本文關鍵詞：上海股票市場半強式有效性實證研究　出處：《遼寧大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 半強式有效性 事件研究法 定向增發(fā)信息首次公布 盈余信息公布

【摘要】：資本市場在現代經濟中發(fā)揮著重要的作用，有效的資本市場是實現社會經濟資源有效配置的重要前提條件。在當代金融理論中，，市場的半強式有效性具有重要的理論和實踐意義。在半強式有效市場的情況下，可以得出現代金融學中的一系列重要的理論，如MM理論、資本資產定價模型等。在市場實踐中，半強式有效的市場配合制度措施限制內幕交易的發(fā)生，市場交易者就可以采取被動復制市場組合的交易策略。反之，如果市場沒有實現半強式有效，那么市場交易者就應該采取積極的交易策略，通過分析公開信息獲取超額收益。研究股票市場的半強式有效性可以在理論上檢驗有效市場理論，為金融理論的發(fā)展提供支持或反對的證據。股票市場的效率狀況還能夠為政策制定者制定政策提供參考。本文就是在股權分置改革已經完成，市場基本實現全流通的情況下，采用最新的市場數據，對上海股票市場的半強式有效性進行檢驗。 論文從理論研究入手，結合上海股票市場的實際情況，采用實證研究的方法，對上海股票市場的半強式有效性進行實證研究。在對市場的半強式有效性的研究中，常用的方法是事件研究法。本文選擇了股票市場中普遍存在的定向增發(fā)信息首次公布事件和盈余信息公布事件進行研究。在選擇樣本公司時，力求保持事件窗的獨立性。 本文分為如下的幾個部分：第一，緒論部分。本章對選題的背景和意義做出了說明。第二，理論和方法部分。主要介紹了本文的理論基礎以及使用的事件研究方法。本章針對半強式有效市場做了概述。對半強式有效市場定義、特點、實證檢驗、做了介紹。接下來，針對本文的研究方法——事件研究方法內容、步驟做了詳細說明，并給出檢驗統(tǒng)計量的計算公式。第三，實證分析部分。實證分析部分包括對定向增發(fā)首次信息公布事件和年度盈余報告公布事件兩個事件的研究。第四，結論和啟示部分。給出本研究的結論，并對比兩個事件所獲得的超額收益率，對政策制定者給予一定的啟示。 本文通過對上海股票市場的定向增發(fā)首次信息公布事件和盈余公布事件進行分析，得出如下結論：對于本文選擇的定向增發(fā)信息首次公布事件和盈余信息公布事件，在事件窗末期都可以獲得累計超額收益率，并且在統(tǒng)計上顯著。這與半強式有效性的市場不符�，F階段，上海股票市場還沒有達到半強式有效，政策制定者應該制定有利于市場實現半強式有效性的政策。
[Abstract]:The capital market plays an important role in the modern economy, the capital market is an important prerequisite for the effective allocation of social economic resources. In modern financial theory, which has important theoretical and practical significance to semi strong form efficient market. In the semi strong efficient market, can be obtained in modern finance in a series of important theories such as MM theory, the capital asset pricing model. In the actual market, semi strong efficient market system with measures to limit the occurrence of insider trading, market traders can take passive replication market portfolio trading strategies. On the contrary, if the market does not achieve the semi strong efficiency, so market traders should take active trading strategies, obtain excess returns by analyzing the public information. Semi strong efficiency research of the stock market can test the efficient market theory in theory , support or oppose the evidence for the development of financial theory. The efficiency of the stock market can also provide a reference for policy makers to formulate policies. This article is in the share reform has been completed, the basic realization of the market circulation, with the latest market data, to test the semi strong efficiency in Shanghai in the stock market.
The dissertation starts from theory research, combined with the actual situation of Shanghai stock market, using the methods of empirical research, the empirical research on the semi strong form efficiency of Shanghai stock market. In the study of semi strong efficiency on the market, the commonly used method is the method of event study. This paper chose directional common stock market the additional information published for the first time the event and earnings information released events for research. In the choice of the Sample Firms, in order to maintain the independence of the event window.
This paper is divided into the following several parts: first, introduction. In this chapter the background and significance of the topic and explained. The second part, the theory and method. This paper mainly introduces the basic theory and the use of the event study method. This chapter focuses on the semi strong efficient market is summarized. The semi strong efficient market definition, characteristics, empirical test, is introduced. Next, according to the research methods, contents of the event study method, steps in detail, and gives a calculation formula of the test statistic. The third part of empirical analysis. The empirical analysis of privateplacement information first published events and annual earnings report released on the two event event. Fourth, the conclusion and revelation. Given the conclusions of this study, and compare the two events the excess rate of return, for policymakers to give some enlightenment.
The orientation of Shanghai stock market in the first issuance of information published events and earnings announced events are analyzed, the conclusions are as follows: for the additional directional information published for the first time the event and earnings information released in the event, the event window can be obtained at the end of the cumulative abnormal return, and there is a statistically significant. This is inconsistent with the semi strong efficient market. At present, the Shanghai stock market has not reached the semi strong efficiency, policymakers should set the market to achieve the semi strong effective policy.

【學位授予單位】：遼寧大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【引證文獻】

相關博士學位論文 前2條

1 趙云立;中國股票市場效率實證研究[D];吉林大學;2004年

2 楊代平;中國證券市場超額收益研究[D];暨南大學;2005年

本文編號：1405026