借壳上市对我国沪深两市有效性影响研究

取2010-2013年沪深综指和2008-2013年间借壳上市公司的数据,基于单位根检验和事件分析法,用经GARCH改进的市场模型对我国沪深两市的有效性进行了实证研究.结果表明,我国沪深两市已达弱式有效,但还未达到半强式有效,上海股票市场有效性比深圳股票市场强,深圳股票市场投机行为比较明显.股价的提前反应从侧面反映了我国证券市场仍然不成熟,内幕消息提前泄露的可能性较大,对此应不断完善借壳上市过程中相关的法律法规;加大对公司借壳上市的监管力度;规范股票市场的各项机制,改进股票市场的有效性.

An Empirical Study of Backdoor Listing Influence An Empirical Study of Backdoor Listing Influence on Shanghai and Shenzhen Stock Market Efficiency and Shenzhen Stock Market Efficiency

Based on 2010- 2013 Shanghai and Shenzhen composite indexes and 2008 -2013 backdoor listing company data, an empirical study of Shanghai and Shenzhen stock market efficiency was conducted by adopting Unit Root Test, event analysis and modified GARCH market model. The results show that both Shanghai and Shenzhen stock markets have reached the weak efficiency, but have not reached the semi-strong efficiency; and that the effi- ciency of Shanghai stock market is stronger than that of Shenzhen stock market while the speculation in Shenzhen stock market is more obvious. The antedating response for share price indicates that China stock markets are not ma- ture, and that inside information is likely to be released ahead. Therefore, laws and regulations concerning backdoor listing companies should be continuously improved in order to strengthen the control of backdoor listing companies, standardize the stock market mechanisms and improve the stock market efficiency.