沪、深股市送转股除权效应与预期心理实证研究

Empirical Research on Ex- rights Stock Effects and Investor’s Anticipant Attitudes of Stock Dividend and Stock Splits in Chinese Stock Market

本文对我国股票市场是否存在除权效应,即在除权交易日前后,股价会产生异常波动的现象进行了实证分析。结果发现:送、转股的除权事件对于我国证券市场的股价有激励作用,事件本身所隐含的信息对股价也有正向影响,尤其除权交易日前后之股价反应,出现正向异常报酬的情形更加的显著,表明除权行情主要是反应在除权交易日之前,投资者对于除权行情具有"预期的心理"。

This study surveys ex-rights stock effects in the Chinese Stock market to see if there are significant positive abnormal returns on the ex-rights dates. The empirical results of this study show that ex-rights events have positive effects on stock prices and hence the information of ex-rights has significant positive effects in stock price。It is also found that there are significant positive abnormal returns near the ex-rights event dates. It follows that ex-right events contain information in the trading market. Comparing the stock price near the ex-rights events,it is found that the abnormal returns in the period prior to the event dates are more significant which shows that investors in China have anticipant attitudes toward ex-rights events.