上市公司诉讼仲裁信息的披露与股票非系统波动性的变化

Disclosure of Information on Litigation and Arbitration of Listed Companies and the Change of Unsystematic Volatility of Stock

把中国上市公司的诉讼、仲裁公告分为三类,运用事件研究法考察了其中两类公告所披露的信息对股票非系统波动性的影响。研究结果表明,由于可能存在信息的提起泄露,个股的非系统波动性在公告日前就开始显著增加了,且第一类公告样本较之于第二类公告样本,在公告日前存在更明显的非系统波动性增加;信息正式公布后,个股的非系统波动性继续增加,表明该信息对于普通投资者仍然是一个新信息。我们的研究表明中国上市公司的诉讼仲裁公告传递了有效的信息,且市场做出了合理的反应。但是可能存在的信息的提前泄露和利用,却值得关注。

We classify the litigation and arbitration announcements of listed corporation into three categories, and research the effect of two categories on unsystematic volatility of stock return. It is found that the unsystematic volatility of stock return significantly increased before announcement day possibly because of the leakage of information and unsystematic volatility of the first category increased more obviously than that of the second one. When information was announced, unsystematic volatility increased continuously owing to ordinary investors＇ reaction. Our research indicates that the litigation and arbitration announcements transmitted effective information and market rationally reacted. However, we should pay attention to the possible leakage of information and inside trading.