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论文编号：	4218
作者编号：	2120102300
上传时间：	2012/6/5 19:49:05
中文题目：	我国上市公司ST撤销的市场效应及原因分析
英文题目：	A Research of the Market Reaction to the News of the removal of ST and an Analysis on the Reason of the removal of ST
指导老师：	张晓农
中文关键字：	ST撤销，市场反应，撤销途径，市场有效性
英文关键字：	the removal of ST,market reaction, revocation approaches, market effectiveness
中文摘要：	自1998年证监会推行特别处理制度以来，我国上市公司预警制度正式产生，ST板块正式形成。不断有上市公司进入特别处理的队伍，同时，也不断有上市公司由特别处理状态恢复到正常交易的状态。ST撤销作为一项利好消息，在我国股市中是否产生了正向的显著效应？ST撤销是否真正意味着上市公司的经营状况产生了好转？如果市场对ST撤销事件产生了反应，那么这种反应是否是合理的？本文采用2008年到2010年发生ST撤销的上市公司作为样本，运用事件研究法和Logistic回归法对我国的上市公司ST的市场效应进行了检验，并对ST撤销的根本原因进行了较为全面的研究，得出结论：在ST撤销的信息被正式披露前，股票的超额收益率会出现异常，市场已经存在显著的正效应，说明在市场上存在信息提前泄露的现象；当事件正式发生时，股价出现了明显下跌的现象，“利好出尽是利空”，说明我国股市场存在逆向反应现象；公告发布以后，超额收益率出现大幅下降之后很快又出现大幅回升，可见我国证券市场对信息存在过度反应。综上，我国股票市场中存在信息提前泄露、逆向反应和过度反应现象，市场中投机炒作氛围浓厚，说明我国股票市场非半强式有效。上市公司被ST撤销多是由于资产重组、债务重组、盈余管理和政府补贴等短期行为造成的短期绩效的提升，而其主营业务水平并没有相应地提高。虽然从短期内看上市公司的年度净利润较撤销前上一年均有提高，但从长远发展的角度，其流动性、现金流量、公司治理结构及持续获利能力并没有发生本质性的提高，而受其短期行为影响其股权结构产生的变化可能会为其今后的发展埋下隐患。最后，本文试着对实证结论进行了原因分析，并从监管机构、上市公司、投资者及地方政府这四个层面提出了相应建议。
英文摘要：	Since the SRC (Securities Regulatory Commission of China) carried out the special treatment system in 1998, China’s delisting processing system was formally established and the ST sector was formed. Continuously some listed companies enter the ranks of special treatment, meanwhile some of them quit this ranks and return to the normal trading status. As kind of good news, does the removal of ST have any remarkable positive effects on the stock market of China? Does it really means if there are any improvements on the operating conditions of the listed company? Will it be reasonable if the market has any reactions on the removal of ST? In this paper, samples are taken from the listed companies which meet the requirements of the removal of ST during 2008 to 2010. The author uses Events Study method and Logistic Regression method to test the market effects of the ST policy on China’s listed companies, and has a relatively comprehensive research on the basic reasons of the removal of ST, then gives an conclusion: Before the information of the removal of ST was formally released, the over-income rates became abnormal and some outstanding positive effects already existed in the market, these phenomena show that the information was revealed in advance. When the event officially occurred, stock prices declined apparently, ‘The real happen of good news is bad news’, indicating that the reverse reactions exist in China’s stock market. After the information was released, the over-income rates descended by a large margin, but soon after they would ascend back quickly. We can tell from this that over-reactions against the information exist in China’s stock market. In summary, the phenomena like revealing in advance, reverse reactions and over-reactions exist in China’s stock market, and the market itself is surrounded by a strong atmosphere of speculation. So the paper indicates that China’s stock market is not semi-strongly effective. The listed companies who are removed of ST due to the short-term performance improvements caused by the short-term behaviors like assets restructuring, debts restructuring, earnings management, government subsidies and so on. But the main business levels of these listed companies are not improved relatively. Although their annual pure profits may be improved compared to the year before the removal of ST, however the liquidity, cash flow, governance structure and sustained profitability of the listed companies are not improved essentially in a long run. The changes of the stock-rights structure which are affected by these short-term behaviors may lay hidden dangers to the companies’ future developments. Finally, this paper tries to do some reason analyses on the empirical conclusions and gives some related recommendations from four levels including regulatory institutions, listed companies, investors and local governments.
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