發(fā)布時間：2017-12-31 22:32

  本文關(guān)鍵詞：我國A股市場特別處理公告效應研究　出處：《中國礦業(yè)大學》2014年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 特別處理 股票流動性 股東財富效應 財務指標

【摘要】：為了遏制股票市場中的投機操作，以及加強對上市公司的監(jiān)管，中國證監(jiān)會在1997年12月對滬、深交易所股票上市規(guī)則的批復中，首次提出要對經(jīng)營異常的上市公司進行處特別理的意見。特別處理制度是我國特有的風險警示制度，其針對的對象是出現(xiàn)財務狀況異常或其他狀況異常的上市公司。財務指標是否對股東財富效應以及股票流動性影響顯著？特別處理事件又對股東財富效應及股票流動性影響多大？這正是本文研究的重點。 本文以2007-2013年被實施和撤銷特別處理的上市公司為研究樣本，運用多元回歸分析考察財務指標對股東財富效應及股票流動性的影響，同時運用事件研究法驗證了我國證券市場對特別處理事件的反應。研究結(jié)果表明：（1）股票財務指標對股東財富效應及股票流動性影響不大。公司規(guī)模、償債能力、盈利能力以及成長能力等因素對被實施和撤銷特別處理股東財富效應有一定影響，，但對股票流動性沒有影響。（2）我國A股市場存在特別處理公告效應，被特別處理及撤銷特別處理公告對股東財富效應及股票流動性具有顯著影響。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受當年經(jīng)濟及市場環(huán)境影響所表現(xiàn)出的差異較大。（4）退市風險警示板塊也存在較為顯著的公告效應，在退市風險公告期間有少數(shù)幾天具有顯著的累計超額收益及累計超額交易。（5）滬市較深市公告效應更為明顯，股東財富效應及股票流動性波動更為明顯。 最后，針對實證研究的結(jié)論，結(jié)合中國證券市場現(xiàn)實，本文對特別處理相關(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。
[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and growth ability, have a certain impact on the wealth effect of shareholders who have been implemented and withdrawn from the special treatment.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.
【學位授予單位】：中國礦業(yè)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1361779