本文關(guān)鍵詞： 金融創(chuàng)新 市場反應(yīng) 事件研究法 累計超額收益率　出處：《東華大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國金融改革不斷深化和金融業(yè)的逐步開放,金融創(chuàng)新成為商業(yè)銀行必然的選擇。目前,關(guān)于商業(yè)銀行金融創(chuàng)新的研究主要集中于動因的分析,創(chuàng)新能力的分析,策略的選擇和對策建議等方面,對于商業(yè)銀行金融創(chuàng)新事件發(fā)生后特別是市場投資者知曉后,該銀行的股票收益和市場價值的變化卻鮮有研究。隨著我國資本市場的不斷發(fā)展,上市銀行數(shù)量的逐步增加,使我們有條件對上市商業(yè)銀行金融創(chuàng)新事件的市場反應(yīng)進行定量分析。 本文分為六個部分：第一部門為導(dǎo)論。包括研究背景,研究目的與意義,研究思路和相關(guān)概念的界定。第二部分是文獻綜述,主要從國外和國內(nèi)兩個角度概括了其他學(xué)者關(guān)于金融創(chuàng)新方面研究的情況。第三部分是上市銀行金融創(chuàng)新信息披露市場反應(yīng)的理論分析。結(jié)合相關(guān)的理論對上市銀行金融創(chuàng)新信息披露市場反應(yīng)的作用機理進行分析和闡述。第四章是我國上市商業(yè)銀行金融創(chuàng)新的現(xiàn)狀分析。主要從一些財務(wù)指標(biāo)來分析上市商業(yè)銀行金融創(chuàng)新的情況,并就存在的不足以及制約金融創(chuàng)新發(fā)展的因素作出分析。第五章是實證研究。采用事件研究法,通過分析金融創(chuàng)新事件窗期內(nèi)的每日超額收益率和累積超額收益率,來分析研究上市商業(yè)銀行的市場反應(yīng)。第六章為結(jié)論。 本文通過研究得出以下結(jié)論：通過理論分析,我們認為金融創(chuàng)新信息的披露必然會引起投資者對銀行價值的重新評估,并且在證券市場上通過股價的變化反應(yīng)出來。從實證的結(jié)果來看,目前我國股票市場能夠?qū)鹑趧?chuàng)新信息的披露作出顯著的反應(yīng)。盡管樣本容量不大,但是事件都具有代表性,所以,本文認為市場反應(yīng)具有較強的典型性。從金融創(chuàng)新信息披露期間的平均異常收益率和累積異常收益率來看,證券市場的反應(yīng)時及時的甚至是超前的,并且在信息披露之前,正的異常收益已經(jīng)出現(xiàn),顯然金融創(chuàng)新的信息已經(jīng)被提前泄露了。 本文的創(chuàng)新：以16家上市商業(yè)銀行披露的金融創(chuàng)新事件作為研究樣本,對創(chuàng)新公司信息披露后的市場反應(yīng)做了統(tǒng)計學(xué)的研究,為投資者決策和相關(guān)監(jiān)管部門指定政策提供了依據(jù)。
[Abstract]:With the gradual opening of China's financial reform and financial deepening, financial innovation has become an inevitable choice for the commercial banks. At present, the analysis and Research on the financial innovation of commercial banks mainly focused on the analysis of motivation, innovation ability, strategy and countermeasures and other aspects, for the financial innovation of commercial banks especially after the occurrence of events market investors know, changes in the bank's stock returns and market value is rarely studied. With the continuous development of China's capital market, the number of listed banks gradually increased, so that we have made a quantitative analysis on the market reaction of financial innovation on commercial bank.
This paper is divided into six parts: the first part is the introduction, including research background, research purpose and significance, research ideas and concepts. The second part is literature review, mainly from the two perspective of foreign and domestic situation summarized the research on financial innovation of other scholars. The third part is the financial innovation information of listed banks disclosure analysis of market reaction theory. Combined with the related theory and analysis of listed banks financial innovation information disclosure mechanism of market reaction. The fourth chapter is the analysis of the present situation of financial innovation of China's listed commercial banks. From the analysis of some major financial indicators of listed financial innovation of commercial banks, and the existing problems and factors restricting the development of financial innovation are analysed. The fifth chapter is the empirical research. By using the method of event study, through the analysis of the financial innovation event window period daily The sixth chapter is the conclusion of the market reaction of the listed commercial banks.
This paper draws the following conclusions: through theoretical analysis, we believe that financial innovation information disclosure will cause investors to re evaluate the value of the bank, and the stock price changes reflected in the stock market. The empirical results show that, at present China's stock market to the information disclosure of financial innovation made significant response. Although the sample size is not large, but the events are representative, so, I think the market reaction is typical. From financial innovation information disclosure during the average abnormal return rate and cumulative abnormal returns, the stock market's reaction time even is advanced, and the information disclosure before the positive abnormal returns financial innovation has emerged, apparently information has been leaked in advance.
The innovation of this paper is to take the financial innovation events disclosed by 16 listed commercial banks as research samples, making a statistical study of the market reaction after the information disclosure of innovative companies, providing a basis for investors to make policy decisions and relevant regulatory departments to specify policies.

【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33;F832.51;F224

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本文編號：1520983