基于信息不对称性反应的股票市场有效性实证研究

不同周期信息不对称反应是导致中国股票市场的有效性失灵的重要原因之一.本文利用TARCH模型和EGARCH模型从牛市、熊市两种不同时期分别比较利好信息与利坏信息对股市冲击程度的研究可以看出,我国股票市场的有效性受不同周期信息不对称的影响.同时面对信息不对称而引起股票市场的非有效性,从投资者预期和投资者构成角度分析其原因,并从投资者角度提出相应对策.     

我国证券市场信息不对称的原因与对策

由于发行人信息披露不充分、信息传播缺乏效率、投资者信息解读能力欠缺,我国证券市场发行者与投资者之间、机构投资者与个人投资者之间存在严重的信息不对称。因此,当务之急是采取完善公司股权结构、创新信息披露方式、发展机构投资者等有力措施,以此改进我国证券市场信息不对称的状况。     

我国股票市场信息不对称的原因分析

股票市场信息不对称是存在于社会经济生活中的客观经济现象。我国股票市场中存在的信息不对称现象有其形成的特殊原因,这些原因是多方面的,主要包括我国股票市场市场化程度不够;上市公司的法人治理结构尚不完善;会计法规体系尚不健全;以及股份分割造成的不合理的股权结构。     

谈上市公司股票融资的信息传递作用

本文针对我国证券市场上虚假信息泛滥、信息不对称现象严重以及股市的非均衡性等一些问题,综合信息不对称理论、信号理论和行为金融理论,分析我国上市公司股票融资行为的信息传递效应。并进一步指出如何通过政府、上市公司以及投资者三方的共同努力,使投资者能够辨别业绩优劣程度不同的公司,从而在股票市场产生“分离均衡”。     

我国股票市场信息不对称的原因分析

股票市场信息不对称是存在于社会经济生活中的客观经济现象.我国股票市场中存在的信息不对称现象有其形成的特殊原因,这些原因是多方面的,主要包括我国股票市场市场化程度不够;上市公司的法人治理结构尚不完善;会计法规体系尚不健全;以及股份分割造成的不合理的股权结构.     

我国股票市场信息不对称的原因分析

股票市场信息不对称是存在于社会经济生活中的客观经济现象，我国股票市场中存在的信息不对称现象有其形成的特殊原因，这些原因是多方面的，主要包括我国股票市场市场化程度不够，上市公司的法人治理结构尚不完善，会计法规体系尚不健全；以及股份分割造成的不合理的股权结构。     

谈上市公司股票融盗的信息传递作用

本文针对我国证券市场上虚假信息泛滥、信息不对称现象严重以及股市的非均衡性等一些问题，综合信息不对称理论、信号理论和行为金融理论，分析我国上市公司股票融资行为的信息传递效应。并进一步指出如何通过政府、上市公司以及投资者三方的共同努力。使投资者能够辨别业绩优劣程度不同的公司．从而在股票市场产生“分离均衡”。     

我国股市信息不对称研究

<正>我国股市信息不对称产生的原因投资者获得信息的成本和加工信息的能力不同投资者之间之所以存在信息不对称现象,其中一个重要原因就在于投资者获得信息的成本和加工信息的能力不同。信息能够减少不确定性,即降低风险,带来收益,但获得信息又需要付出一定的成     

从股票发行与上市价格的影响因素看我国股市IPO抑价现象的原因

目前,在我国股票市场上一直存在着新股发行价低于上市价格的抑价现象,其主要原因是股市发行与交易市场参与者之间信息不对称。应加速完善上市公司信息披露机制,提高信息的真实性、及时性以及投资行为的理性化程度,借助信息和资金优势带动股票市场价格保持在合理且相对平稳的范围内。只有这样,股票市场价格才会更加清晰的反映出公司实际投资价值,发行价与上市价间的差距也会逐步降低。     

我国股票市场投资者之间的博弈分析

一、机构与散户的博弈分析 股票市场中,机构具有信息和资金的绝对优势;散户在人数和资金上具有优势,但缺乏协同效应,而且信息获取和分析能力差.我国股票市场历史短、市场不规范,投机行为明显.与国外成熟证券市场比较,我国明显存在高换手率和投资者频繁追涨杀跌现象.以下是笔者以构造"智猪博弈"模型来分析机构和散户之间的博弈.     

Investor behavior and volatility of futures market: A theory and empirical study based on the OLG model

Investor trading behaviors are always an important issue in behavioral finance and market supervision. This study examines the relationship between investor behavior and future market volatility. We first introduce a two-period OLG model into the futures market, and develop an investor behavior model based on future contract price. We then extend the model to two scenarios: complete and incomplete information. We provide the equilibrium solution, and develop two hypotheses, which are tested with cuprum tick data in Shanghai Futures Exchange (SHFE). Empirical results show that the two-period OLG model for future market is consistent with the market situation in China. More specifically, investors with sufficient information such as institutional investors usually adopt the contrarian trading strategy, whereas investors with insufficient information, e.g., individual investors, usually adopt the momentum trading strategy. These findings reveal that investor behaviors in the Chinese futures market are different from those of in the Chinese stock market.     

