证券交易所公开谴责效率的实证分析——基于深、沪交易所比较的视角

本文运用事件研究法计算了2005—2010年这六年间交易所公开谴责公告对超额收益率和累计超额收益率的影响,得出的结论主要有:深、沪证交所的AAR都没有通过显著性检验,即深、沪证交所的公开谴责事件对被谴责公司的每天的超额收益率没有产生太大影响,但他们的CAAR却都通过了显著性检验并表现出显著的差异性,深交所表现为CAAR的持续上升倾向而沪交所表现为CAAR的持续下降倾向。因此,深交所的公开谴责公告没有显著性地达到预期惩戒的作用,而沪交所的公开谴责公告显著性地达到预期惩戒的作用。

An Empirical Study on the Efficiency of Public Censures of the Stock Exchanges:Based on Comparison Between Shanghai and Shenzhen Exchanges

The CAR and AR which influenced by the public censures of the Stock Exchanges are studied in this paper through the event study method from 2005 to 2010,the main conclusions are as follows:the AAR per day of censured companies have not impacted significantly by the public censures because the AAR of Shenzhen and Shanghai Exchanges can’t pass the T test.But their CAAR all pass the T test and appeared significant difference.The CAAR of Shenzhen Stock Exchanges continue to rise whereas the CAAR of Shanghai Stock Exchange continue move downward.Therefore,the public censures of Shenzhen Stock Exchange don’t achieve the expected disciplinary role,but the public censures of Shanghai Stock Exchange achieve significant disciplinary role.