發(fā)布時間：2018-02-24 23:17

  本文關鍵詞： 615股災 停牌 事件研究法 異常收益率　出處：《北京外國語大學》2017年碩士論文　論文類型：學位論文

【摘要】：股災(The Stock Market Disaster)是指在股票市場發(fā)生的一種極端現(xiàn)象,具體表現(xiàn)為股價非理性暴跌,流動性枯竭,并對其他領域產(chǎn)生嚴重負面影響,其根本原因在于股票市場某種內(nèi)部矛盾的積累,這種內(nèi)部矛盾可能來源于制度,也可能來源于交易,并被某個偶然因素觸發(fā)。2015年6月15日至2015年8月26日,受證監(jiān)會清查場外配資觸發(fā),上證指數(shù)從高點5178點狂瀉至最低點2850點,跌幅達到45%,自6月15日至7月15日,滬深兩市出現(xiàn)了千股跌停的慘烈局面,也有超過千家上市公司選擇停牌避險自救,而在監(jiān)管層發(fā)布一系列維穩(wěn)措施后又匆匆要求復牌,反映了我國A股市場上市公司濫用停牌權利的怪像。而我國A股自2014年開始,連續(xù)三年沖關MSCI新興市場指數(shù)失敗的一個重要原因便是我國停復牌制度不規(guī)范。針對615股災時期千股停牌的現(xiàn)象,本文站在上市公司,股東和監(jiān)管層三個角度對停牌行為的動機,是否成功避險以及避險效果展開研究。本文主要采取實證研究方法,從Wind數(shù)據(jù)庫獲取2015年6月15日至2015年7月15日共一個月的停牌樣本,經(jīng)過篩選后首先和非停牌樣本作對比,最終發(fā)現(xiàn)和上市公司是否選擇停牌策略相關的變量有是否涉及股權質(zhì)押,是否為民營企業(yè)和外資企業(yè),以及大股東持股比例。接下來本文采用事件研究法,將股災中的停牌作為影響股票收益率的一項事件研究,我們定義停牌當日為第0天,復牌當日為第1天,估計窗為(-120,-2),事件窗為(-1,4),同時應用市場模型和市場調(diào)整模型對事件窗內(nèi)的股票收益率做出預測并和股票實際收益率作對比,計算出異常收益率,以復牌后產(chǎn)生的異常收益率為準分為好消息組和壞消息組,驗證異常收益率在事件窗內(nèi)是否顯著不為0。結(jié)果顯示,股災中停牌的股票復牌后均會產(chǎn)生正的或負的異常收益率,其中主板股票在價格發(fā)現(xiàn)效率上優(yōu)于中小創(chuàng)業(yè)板股票,即主板股票的異常收益率會比中小創(chuàng)板塊的異常收益率更快地調(diào)整到0。根據(jù)異常收益率的分布狀況,可以看出從停牌避險的效果看,中小創(chuàng)好消息組股票要大于主板好消息組股票,而壞消息組的股票樣本選擇停牌避險反而加速了股票收益率的下降。最后,本文將全部停牌股票窗口期的異常收益率加總計算出累積異常收益率作為因變量,對其進行回歸擬合,發(fā)現(xiàn)停牌股票窗口期的累積異常收益率和前90日漲跌幅,停牌時間長短呈正相關關系,和資產(chǎn)負債率呈負相關關系。根據(jù)實證研究結(jié)果,本文從普通投資者,上市公司,監(jiān)管層三個方面對此次股災千股停牌事件的啟示展開論述,并對中國現(xiàn)行停復牌制度可能存在的不足提出了相關建議。615股災雖然說是股票市場的極端情形,但它的爆發(fā)不是偶然的,停牌避險也只是權宜之計,我國A股市場在完善價格發(fā)現(xiàn)職能,保護中小投資者方面還有很長的路要走。
[Abstract]:The Stock Market disaster is an extreme phenomenon in the stock market, characterized by an irrational plunge in stock prices, a drying up of liquidity, and a serious negative impact on other areas. The root cause lies in the accumulation of certain internal contradictions in the stock market, which may originate from institutions or transactions, and are triggered by some accidental factor. June 15th 2015 to August 26th 2015, Triggered by the CSRC's over-the-counter allocation, the Shanghai Stock Exchange index plummeted from a high of 5178 points to a low of 2,850 points, a drop of 450.From June 15th to July 15th, the Shanghai and Shenzhen stock exchanges saw a tragic situation of thousands of shares falling by the limit. There are also more than a thousand listed companies that choose to suspend trading to avoid risks and save themselves. After the regulators issued a series of maintenance measures, they rushed to ask for resumption of trading, reflecting the strange phenomenon of abuse of suspension rights by listed companies in China's A-share market. Since 2014, China's A-shares have been on hold. An important reason for the failure of the emerging market index of MSCI for three consecutive years is the non-standard trading system in China. In view of the suspension of thousands of shares in the 615 stock disaster period, this paper stands in the listed company. Shareholders and regulators study the motivation of suspension, the success of risk aversion and the effect of hedging. This paper mainly adopts empirical research methods. Samples from Wind database were obtained for one month from June 15th 2015 to July 2015. After screening, the samples were compared with the non-suspension samples. Finally, it is found that the variables related to whether the listed company chooses the suspension strategy include whether the equity pledge is involved, whether it is a private enterprise and a foreign-funded enterprise, and the shareholding ratio of the major shareholders. Considering the suspension of trading in stock disaster as an event that affects the return of stock, we define the day of suspension as day 0 and the day of resumption of trading as day 1. The estimated window is -120 ~ 120 ~ (-2), and the event window is "Li ~ (-1)". At the same time, the market model and the market adjustment model are used to predict the stock return rate in the event window and compare it with the real stock return rate to calculate the abnormal rate of return. The abnormal rate of return after resumption of trading is divided into good news group and bad news group. The results show that the abnormal rate of return is significantly less than 0 in the event window. The results show that the abnormal return rate will be positive or negative after the resumption of trading of stocks suspended in the stock market. Among them, the price discovery efficiency of the main board stock is better than that of the small and medium-sized gem stock, that is, the abnormal return rate of the main board stock will be adjusted to 0 faster than the abnormal return rate of the small and medium-sized creating plate. We can see from the effect of suspending trading and avoiding risks that the stocks in the small and medium good news group are larger than the stocks in the good news group on the main board, while the stock samples of the bad news group choose to suspend trading and avoid risk instead, it accelerates the decline of the stock yield. Finally, In this paper, the cumulative abnormal rate of return is calculated as a dependent variable, and the cumulative abnormal rate of return in the window period of suspended stock is found to be the cumulative abnormal return rate and the rise and fall of the previous 90 days, and the cumulative abnormal rate of return in the window period of the suspended stock is calculated as a dependent variable. According to the results of empirical research, this paper discusses the enlightenment of the stock market suspension from three aspects: ordinary investors, listed companies, and regulatory levels. And put forward relevant suggestions on the possible shortcomings of the current system of suspension and resumption of trading in China. Although the stock disaster .615 is an extreme situation in the stock market, its outbreak is not accidental, and the suspension of trading and hedging is only a temporary measure. China's A-share market has a long way to go in perfecting its price discovery function and protecting small and medium investors.
【學位授予單位】：北京外國語大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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