The capital market spillover effect of product market advertising: Evidence from stock price synchronicity

We analyze whether product market advertising has a spillover effect on stock price synchronicity by transmitting firm-specific information to the capital market and attracting more investor attention. Using a sample of Chinese listed firms from 2009 to 2017, we find that firms with greater advertising expenditures have lower stock price synchronicity. The results are robust after we address endogeneity concerns. In accord with our hypothesis that product market advertising increases the amount of firm-level information capitalized into stock prices through the information channel, we find that the impact of advertising on synchronicity is more pronounced for firms with a higher degree of information asymmetry and firms in the consumer-product industry. Further tests show that product market advertising enhances the ability of current period returns to reflect future earnings, and thus rules out that the negative relationship between advertising and synchronicity is driven by noise trading. Our results imply that product market advertising plays an informative role and improves information efficiency in a capital market.     

中国股票市场行为与投资者情绪

The relationship among stock returns, market volatilities and individual investor sentiment is an important topic in behavioral economics and finance. This paper uses a unique data set—China’s newly opened stock trading accounts to test the relationships among stock returns, volatilities and individual investor sentiment in the Chinese stock market. It is found that there is a positive relationship between shifts in sentiment and stock returns, and that shifts in sentiment are negatively correlated with market volatility, that is to say, volatility increases (decreases) when investors become more bearish (bullish).      

The Chinese Stock Markets on Trial: The Fat Finger Accident of Everbright Securities

Everbright Securities Ltd. erroneously submitted huge quantities of buy orders on SSE180 constituent stocks from 11:05 through 11:07 on 16 August 2013. This fat finger accident had a pronounced impact on the Chinese stock markets. This paper uses the accident to study market quality and investors’ responses. We show that the Chinese stock markets were robust enough to stand the trial, exhibiting deep depths and strong resiliency. However, the markets performed poorly in terms of aggregating information because there were large price swings after the erroneous orders were executed. Moreover, investors quickly change their beliefs as to the reasons to the dramatic price jumps, consistent with information cascade theory.     

Institutional Investors,Earnings Quality and Asset Liquidity: Evidence from China’s Stock Market

This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China’s stock market: (1) institutional holding negatively affects assets’ liquidity, (2) earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and (3) interestingly, the effect of earnings quality on liquidity is greater if institutional investors’ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.     

Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions

We analyze the influence of the Chinese lunar calendar and superstitions on holiday preferences using theories on time and mood to identify investor sentiment. Trading interruptions caused by Thursday holidays negative significantly influence investor sentiment for trust companies and individual investors. Trading detachment derived from cultural holidays in June positive significantly influences investor sentiment for dealers and individual investors. Trust companies and the market exhibit significantly positive sentiments toward winter holidays. The stock exchange indicates negative and positive sentiments toward winter holidays and holidays in January. Cultural holidays and superstition in Taiwan indicate strong support for holiday preferences in Asia.     

中国股票市场一月效应的实证研究

一月效应是从统计学角度分析股市走势的一种惯常现象,指一月份的回报率往往是"正数",而且会比其他月份为高;相反,十二月的股市回报率很多时候会呈现负值。在传统股市经验里,每逢踏入新一年的一月,股市总是涨的多,跌的少。中国市场是否存在一月效应,投资者能否利用一月效应来获得期望的收益,这些都是研究人员关注的课题。以1997—2007年沪深两市A股指数的日收益率为研究样本,对中国股市是否存在显著的一月效应进行实证研究,结论表明:相对于其他月份而言,中国股市不存在显著的一月效应。     

极端市态中基金申购赎回行为研究——基于中国开放式股票型基金的分析

自2007年初至2008年末,我国证券市场经历了一轮明显的牛熊市转换。对这一时段的基金申购赎回行为进行研究发现：在极端市态中,开放式股票型基金申购、赎回数量的巨额差异背后,存在着中购、赎回行为影响因素的巨大差异。通过对这些差异的研究,可以为深入了解投资者的心理,预测和指导未来投资者行为提供很好的帮助。研究结果还表明：我国基金的个人投资者正在走向成熟;基金的机构投资者较为理性,其交易行为趋向长期化。     

New product preannouncements,advertising investments,and stock returns

This study examines the synergistic effects of advertising spending and new product preannouncements (NPPAs) on stock market responses. The empirical results indicate that returns of preannouncing firms over both the short- and long-term could be improved by an increase in advertising expenditure. Additionally, the results also show that the positive impacts of earnings and revenues can be enhanced, while the negative influence of trading costs can be reduced, for preannouncing firms with higher advertising expenditures. The holding returns of institutional investors can also increase with greater spending on advertising. Therefore, marketing communication strategies that aim to reduce information asymmetry within NPPAs, coupled with greater advertising expenditures, would yield more favorable investor responses.     

企业社会责任信息披露与股票价格关系研究——沪市民营企业的经验证据

文章以2009年沪市A股222家民营上市公司为研究样本实证检验了民营企业社会责任信息披露与股票价格的关系,结果表明,民营企业社会责任信息披露与股票价格负相关。结合企业社会责任实践及其信息披露现状、投资者基于企业社会责任的投资理念以及资本市场有效性,从作用机制视角分析了形成民营企业社会责任信息披露与股票价格关系的深层原因,并由此就改进企业社会责任及信息披露实践和促进资本市场健康发展为上市民营企业、资本市场投资者和监管者带来启示。