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我国A股纳入MSCI新兴市场指数是我国进一步开放资本市场的重要标志。首先运用SJC Copula方法提取个股与市场的极值相依结构,然后基于A股“入摩”这一准自然实验,运用多时点DID方法研究资本市场开放对股票市场尾部系统风险的非对称影响。研究发现,A股“入摩”提高了标的个股左尾系统风险,而对标的个股右尾系统风险的影响不具有显著性。进一步分析发现,A股“入摩”初期会增加我国股市的暴涨暴跌风险,但后续A股“入摩”增加尾部风险的负面效应不再具有显著性;而且股票定价效率和公司治理水平在A股“入摩”提高标的个股左尾系统风险的关系中均存在显著的负向调节效应。研究既丰富了我国资本市场开放的理论研究,也为我国积极推进A股纳入MSCI指数提供了理论支持。 相似文献
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近年来,我国资本市场的市场化进程逐步加快,与国际资本市场的融合是其中关键一环。基于A股纳入MSCI指数的外生事件,我们检验了资本市场国际融合对公司审计收费的影响。本文利用2014-2020年我国A股上市公司数据,通过构建动态双重差分模型,研究发现,A股标的公司被纳入MSCI指数后,会计师事务所的审计收费显著下降。进一步分析显示,资本市场国际融合对审计收费的影响在非交叉上市公司、非国有企业和融资融券标的公司中更显著。基于作用机制的分析表明,纳入MSCI指数的A股标的公司,其跟踪的证券分析师增加,机构投资者调研增多,外资持股比例上升,并且内部控制质量提高。研究的结论有助于认识我国资本市场国际融合的经济后果,也为了解公司审计收费的影响因素提供了经验证据。 相似文献
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随着金融加快扩大开放和资本市场改革的全面深化,资本市场双向开放驶入快车道.A股纳入MSCI指数是中国资本市场走向国际化的一个重要标志.为探究资本市场国际化对股价信息含量的影响,本文以A股纳入MSCI指数这一事件为准自然实验,基于2014-2020年的股票样本,使用双重差分法进行了实证分析.实证结果表明:与未纳入MSCI指数的股票相比,纳入MSCI指数能显著增加股价中的信息含量;进一步分析发现,资本市场国际化对股价信息含量的影响是通过公司信息环境和治理水平传导,两个影响路径均存在部分中介效应;对比国有企业与非国有企业的子样本检验结果,发现纳入MSCI指数对非国有企业股价信息含量的提升程度更大.因此,在做好防范金融风险工作的同时,建议进一步加快资本市场开放,完善上市公司信息披露和内部治理机制,放宽民营企业市场准入标准,助力经济高质量发展. 相似文献
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基于2009年4月-2013年12月我国殷票市场的数据,本文研究了融资融券标的股票和非标的股票、以及股票被列入和剔出融资融券标的前后的价格波动特征。结果表明,融资融券交易机制的推出有效提高了我国股票价格的稳定性,融资融券标的股票的价格波动率和振幅均出现了显著性下降。我们还发现,融资融券交易显著降低了股票价格的跳跃风险,有利于防止股票价格的暴涨暴跌和过度投机。此外,融资融券交易在抑制股票价格异质性波动上也起到了实质性作用,从而有助于增加上市公司信息透明度和市场信息效率。 相似文献
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This study aims to examine the return and volatility responses to the announcement of stock market upgrades. It measures the direct effects of the recent Morgan Stanley Capital International (MSCI) upgrade of the Qatar, Dubai, and Abu Dhabi stock exchanges from frontier to emerging markets by applying a nontraditional dummy variable event study using multivariate BEKK and DCC GARCH models. The results show clear evidence that contradicts the free information hypothesis and supports the price pressure hypothesis. Initially, the MSCI upgrade led to positive feedback from active investors due to the belief that this announcement will attract foreign institutional investors who play a vital role in improving the market’s performance. 相似文献
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The investor recognition hypothesis and the bonding hypothesis, which help us understand the market quality of stocks that are cross-listed on different stock markets, imply improved market efficiency after cross-listing because of increased investor participation. However, the noise trading of inexperienced investors in the Chinese stock market negatively affects market efficiency. By employing propensity score matching and multivariate regression analysis, we show that the increased individual investor participation actually lowers market efficiency in their home market after cross-listing. This effect is more evident for stocks that were either listed first on the Chinese stock market or listed on the Chinese stock market and the Hong Kong stock exchange (SEHK) on the same date than for stocks that were listed first on the SEHK. 相似文献
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本文研究上市公司内部人减持、年报、诉讼、分析师评级、停复牌以及高送转等重大公告前后卖空交易行为的变化,系统考察卖空者是否参与内幕交易以及何种因素影响卖空者参与内幕交易,发现卖空率较高的股票具有较低的未来收益,表明卖空者拥有信息优势,属知情交易者;卖空者拥有非常精确的择时交易能力,在重大利空公告前显著增加卖空量,而在利好公告前则显著减少卖空头寸,表明卖空者作为知情交易者的信息优势源自内幕消息;公司内、外部投资者的信息不对称程度越低或公司所在地的法治水平越高,卖空者参与内幕交易的行为就越少。因此,监管机构应密切关注公司重大消息发布前后卖空量的异常变动,同时,完善信息披露规则、健全证券分析师制度并强化法律法规的执行力度,才能有效防范卖空者参与内幕交易。 相似文献
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涨停的股票能否被交易公开信息披露取决于收益率排名中的随机因素,与股票的基本面特征无关。本文利用这一机制设计自然实验检验了投资者关注对股价的影响。实证结果显示交易公开信息披露使股票受到投资者更多的关注,增加了小额资金的净流入,减少了大额资金的净流入和股价的短期收益率,抑制了股价短期波动率,同时降低了股价在长期发生反转的可能性。频繁登上交易公开信息的知名营业部买入的股票受到更多关注,相应的市场反应也更加显著。进一步的研究表明监管性信息披露引发的投资者关注通过降低市场信息不对称抑制了股价反转。 相似文献
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RAFAEL LA PORTA JOSEF LAKONISHOK ANDREI SHLEIFER ROBERT VISHNY 《The Journal of Finance》1997,52(2):859-874
This article examines the hypothesis that the superior return to so-called value stocks is the result of expectational errors made by investors. We study stock price reactions around earnings announcements for value and glamour stocks over a 5-year period after portfolio formation. The announcement returns suggest that a significant portion of the return difference between value and glamour stocks is attributable to earnings surprises that are systematically more positive for value stocks. The evidence is inconsistent with a risk-based explanation for the return differential. 相似文献
