【摘要】 股权分置改革是中国股票市场的一场革命及重要的金融事件,它能够推动资本市场的改革,选取了两个具有代表性已实施股权分置改革的集团公司:上海汽车和宝利来.分别对两个集团公司在股改事件窗中的股票收益序列建立了合适的GARCH类模型.通过模型的实证结果得出股改后上海汽车和宝利来的收益水平均有很大的提高,而且股票价格波动对信息的反应更加灵敏,我国股票市场有效化程度显著提高.更多还原

【Abstract】 Stock Ownership Separation is a revolution in China’s stock market,at the same time,it’s also an important financial events.It can promote the capital market’s reforms.This paper selected two representative corporations,which have already realized their plans of Stock Ownership Separation:one is Shanghai automobile corporation;the other is Baolilai corporation.We set up adequate GARCH models for the log returns series in the Stock Ownership Separation.The empirical results obtained by the model indicated that Shanghai Automobile and Baolilai corporations have greatly improved their income level,and the stock price is more Sensitive to information.The effective degree of China’s stock market has increased significantly.更多还原