傳聞對上市公司股票價格影響的實證研究
發(fā)布時間：2018-07-27 18:24
【摘要】：股票市場是一個由基本面，消息面和資金面相互共同作用下形成的一個互為博弈的市場。本文將重點研究其中的消息面，更具體的說是消息面中具有不確定性質(zhì)的一類消息，或更為流行的說法“軟信息”，包含了所有以非標準化書面公告的方式。由于中國證券市場的發(fā)展歷程較短，投資者結(jié)構還是以中小散戶為主，中小散戶由于其專業(yè)知識的局限性，投資決策還是主要依賴于市場上流傳的信息，并且由于投資者的非理性，看似一則信息，往往能給市場帶來不小的影響。 近年來，股票市場“傳聞滿天飛”，本文以此為切入點，研究上市公司公開澄清的傳聞，想必這些傳聞必然已引起投資者的注意，故筆者在上交所和深交所網(wǎng)站上閱讀了自2013年以來上市公司的澄清公告，從行為金融學的角度，并輔以事件研究法和多元回歸分析法來對傳聞及傳聞發(fā)生后股價的影響因素進行深入的研究。 本文研究的內(nèi)容主要概括為以下幾個方面： 第一，以行為金融學的理論知識為依據(jù)，對傳聞和股票價格的影響的機制做了論述。主要是從人性的一些特征出發(fā)，向投資者的認知偏差、有限注意力和有限理性三個方面進行展開。在研究中發(fā)現(xiàn)，投資者在獲取信息的時候，注意力是有限的，且由于我國股票市場投資者組成結(jié)構的特殊性，個人投資者占絕大比例，更容易受到市場上傳聞的影響，這一結(jié)論，為我們實證檢驗的結(jié)果提供了理論依據(jù)。 第二，利用事件分析法來論證負面?zhèn)髀剬善眱r格的影響。以發(fā)生負面?zhèn)髀勄疑鲜泄緦ω撁鎮(zhèn)髀劤吻宓囊活惞緸閿?shù)據(jù)樣本，以超額收益率來衡量傳聞對股票價格波動的影響，并通過T檢驗來證明傳聞對股價影響的效應是顯著的。研究結(jié)論表明，在我國A股市場中，受到傳聞影響的上市公司的股價在傳聞發(fā)生期內(nèi)的累積超額收益為負的。 第三，利用多元回歸分析對傳聞對上市公司影響的因素進行了分析。傳聞對上市公司的影響不盡相同，本文從這個角度出發(fā)，研究了傳聞對上市公司股價的影響主要是基于哪些基本因素，由此，本文先選取了上市公司自身特征，凈資產(chǎn)盈利率、上市公司的聲譽、上市公司流通盤市值和上市公司在出現(xiàn)傳聞時是否采取停牌策略，隨后選取了傳聞本身的特征，，傳聞的來源、傳聞的可信度。回歸結(jié)果表明，在以上六個自變量中，僅有“上市公司的聲譽”和“上市公司流通盤市值”是不顯著的。所以得出了研究結(jié)論，傳聞的可信度越高且傳聞的來源越可靠，對上市公司的股價的負作用越大。上市公司自身的盈利能力較強或在傳聞發(fā)生時上市公司采取停牌策略，傳聞對上市公司的股價的負作用較小。 第四，本文為了證明傳聞對股價影響的效應存在性，還加入了A股市場中真實的案例，出現(xiàn)傳聞時投資者對股票的炒作，使得股票價格暴漲暴跌，從側(cè)面反映了我國證券市場投資者的非理性和不成熟。，中小投資者的利益容易受到損害。本文從相關政策、新聞工作人員的綜合素質(zhì)和投資者自身的綜合素質(zhì)幾個方面提出了相關建議。
[Abstract]:The stock market is a mutual game market formed by the mutual action of the fundamentals, the message surface and the capital side. This paper will focus on the message surface, more specifically, a kind of message with uncertain nature in the message surface, or the more popular saying "soft information", including all non standardized written public. Because of the short development course of China's securities market, the investor structure is mainly small and medium, and the investment decision is mainly dependent on the information circulated on the market because of the limitation of its professional knowledge.
In recent years, the stock market has been "rumored to fly". This paper takes this as the breakthrough point to study the public clarification of the listed companies. It is necessary that these rumors must have aroused the attention of the investors. So I read the clarification bulletin on the listed company since 2013 on the Shanghai Stock exchange and the Shenzhen Stock Exchange website, from the perspective of behavioral finance and supplemented by events. Research method and multiple regression analysis method are used to conduct in-depth research on the influencing factors of stock price after hearsay and hearsay.
The main contents of this paper are summarized as follows:
First, based on the theoretical knowledge of behavioral finance, the mechanism of the influence of hearsay and stock price is discussed. It is mainly from the characteristics of human nature to carry out the three aspects of investors' cognitive deviation, limited attention and limited rationality. In the study, the attention is limited when investors are getting information. And because of the particularity of the structure of the investors in the stock market of our country, individual investors make up a large proportion and are more easily influenced by the rumors on the market. This conclusion provides a theoretical basis for the results of our empirical test.
