ST公布和ST撤销事件的市场反应研究——来自沪深股市的实证检验

被引：26

作者：

唐齐鸣 ^{[1
]}

黄素心 ^{[2
]}

机构：

[1] 华中科技大学经济学院金融系

[2] 华中科技大学经济学院

来源：

统计研究 | 2006年 / 11期

关键词：

特别处理; 半强式有效; 事件研究法;

D O I：

10.19343/j.cnki.11-1302/c.2006.11.009

中图分类号：

F832.5 [金融市场];

学科分类号：

1201 ; 020204 ;

摘要：

Using the method of Event study and market model modified by GARCH which takes volatility cluster into consideration,this paper investigates how the market would react to the news of “put in ST” and “cancel ST”,tests the semi-strong efficiency of China stock market and summarizes the market reaction pattern of such kind of news.Our results show that the semi-strong form of the EMH does not hold in China stock market.Meanwhile,there is delay reaction and converse reaction to good news and overreaction to bad news.These phenomena show the existence of leverage effect.

引用

页码：43 / 47

页数：5