传闻消息对我国上市公司股价影响的实证分析

本文通过有关我国上市公司的传闻消息对上市公司股价影响的实证分析,得出在消息公布日前2天以及后3天的时间段里,传闻消息对股价有正影响,从而给投机者带来了非正常收益,但是从长期来看,传闻消息不会给投资者带来任何非正常收益。另外,通过对各类传闻消息对股价影响的进一步分析,发现在诸类传闻消息中,主力类传闻对上市公司股价的影响最为显著,能给投机者带来很大的非正常收益。

The empirical analysis to the effects of stock market umors on stock prices in china

The purpose of this study is to investigate the effects of rumors on the prices of stocks in stock market of China.According to the empirical analysis,positive significant abnormal returns are observed in each of the2days prior to the publication date and3days in the post-publication period.The findings suggests that the investment decisions based on the published rumors would benefit speculator ,but in a long run,the rumors could not generate any benefit else.A further analysis based on the content of rumors shows that the rumors of 'main force' generate greater impact on stock prices than the other rumors.