股价波动与信息公告方式相关性研究

Research on the Relationship between Stock Price Fluctuation and the Type of Information Announcement

文章首先构造赢家(输家)组合,并根据信息公告方式定义信息类型属于私人信息还是公开信息,然后考察股价波动与信息发布方式的关系。通过实证研究,我们发现:股价波动和信息的公布方式存在紧密的联系,其中赢家组合整体表现出明显的收益反转现象,对私人信息存在过度反应;输家组合虽整体上未表现出明显的惯性现象或者反转现象,但其对私人信息表现出明显的过度反应。

Through positive research on the stock exchange data in 1998-2003 of stock markets of Shanghai, we find stock price fluctuation and the type of information announcement have close cormection. Wirmers ochieve obvious income reversal and overreact to private information; while losers fail to achieve obvious returns inertia or returns reversal on the whole, but obviously overreact to private infformation.