我国股市谣言澄清的市场反应研究——基于创业板市场的实证分析
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摘要
在我国股票市场上,谣言不仅会对股价造成冲击,还会影响投资者对证券市场信息真实性和透明度的信心,从而影响投资者对监管者的信任度,影响整个证券市场监管体系的建设。以创业板市场为样本,采用事件研究法和多元回归分析法研究谣言对股价的冲击影响以及上市公司澄清公告的市场反应,从而考察我国股市谣言传播及其澄清的现状。实证研究结果表明,我国股票市场的谣言澄清效果总体较好,否认利空谣言的澄清公告质量有待提高,上市公司澄清态度的不同往往导致市场反应不同。澄清公告披露传谣媒体,澄清公告越详细,越能获得更好的澄清效果,更有利于股价恢复。
In Chinese stock market, rumors not only bring the great impact on the price of shares, but also influence the confidence of investors in the truth and transparency of the stock market information. Therefore, rumors may also further influence the trust degree of investors on the supervisors, and then influence the construction of supervision system of the whole stock market. Taking the growth enterprises market as the sample, and adopting the method of event study and multiple regression analysis, this thesis makes research on how rumors shock and influence the price of shares, and how the market responses after the listed company publishes the clarification announcement, so as to examine the current situation of the rumors' spread and clarification in Chinese stock market. The empirical result shows that the effect of clarifying rumors in Chinese stock market is rather good as the general, the quality of clarifying announcement that denies the bad news should be improved, and the different attitudes of the listed companies in clarifying the rumors may often lead to the different market reactions. When the clarifying announcements reveal the medias that spread the rumors, the more detailed the announcements are, the better effect they may achieve in clarifying the rumors, and it may be more favorable for them to restore the price of shares.
In Chinese stock market, rumors not only bring the great impact on the price of shares, but also influence the confidence of investors in the truth and transparency of the stock market information. Therefore, rumors may also further influence the trust degree of investors on the supervisors, and then influence the construction of supervision system of the whole stock market. Taking the growth enterprises market as the sample, and adopting the method of event study and multiple regression analysis, this thesis makes research on how rumors shock and influence the price of shares, and how the market responses after the listed company publishes the clarification announcement, so as to examine the current situation of the rumors' spread and clarification in Chinese stock market. The empirical result shows that the effect of clarifying rumors in Chinese stock market is rather good as the general, the quality of clarifying announcement that denies the bad news should be improved, and the different attitudes of the listed companies in clarifying the rumors may often lead to the different market reactions. When the clarifying announcements reveal the medias that spread the rumors, the more detailed the announcements are, the better effect they may achieve in clarifying the rumors, and it may be more favorable for them to restore the price of shares.
引文
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(2)SPIEGEL U,TAVOR T,TEMPLEMN J.The effects of rumours on financial market efficiency[J].Applied Economics Letters,2010(15):1461—1464.
(3)刘华,周小光,李刚.传闻消息对我国上市公司股价影响的实证分析[J].武汉金融,2003(9):16—19.
(4)陈静,张晓明.资本市场传闻信息与股价异动研究[J].兰州学刊,2010(5):31—34.
(5)CARVALHO C,KLAGGE N,MOENCH E.The Persistent Effects of a False News Shock[J].Journal of Empirical Finance,2011(4):597—615.
(6)郑宏涛.澄清公告信息含量的实证研究[J].中国管理信息化,2010(10):29—33.
(7)贾明,阮宏飞,张喆.上市公司澄清公告的辟谣效果研究[J].管理科学,2014(2):118—132.