本文關(guān)鍵詞：我國(guó)A股市場(chǎng)特別處理公告效應(yīng)研究　出處：《中國(guó)礦業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 特別處理 股票流動(dòng)性 股東財(cái)富效應(yīng) 財(cái)務(wù)指標(biāo)

【摘要】：為了遏制股票市場(chǎng)中的投機(jī)操作，以及加強(qiáng)對(duì)上市公司的監(jiān)管，中國(guó)證監(jiān)會(huì)在1997年12月對(duì)滬、深交易所股票上市規(guī)則的批復(fù)中，首次提出要對(duì)經(jīng)營(yíng)異常的上市公司進(jìn)行處特別理的意見(jiàn)。特別處理制度是我國(guó)特有的風(fēng)險(xiǎn)警示制度，其針對(duì)的對(duì)象是出現(xiàn)財(cái)務(wù)狀況異常或其他狀況異常的上市公司。財(cái)務(wù)指標(biāo)是否對(duì)股東財(cái)富效應(yīng)以及股票流動(dòng)性影響顯著？特別處理事件又對(duì)股東財(cái)富效應(yīng)及股票流動(dòng)性影響多大？這正是本文研究的重點(diǎn)。 本文以2007-2013年被實(shí)施和撤銷特別處理的上市公司為研究樣本，運(yùn)用多元回歸分析考察財(cái)務(wù)指標(biāo)對(duì)股東財(cái)富效應(yīng)及股票流動(dòng)性的影響，同時(shí)運(yùn)用事件研究法驗(yàn)證了我國(guó)證券市場(chǎng)對(duì)特別處理事件的反應(yīng)。研究結(jié)果表明：（1）股票財(cái)務(wù)指標(biāo)對(duì)股東財(cái)富效應(yīng)及股票流動(dòng)性影響不大。公司規(guī)模、償債能力、盈利能力以及成長(zhǎng)能力等因素對(duì)被實(shí)施和撤銷特別處理股東財(cái)富效應(yīng)有一定影響，，但對(duì)股票流動(dòng)性沒(méi)有影響。（2）我國(guó)A股市場(chǎng)存在特別處理公告效應(yīng)，被特別處理及撤銷特別處理公告對(duì)股東財(cái)富效應(yīng)及股票流動(dòng)性具有顯著影響。特別處理公告在事件發(fā)生前后十天內(nèi)出現(xiàn)較多的顯著平均超額收益或平均超額交易。（3）不同年份特別處理公告效應(yīng)受當(dāng)年經(jīng)濟(jì)及市場(chǎng)環(huán)境影響所表現(xiàn)出的差異較大。（4）退市風(fēng)險(xiǎn)警示板塊也存在較為顯著的公告效應(yīng)，在退市風(fēng)險(xiǎn)公告期間有少數(shù)幾天具有顯著的累計(jì)超額收益及累計(jì)超額交易。（5）滬市較深市公告效應(yīng)更為明顯，股東財(cái)富效應(yīng)及股票流動(dòng)性波動(dòng)更為明顯。 最后，針對(duì)實(shí)證研究的結(jié)論，結(jié)合中國(guó)證券市場(chǎng)現(xiàn)實(shí)，本文對(duì)特別處理相關(guān)監(jiān)管制度的完善提出政策建議，為特別處理公司以及投資者行為提供借鑒性的經(jīng)驗(yàn)。
[Abstract]:In order to curb speculation in the stock market and strengthen the supervision of listed companies, the CSRC approved the listing rules of Shanghai and Shenzhen Stock Exchange on December 1997. It is the first time to put forward the opinion that the listed companies with abnormal management should be given special advice. The special treatment system is a special risk warning system in China. It is aimed at listed companies with abnormal financial position or other abnormal conditions. Does the financial index have a significant impact on shareholder wealth effect and stock liquidity? What is the impact of special events on shareholder wealth and equity liquidity? This is the focus of this paper. This paper takes the listed companies that were implemented and cancelled special treatment from 2007-2013 as the research sample, using multiple regression analysis to investigate the impact of financial indicators on shareholder wealth effect and stock liquidity. At the same time, the event research method is used to verify the response of China's securities market to special events. The results show that the financial index of stock has little effect on shareholder wealth effect and stock liquidity. Some factors, such as solvency, profitability and growth ability, have a certain impact on the wealth effect of shareholders who have been implemented and withdrawn from the special treatment. However, there is no effect on stock liquidity. Notice of special treatment and revocation has a significant impact on shareholder wealth effect and stock liquidity. The notice of special treatment has more significant average excess returns or average excess transactions within 10 days before and after the event. (. 3) the effect of special treatment in different years is different from that of the economic and market environment in that year.) there is also a significant announcement effect in the delisting risk warning plate. During the period of delisting risk announcement, there are a few days with significant accumulative excess return and accumulative excess trading. 5) Shanghai stock market has more obvious announcement effect than Shenzhen stock market, and shareholder wealth effect and stock liquidity fluctuation are more obvious. Finally, according to the conclusions of the empirical study, combined with the reality of China's securities market, this paper puts forward policy recommendations for the improvement of the special handling of the relevant regulatory system. Provide reference experience for dealing with companies and investor behavior in particular.
【學(xué)位授予單位】：中國(guó)礦業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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