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In this study we examine the effect of dual trading through unlisted trading privileges (UTPs) on liquidity and stock returns. Stocks with UTPs trade in a different market structure than stocks listed and traded only on the AMEX and NYSE. Differences in market structure may affect stock returns through liquidity services provided by the competing markets. The sample comprises 852 AMEX and NYSE firms that began unlisted trading on the Philadelphia, Pacific, Midwest, or Cincinnati exchanges between 1984 and 1988. The results show significantly positive abnormal returns around the SEC's announcement of a regional exchange's filing for UTPs. The results also suggest that increased competition improves trading liquidity. Only stocks with low liquidity before UTPs announcements experience significantly improved liquidity and positive stock returns. 相似文献
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This paper provides empirical evidence on the level of trading activity in the stock options market prior to the announcement of a merger or an acquisition. Our analysis shows that there is a significant increase in the trading activity of call and put options for companies involved in a takeover prior to the rumor of an acquisition or merger. This result is robust to both the volume of option contracts traded and the open interest. The increased trading suggests that there is a significant level of informed trading in the options market prior to the announcement of a corporate event. In addition, abnormal trading activity in the options market appears to lead abnormal trading volume in the equity market. This finding supports the hypothesis that the options market plays an important role in price discovery. 相似文献
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This paper investigates market efficiency of the Jamaica Stock Exchange (JSE). Together, weak and semi-strong form efficiency claim that historical and newly released public information do not predict future stock price movement. We test both forms of market efficiency by analyzing stock price behavior during times of abnormal trading volume and around the release dates of earnings information. Abnormal trading volume may be driven by liquidity demand or reflect new or private information flow to the market. Using JSE data over the period 2000 to 2021, we find price dynamics consistent with price pressure as firms experience negative abnormal returns on the day of abnormal trading activity but offsetting positive abnormal stock returns on the following day. Further findings show post earnings announcement drift on the JSE. Taken as a whole, the evidence suggests violations of market efficiency and has implications for capital allocation in this emerging market. 相似文献
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作为证券市场的重要制度之一,融资融券交易理论上应具有价格发现,价格稳定,提高流动性等基本功能。本文从融资、融券交易对市场和个股两个层面系统而全面的分析融资交易和融券交易的价格稳定作用。对市场波动性的影响的研究上主要借助GARCH族模型,VAR模型,脉冲响应和方差分解等计量分析方法;在对个股的影响上主要是借助面板数据分对个股的总体效应和个体效应展开分析。研究发现:融资交易对指数波动没有显著影响,融券交易对指数波动有一定平抑作用;融资融券交易对标的个股有价格稳定作用,除极个别个股的融资作用表现不确定。 相似文献
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Tao Shu 《Journal of Business Finance & Accounting》2013,40(5-6):695-718
This paper investigates the impact of institutional trading volume on stock market anomalies. The paper proposes a measure that evaluates the percentage of total trading volume of a stock accounted for by institutional trades. The empirical analyses using a large sample of firms from 1980–2005 provide strong evidence that the strength of stock market anomalies such as price momentum, post‐earnings announcement drift, the value premium, and the investment anomaly is decreasing in institutional trading volume. Additionally, the effects of institutional trading volume are stronger than those of institutional ownership, the major measure of institutional investor participation in the finance literature. These findings suggest that institutional trading significantly improves stock price efficiency. 相似文献