摘要
中国证券市场正处于市场化向国际化转型阶段,市场信息管理机制的不完善导致信息传导不畅、信息决策效率下降,单纯依靠市场自身的调节尚不能解决信息向交易决策传导中存在的问题。关于信息对市场收益作用机理的研究,传统方法主要以公司信息为样本,分别从披露、传递到反馈至交易决策展开分析,试图从中找出阻碍信息作用的因素。然而,已有的研究忽视了信息不对称条件下政府信息、机构信息和市场情绪信息对交易的影响。本文认为,构建以政府信息、公司信息、机构信息和市场情绪为主体的信息分析体系,能够更全面地认识我国当前证券市场的信息影响特征,并可以此为线索实施有效的市场信息监管。.
文章首先分析了信息对市场收益影响的一般性机理和影响信息决策效率发挥的主要因素,在比较中外证券市场信息管理体系的基础上,采用广义方差自回归模型测定我国市场收益变动速度,从总体上检验了我国市场的信息影响特征。
根据理论分析,采用市场实际数据对政府信息、公司信息、机构信息和市场情绪信息的披露、影响因素和影响效果进行了实证研究。结果表明:第一,政府信息对市场收益存在明显的影响作用;政府与投资者之间的信息博弈造成了政府信息的决策效率下降;持续性政府信息(以货币供应量和利率为主)对市场交易收益产生正向影响,其中货币供给信息的作用周期更长,利率调整信息对市场冲击幅度更大、周期较短,比较而言,临时性政府信息(政策事件)给市场收益造成直接冲击,“利好”信息较“利空”信息对市场交易的影响更大,随着中国股市的发展,政府信息的影响力度呈下降趋势。第二,公司信息与市场收益之间存在显著的相关性;本文所建立的财务指标与市场收益间的多元线性模型在各年度的综合解释力大多都很强,但每年进入反应方程的财务指标具有不确定性;此外,上市公司临时信息披露中的策略性选择(如披露时间、频率和准确性性)是对公司信息决策效率造成影响的重要因素。第三,对于市场中机构投资者的交易信息,个体投资者表现出显著的羊群行为特征;其中买方羊群行为强于卖方羊群行为,时间因素没有对投资者羊群行为造成显著影响。最后,不同规模组合的收益与市场综合情绪指标间表现出同向变动特征,情绪指数变动越大,市场收益波动越大,其中,小盘股组合收益受情绪信息影响更为明显。
最后,本文从制度缺陷、公司治理、信用缺失、投资者教育四个方面分析了我国证券市场信息传导中存在的障碍与梗阻因素,并对提高市场效率和加强市场信息监管提出政策建议。
For China’s security market was in the transfering stage from marketization into internationalization, it’s imperfect information management mechanisms usually caused the bafflement for information transmission and an inefficient market, Self-regulation couldn’t simply solve the problem of information transmission. On studying such an issue of information transmission in security market, traditional research tried to find the reason for impeding information transmission normally just by studying on company information’s disclosure, delivery and reflection in trading. However, the influence of governmental information, company information, and institution information and investor sentiment on return under asymmetric information was neglected here. The author believed, to estabilish an information analysis system mainly with governmental information, company information, and institution information and investor sentiment would help to understand the feature of information transmission in current stock market and improve the efficiency of information supervision.
In this dissertation, general mechanism and influencing factors of information transmission was firstly discussed, by comparing with the sino-foreign information management system, the author measured the speed of share price adjustment with generalized autoregressive conditional heteroskedasticity, which gave a approximate conclussion about the efficiency of information transmission.
According to the analysis above, this dissertation also researched on the disclosure, influence and efficiency of information transmission from governmental information, company information, and institution information and investor sentiment base on the theoretical and empirical view with the original data. The conclusion indicated that first, governmental information did have the impact on investor’s decision-making, information game between the government and investors lead to the transmission deviation of governmental information, sustained variables of governmental information (mainly as money supplyment and interest rate) had a positive effect on trading, among this, money supply has a long-term impact, adjustment of interest rate caused the stronger impact on market, comparatively speaking, discrete governmental information (policy events) caused a direct impact on the market, good news has stronger impact on market than bad news, however, by the time went on, the impact declined. Second, there was a significant correlation between accounting information and share price with a significant linear correlation; comprehensive explaination for most of the multivariate linear model on accounting indicators and stock price was strong every year, but accounting indicators brought into the model was uncertain for different year, forthermore, the strategy choice (for about time, frequency and accuracy)to temporary information disclosure of listed companies was the important factors impacting on the efficiency of the company's information transmission; Third, the trading of individual investors showed significant features of herding behavior to the decision of institutional investors, and herding behavior seems to be obvious for buyer than for seller, which didn’t vary with the time going on; Finally, portfolio earings of different samples has a persistent or reversal feature, by the study period went on, investors sentiment show some feature of cautious, investor sentiment is generally dependent on the frame.
Finally, this research analyzed the factors that hold up information transfer in China from the view of system defect, corporate governance, credit absence and investor education, and finally put forwarded some management methods and policy recommendations of improving market efficiency and enhancing the regulatory to market information.
引文
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