本文選題：重組 + 信息泄露　； 參考：《北方工業(yè)大學(xué)》2014年碩士論文

【摘要】：鑒于證券市場普遍存在的信息泄露現(xiàn)象,本文選擇中國股市2010年至2013年重大重組事件為樣本,展開信息泄露與股價異常波動的研究。主要運用事件研究法和殘差系數(shù)法,選取累計異常收益率、公告效應(yīng)、內(nèi)幕交易效應(yīng)、殘差系數(shù)等指標(biāo)來檢驗重大重組事件信息披露對股價的影響。 事件研究法驗證信息披露對重組事件影響時,采取經(jīng)典市場模型,估計參數(shù)并計算異常收益率,估計期定為重組公告前120到前30個交易日,共90個交易日,事件期定為公告前后30個交易日,共60個交易日。本文從多角度分析重組樣本,如年度重組企業(yè)異常收益、上證和深證重組企業(yè)異常收益、不同重組類型樣本異常收益、公告效應(yīng)和內(nèi)幕交易效應(yīng)。接著利用殘差系數(shù)法計算出不同樣本的殘差系數(shù),并判斷是否出現(xiàn)股價異動,結(jié)合交易量、異常收益等指標(biāo)綜合判斷重組信息是否泄露,提供了一種簡潔、快速的判斷方法。 本文其他部分結(jié)構(gòu)如下：第一章為引言,介紹研究背景、研究意義、研究內(nèi)容、研究框架；第二章為理論綜述,介紹國內(nèi)外重組情況及重組類型、股價異動與內(nèi)幕交易相關(guān)研究；第三章介紹本文的研究方法和指標(biāo),闡述事件研究法和內(nèi)幕交易情況、介紹了累計平均異常報酬、公告效應(yīng)和內(nèi)幕交易效應(yīng)三個指標(biāo),除此之外,還介紹了殘差系數(shù)法；第四章為樣本選取標(biāo)準(zhǔn)及數(shù)據(jù)來源；第五章為實證分析,是本文的重點內(nèi)容,利用各種指標(biāo)驗證重組市場信息泄露的現(xiàn)象,并提出更簡潔的判斷方法；第六章針對重組市場存在的問題提出相應(yīng)對策,完善信息披露措施；第七章總結(jié)全文,得出結(jié)論,提出進(jìn)一步研究的問題和不足。 通過對2010到2013年重組樣本公司進(jìn)行檢驗,得出我國證券市場存在普遍的習(xí)慣,即將資產(chǎn)重組事件視為利好消息,且進(jìn)行重組的公司在短期內(nèi)價值增加,總體CAR走勢表明市場存在信息泄露、操縱股價現(xiàn)象,這個結(jié)論與國內(nèi)大部分研究結(jié)果一樣。由于受到數(shù)據(jù)獲得以及本人理論基礎(chǔ)的限制,很難全面、完整的從某個理論體系展開,會造成研究結(jié)論的片面和缺失,有待日后改進(jìn)。
[Abstract]:In view of the widespread phenomenon of information leakage in the stock market, this paper selects the major restructuring events of Chinese stock market from 2010 to 2013 as the sample to carry out the research on information leakage and abnormal volatility of stock price. This paper mainly uses event research method and residual coefficient method to test the influence of information disclosure on stock price by selecting accumulative abnormal rate of return, announcement effect, insider trading effect, residual coefficient and so on. When the event research method verifies the influence of information disclosure on the reorganization event, it adopts the classical market model, estimates the parameters and calculates the abnormal rate of return. The estimated period is 120 to 30 trading days before the reorganization announcement, a total of 90 trading days. The event period is set as 30 trading days before and after the announcement, a total of 60 trading days. This paper analyzes the recombination samples from many angles, such as the abnormal returns of the annual reorganization enterprises, the abnormal returns of the Shanghai and Shenzhen stock exchanges, the abnormal returns of the different types of recombination samples, the effect of announcement and the effect of insider trading. Then the residual coefficient of different samples is calculated by the method of residual coefficient, and a simple and fast judgment method is provided to judge whether the recombination information is leaking or not combined with the index of trading volume, abnormal return and so on. The other parts of this paper are as follows: the first chapter is the introduction, the research background, significance, research content, research framework, the second chapter is a theoretical review, introducing the domestic and foreign reorganization situation and types, The third chapter introduces the research methods and indicators of this paper, describes the event research method and insider trading situation, introduces the accumulative average abnormal return, the announcement effect and the insider trading effect. In addition, the residual coefficient method is introduced; the fourth chapter is the sample selection criteria and data sources; the fifth chapter is the empirical analysis, which is the focus of this paper, using various indicators to verify the phenomenon of information leakage in the reorganization market. And put forward a more concise judgment method; Chapter VI for restructuring the market problems put forward the corresponding countermeasures to improve information disclosure measures; Chapter VII summarizes the full text, draw conclusions, put forward further research problems and deficiencies. By testing the recombination sample companies from 2010 to 2013, it is concluded that there is a general habit in China's securities market, that is, asset restructuring events are regarded as good news, and the value of the restructured companies increases in the short term. The overall CAR trend indicates that there is information leakage and stock price manipulation in the market. This conclusion is the same as most domestic research results. Because of the limitation of the data acquisition and the theoretical basis, it is very difficult to start from a theoretical system completely, which will lead to the one-sided and missing of the research conclusions, which need to be improved in the future.
【學(xué)位授予單位】：北方工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 肖淑芳,李陽;上市公司重大信息披露與股價異動的相關(guān)性研究[J];北京理工大學(xué)學(xué)報(社會科學(xué)版);2004年06期

2 陳蔚;陶輝;;股權(quán)分置改革前后可轉(zhuǎn)債發(fā)行公告效應(yīng)的差異性研究[J];商業(yè)研究;2011年06期

3 劉亮;;中美創(chuàng)業(yè)板市場上市機制的比較分析[J];東方企業(yè)文化;2012年02期

4 攀登,鄒炎;內(nèi)幕交易與市場操縱的事件研究[J];當(dāng)代經(jīng)濟管理;2005年05期

5 武志;中國證券市場發(fā)展:新制度經(jīng)濟學(xué)的觀點[J];國際經(jīng)濟評論;2001年Z4期

6 王娟,顧丹;論信息與證券市場的效率[J];廣西金融研究;2004年09期

7 許盡暉;高磊;;資產(chǎn)重組中的問題及對策[J];經(jīng)濟視角(下);2011年09期

8 李偉;李勇;;上市公司股份回購的股價效應(yīng)理論研究及實證分析[J];經(jīng)濟師;2009年11期

9 趙祥功;俞瑋;;上市公司送轉(zhuǎn)股效應(yīng)的實證研究——以中小板為例[J];經(jīng)濟師;2010年10期

10 張新;祝紅梅;;內(nèi)幕交易的經(jīng)濟學(xué)分析[J];經(jīng)濟學(xué)(季刊);2003年04期

，

本文編號：1915201