(zhì)將其分為重大資產(chǎn)重組預(yù)案公告、重大資產(chǎn)重組審核通過公告和終止重組公告三個類別,分別從日間和日內(nèi)的角度,對這三類事件的收益率、平均每筆成交量、相對價差、深度、訂單不平衡及已實現(xiàn)波動率做了全面的分析。研究結(jié)論表明,重大資產(chǎn)重組事件存在嚴重的信息泄漏,早在停牌前8日已經(jīng)存在顯著的累積異常收益率。并且,市場對該類事件存在嚴重的“過度反應(yīng)”現(xiàn)象,炒作熱情高漲,其中重大資產(chǎn)重組預(yù)案的過度反應(yīng)程度最高。從日內(nèi)微觀指標看,市場對重組信息的反應(yīng)是不對稱的,投資者對壞消息的市場反應(yīng)效率較高。另外,復(fù)牌日成交量未出現(xiàn)明顯上升,價差變大,訂單不平衡程度上升,說明市場的關(guān)注并沒有增加“重組概念股”的流動性,反而導(dǎo)致利好消息買方流動性緊缺,利空消息賣方流動性緊缺。另外,通過回歸發(fā)現(xiàn),復(fù)牌日的價差、深度和訂單不平衡程度是解釋收益率的領(lǐng)先指標,而其它交易日卻不存在這種領(lǐng)先關(guān)系;平均每筆成交量和已實現(xiàn)波動率是收益率的同步指標,并且這種同步關(guān)系一直存在�？梢�,相較宏觀貨幣政策事件,市場對公司類微觀事件的反應(yīng)效率較低。這可能與理性投資者人數(shù)和信息對稱性程度有關(guān),宏觀事件參與分析的投資者人數(shù)較多,并且基本不存在信息泄漏,從而更有利于保證估值的準確性。而公司類重大事件的信息非對稱性程度很高,由此滋生了部分投機者通過炒作獲取暴利,容易造成估值的扭曲。鑒于此,筆者認為加強市場披露監(jiān)管,遏制內(nèi)幕交易,對改善我國A股市場公司類事件的價格發(fā)現(xiàn)效率能夠起到重要的推動作用。
[Abstract]:The efficiency of the stock market in China has always been the focus of the academic circle. At present, domestic scholars mainly study the effectiveness of the A share market from the long-term value performance of the market, but few have explored the efficiency of the daily response of the market to the new information. The event and the microscopic major asset reorganization event, using the event research method based on low frequency and high frequency data, make a more thorough analysis and Study on the day effect and the day effect of the two types of events. In terms of the deposit reserve ratio adjustment events, this paper selects the Shanghai stock index, the Shenzhen stock index, the Shanghai and Shenzhen 300, and the medium and small plate index 4 represents the overall stock. The index of the ticket market and the index of agroforestry, mining, textile, petrochemical, electronic, electronic, metal, mechanical, medical, hydroelectric, IT, batch, service, and real estate are the index low frequency days data and the daily high frequency data in 13 industries. According to the 28 up-regulation events of the 2006 period, the event study method and the regression analysis method were used to study the stock rate adjustment to our country stock. The announcement effect and long-term effect of the market. The conclusion shows that, in the long run, the monetary policy announcement of the adjusted reserve ratio has not had a substantial impact on the stock value. However, in the daily performance, the increase in the reserve rate will lead to a significant decline in the overall stock market price in the short term after the opening period, but this effect can be sustained after a period of time. In the bear market, the Shanghai stock market, under the up-regulation event, is in the state of all the world falls, and is significantly less than zero for most of the period. However, in the bull market, there may be a "abnormal phenomenon" which leads to the overall rate of return (daily return) rising and not falling and rising in the bull market. There is no substantive relationship, but as a non systematic event, it has caused a short period of internal influence after the policy announcement. In the aspect of major asset reorganization, this article takes 772 cases of major asset reorganization in the Shenzhen stock market in 2008~2011 as the research object, and divides it into a major asset reorganization plan announcement according to the nature of the reorganization. Through the three categories of announcement and termination of reorganization, the production and reorganization review made a comprehensive analysis of the rate of return, the average per stroke volume, the relative price difference, the depth, the order imbalance and the realized volatility from the angle of day and day, respectively, from the point of view of day and day, and the conclusion shows that there are serious information leaks in the major assets reorganization events. There has been a significant cumulative abnormal return on the 8 days before the suspension. Moreover, there is a serious "overreaction" phenomenon in the market, the hype is high, and the overreaction of the major asset reorganization plan is the highest. From the internal microcosmic index, the reaction of the market to the reorganization information is asymmetric, and the investor is bad news. The efficiency of the market reaction is high. In addition, there is no obvious rise in the trading volume of the re licensing day, the higher price difference and the increase of the order imbalance, indicating that the concern of the market does not increase the liquidity of the "reorganization concept". On the contrary, the liquidity of the buyer is short and the seller is short of liquidity. The price difference, the depth and the order imbalance are the leading indicators of the rate of return, while the other trading days do not exist. The average volume and the realized volatility are the synchronization indicators of the yield, and the synchronization relationship has always existed. It is obvious that the market is more microscopic than the macro monetary policy events. The efficiency of the response is low. This may be related to the number of rational investors and the degree of information symmetry. The number of investors in the analysis of macro events is more, and there is no information leakage, which is more conducive to the accuracy of the valuation. In view of this, the author believes that strengthening market disclosure supervision and containment of insider trading can play an important role in improving the efficiency of price discovery of companies like companies in the A stock market.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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本文編號：1926729