Second, using the event analysis method to demonstrate the impact of negative rumors on stock prices. A group of companies with negative rumors and listed companies clarified negative rumors are data samples, and the effect of hearsay on stock price volatility is measured by excess rate of return, and the effect of hearsay on stock price is proved to be significant through T test. The conclusion is that in China's A share market, the accumulated excess return of the listed companies affected by rumors is negative during the hearsay period.
Third, the factors of the influence of hearsay on the listed companies are analyzed by multiple regression analysis. The influence of rumor on listed companies is different. From this point of view, this paper studies the basic factors based on the effect of rumor on the stock price of listed companies. This article first selects the characteristics of the listed companies, net assets and earnings. The interest rate, the reputation of the listed company, the market value of the listed company's circulation plate and the suspension strategy of the listed company in the event of a rumor, then select the characteristics of the hearsay itself, the source of the hearsay, the credibility of the hearsay. The regression results show that among the above six independent variables, only "the reputation of the listed company" and "the market value of the listed company" It is not significant. Therefore, the conclusion is drawn that the higher the credibility of the rumor and the more reliable source of the rumor, the greater the negative effect on the stock price of the listed company. The listed company's own profitability is stronger or the listed company take a stop strategy when the rumor has happened, the rumor has a little negative effect on the stock price of the listed company.
Fourth, in order to prove the existence of the effect of hearsay on the stock price, the real case in the A stock market is added to the stock market, and the speculation of the stock in the stock market makes the stock price rise and fall, which reflects the irrational and immature of the investors in our securities market. Relevant suggestions are put forward from the aspects of relevant policies, the comprehensive quality of journalists and the comprehensive quality of investors themselves.
【學位授予單位】：浙江財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51
本文編號：2148747
[Abstract]:The stock market is a mutual game market formed by the mutual action of the fundamentals, the message surface and the capital side. This paper will focus on the message surface, more specifically, a kind of message with uncertain nature in the message surface, or the more popular saying "soft information", including all non standardized written public. Because of the short development course of China's securities market, the investor structure is mainly small and medium, and the investment decision is mainly dependent on the information circulated on the market because of the limitation of its professional knowledge.
In recent years, the stock market has been "rumored to fly". This paper takes this as the breakthrough point to study the public clarification of the listed companies. It is necessary that these rumors must have aroused the attention of the investors. So I read the clarification bulletin on the listed company since 2013 on the Shanghai Stock exchange and the Shenzhen Stock Exchange website, from the perspective of behavioral finance and supplemented by events. Research method and multiple regression analysis method are used to conduct in-depth research on the influencing factors of stock price after hearsay and hearsay.
The main contents of this paper are summarized as follows:
First, based on the theoretical knowledge of behavioral finance, the mechanism of the influence of hearsay and stock price is discussed. It is mainly from the characteristics of human nature to carry out the three aspects of investors' cognitive deviation, limited attention and limited rationality. In the study, the attention is limited when investors are getting information. And because of the particularity of the structure of the investors in the stock market of our country, individual investors make up a large proportion and are more easily influenced by the rumors on the market. This conclusion provides a theoretical basis for the results of our empirical test.
Second, using the event analysis method to demonstrate the impact of negative rumors on stock prices. A group of companies with negative rumors and listed companies clarified negative rumors are data samples, and the effect of hearsay on stock price volatility is measured by excess rate of return, and the effect of hearsay on stock price is proved to be significant through T test. The conclusion is that in China's A share market, the accumulated excess return of the listed companies affected by rumors is negative during the hearsay period.
Third, the factors of the influence of hearsay on the listed companies are analyzed by multiple regression analysis. The influence of rumor on listed companies is different. From this point of view, this paper studies the basic factors based on the effect of rumor on the stock price of listed companies. This article first selects the characteristics of the listed companies, net assets and earnings. The interest rate, the reputation of the listed company, the market value of the listed company's circulation plate and the suspension strategy of the listed company in the event of a rumor, then select the characteristics of the hearsay itself, the source of the hearsay, the credibility of the hearsay. The regression results show that among the above six independent variables, only "the reputation of the listed company" and "the market value of the listed company" It is not significant. Therefore, the conclusion is drawn that the higher the credibility of the rumor and the more reliable source of the rumor, the greater the negative effect on the stock price of the listed company. The listed company's own profitability is stronger or the listed company take a stop strategy when the rumor has happened, the rumor has a little negative effect on the stock price of the listed company.
Fourth, in order to prove the existence of the effect of hearsay on the stock price, the real case in the A stock market is added to the stock market, and the speculation of the stock in the stock market makes the stock price rise and fall, which reflects the irrational and immature of the investors in our securities market. Relevant suggestions are put forward from the aspects of relevant policies, the comprehensive quality of journalists and the comprehensive quality of investors themselves.
【學位授予單位】：浙江財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51
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