本文關(guān)鍵詞：航母建設(shè)對(duì)軍工股票投資機(jī)會(huì)的影響研究　出處：《西南交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 航母事件 軍工板塊股票 事件研究法

【摘要】：在經(jīng)濟(jì)生活中,金融市場(chǎng)的效率對(duì)于一個(gè)國(guó)家的經(jīng)濟(jì)資源的配置起著至關(guān)重要的作用,而其中股票市場(chǎng)在金融市場(chǎng)中占據(jù)著主導(dǎo)地位。1990年我國(guó)股市創(chuàng)建以來(lái),取得了顯著的成績(jī),但同時(shí)由于種種條件的制約,也存在著較多問(wèn)題。 本文首先從理論上分析了信息對(duì)市場(chǎng)有效性的影響,然后從實(shí)證方面結(jié)合航母事件是否使軍工板塊股票產(chǎn)生異常收益率,考察其是否存在投資機(jī)會(huì)。理論方面,文章認(rèn)為市場(chǎng)的有效性必須建立在整個(gè)信息傳遞過(guò)程全部通暢有效的基礎(chǔ)上。從有限注意力入手,闡釋了注意力配置的相關(guān)理論,分析了人認(rèn)知的有限性導(dǎo)致注意力的有限性,致使信息傳遞的不完全有效。最后得到結(jié)論：在證券市場(chǎng)中,一切可能會(huì)對(duì)市場(chǎng)造成影響的信息只有得到投資者注意才會(huì)在股票的價(jià)格中得到體現(xiàn)。 實(shí)證方面,采用事件研究法,從航母?jìng)餮浴⒑侥競(jìng)餮宰C實(shí)和中國(guó)第一艘航母交付三個(gè)方面對(duì)航母事件對(duì)軍工板塊股票的影響來(lái)考察分析。研究發(fā)現(xiàn)：(1)航母?jìng)餮越o軍工板塊的股價(jià)帶來(lái)了顯著的正的異常收益。在散播航母?jìng)餮缘漠?dāng)日,軍工板塊有顯著的正的異常收益率(1.48%),在整個(gè)事件窗口[-3,3],累計(jì)異常收益率高達(dá)1.08%,并且航母?jìng)餮缘那耙蝗?市場(chǎng)已經(jīng)對(duì)該信息有提前反應(yīng)的跡象。(2)傳言證實(shí)事件在事件窗口區(qū)間對(duì)軍工股板塊也產(chǎn)生了正的異常收益率,并且產(chǎn)生的是正向的沖擊,在3天的事后窗口期[0,3],異常收益率累積達(dá)到1.43%。在整個(gè)事件窗口[-3,3],累計(jì)異常收益率高達(dá)5.02%。(3)航母交付事件在公告日前一日就已經(jīng)對(duì)股價(jià)產(chǎn)生了正的異常收益率,在宣布消息當(dāng)日,對(duì)軍工股板塊股票產(chǎn)生的累積異常收益率已經(jīng)高達(dá)2.39%,在整個(gè)事件窗口[-3,3],累計(jì)異常收益率高達(dá)2.39%。 本文研究結(jié)果表明：軍工板塊股票是存在航母效應(yīng)的,有關(guān)航母假設(shè)的相關(guān)報(bào)道信息使得軍工板塊股票產(chǎn)生了異常收益率。對(duì)于廣大投資者而言,雖然在短期內(nèi)可以獲得較為客觀的價(jià)差收益,但是由于航母相關(guān)信息存在時(shí)效性問(wèn)題,導(dǎo)致軍工板塊股票存在提前反應(yīng)的情形,因此,對(duì)投資者來(lái)說(shuō),不能過(guò)分追漲,避免發(fā)生不必要的損失。廣大的投資者關(guān)注多方面的信息,多方面考慮,真正關(guān)注公司的價(jià)值,得到更真實(shí)的估值。
[Abstract]:In economic life, the efficiency of financial market plays a vital role in the allocation of a country's economic resources. Since the establishment of the stock market in 1990, the stock market has made remarkable achievements, but at the same time, there are many problems because of the constraints of various conditions. This paper first theoretically analyzes the effect of information on market efficiency, and then from the empirical analysis of whether the aircraft carrier incident makes the military sector stock abnormal rate of return. In theory, the paper argues that the effectiveness of the market must be based on the whole process of information transmission, all smooth and effective, starting with limited attention. This paper explains the relevant theory of attention allocation, analyzes that the limitation of human cognition leads to the limitation of attention and makes the information transmission incomplete and effective. Finally, the conclusion is drawn: in the stock market. Any information that could have an impact on the market is only reflected in the price of the stock if it gets investors' attention. Empirical aspects, the use of incident research method, from the carrier rumors. Carrier rumors confirmed and China's first aircraft carrier delivered to examine and analyze the impact of carrier incidents on military sector stocks. Carrier rumors have brought significant positive returns to the military sector's share price. On the day of the carrier rumors. The military sector has a significantly positive abnormal rate of return of 1.48% in the entire event window [The cumulative abnormal rate of return was as high as 1. 08%, and the carrier rumors were prior to 1st. The market has already reacted to this information in advance. 2) rumors confirm that the event in the event window interval on the military industry sector also has a positive abnormal rate of return, and produce a positive impact. Three days after the window. [The abnormal rate of return accumulates to 1.43 in the whole event window. [The cumulative abnormal rate of return reached as high as 5.02%) the carrier delivery event on 1st before the announcement date has produced a positive abnormal rate of return on the stock price, on the day of the announcement of the news. The cumulative abnormal rate of return on military sector stocks has been as high as 2.39 in the entire event window. [The cumulative abnormal rate of return is as high as 2.39. The results of this paper show that there is carrier effect in military industry stocks, and the related information about aircraft carrier hypothesis makes the abnormal return rate of military industry stocks. For the majority of investors. Although in the short term we can get more objective return of the spread of the price, but because the carrier related information has the problem of timeliness, which leads to the military industry plate stocks have the situation of early reaction, therefore, for investors. Investors pay attention to a wide range of information, consider many aspects, really focus on the value of the company, and get a more real valuation.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F426.48;F832.51

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