【作者】 邓建平；

【导师】 曾勇；

【作者基本信息】 电子科技大学 ， 工商管理， 2003， 硕士

【摘要】 本文运用事件研究法对上市公司更改证券简称（以下简称股票更名）的信息披露所引起的交易量和股价异常波动进行研究，以此来检验我国证券市场的效率性和利用题材进行炒作的严重程度。本文的研究旨在为进一步完善、改进监管措施，提高股市的有效性提供有益的建议和参考。本文得出以下主要结论：1、股票更名公告前后的股价出现明显波动和交易量的显著增加，市场对公告信息存在提前反应和过度反应，说明我国股市违反了弱式有效和半强式有效的假设。2、对三种不同原因的更名事件分析发现，投资者对第一股东更换型的反应要强于主营业务更换型，第一股东更换型的公司规模要明显小于主营业务更换型，公告前第一股东更换型的股价要明显高于主营业务更换型的股价，市场对于第一股东更换型存在提前反应，而对于主营业务更换型则不存在提前反应，但两者公告后都存在过度反应。3、投资者对更名简称中含有科技类字眼的反应要强于不含有此类字眼的更名，在2000年度，带科技类字眼的更名反应要强于不带此类字眼的更名，而在2001年两者没有显著性的差异，同时2000年度更名简称中带有科技类字眼的反应要强于2001年度更名简称中带有科技类字眼的反应，说明我国股市存在较严重的概念和题材炒作。4、超常交易量和超额收益率、超额收益率的绝对值都存在正相关关系，进一步分析证明我国股市超常交易量和超额收益率存在不对称的关系，说明我国投资者存在“追涨”心理。5、超常交易量与公司规模显著负相关，交易量对2000年和2001年的更名反应有显著的不同。6、在对更名前后一年的收益率表现分析中发现多数更名公司在更名前就已受到了较长时间的市场炒作，庄家借更名时机抛售股票。7、对更名公司的前后一年的ROE和EPS的比较发现更名公司在更名后的经营业绩并没有得到提高。根据研究的结果，本文提出以下政策性建议：1、加强监管，不断完善监管体系，尤其要重视信息披露。2．抑制庄家炒作，培育理性市场环境。2、继续扩大股票市场规模。3、大力发展机构投资者。更多还原

【Abstract】 By using the method of event study, this dissertation studies on the abnormal reactions of the trading volume and returns around the period of the rename announcement of the stock to test the degree of efficiency and gravity of subject promotional hype. The purpose of this study is to offer advice and reference to better supervising measures and to improve efficiency of the stock market. The following are the main conclusions of this dissertation. Firstly, the obvious stock price fluctuation, the increasing trading volume around the period of the rename of the stock and an unduly quick overreaction to the rename announcement in market indicate that our stock market acts counter to the hypothesis of weak-form efficiency and semi-strong-form efficiency. Secondly, the analysis of three events with different causes reveals that investors’ reaction to the rename caused by the change of the No. 1 stockholder is stronger than that of the changed caused by the mainstay business. The size of the company with the change of the No.1 holder is apparently smaller than that with the change of the mainstay business, thus the stock price of the former is evidently higher than the latter. Though there is an advance reaction to the former but not to the latter, there is an overreaction to both after the rename announcement. Thirdly, investors’ reaction to new names containing "tech-"words is stronger than those without. In 2000, the reaction to the new names containing "tech-"words was stronger. But in 2001, there was no much difference between the reactions to the new names with "tech-"words and those without. Meanwhile, the reaction to the new names with "tech-"s of the Year 2000 was stronger than that of the Year 2001. This illustrates that there has been severe conceptual and subject matter hype in our stock market. Fourthly, abnormal trading volume and returns have<WP=5>positive correlation with the absolute value of abnormal returns. Further analysis proves that the abnormal trading volume and returns have asymmetrical correlation and it also shows that there are blind reactions among the investors in our country. Fifthly, the abnormal trading volume has a negative correlation with the size of the company. And there is a great difference between the trading reactions to the year 2000 and to the year 2001. Sixthly, the analysis of the reaction during the two years around the rename announcement indicates that those companies got hype long before the rename, and the stocks bankers took the advantage of the rename to sale their stocks in large quantities. The seventh, the comparison of a company’s ROE and EPS of the year before the rename with that of the year after the rename shows no improvement in its operational achievement after the renaming. And three pieces of advice are proposed based on the result of the study. First, we should strengthen the supervising measures and keep on improving the supervising system, especially the publicity of information. Second, we should restrain the bankers from hyping to create a rational market. Third, we should carry on expanding the size of the stock market. Finally, we should carry out efforts to promote the growth of institutional investors.更多还原