我国上市公司同行业内除权信息移转效果的研究

Comparative Research on the Intra-industry Information Transfer Effect of Ex-rights in China

利用同行业内具有信息移转效果的相关理论,以我国深、沪交易所在2001—2007年间进行送、转股除权的上市公司为研究对象,并采用事件研究法以及回归模型进行实证分析,验证了我国除权事件是否会产生同行业内信息移转的效果。研究结果发现,在除权交易日的前后同行业内后除权公司的股价累积异常报酬与先除权公司的股价累积异常报酬呈现正向关系,亦即我国证券市场的除权行情会产生同行业内信息移转效果。

This study surveys stocks with ex-rights （2001 to 2007） in China＇s listed companies to see if there is information transfer effect in the same industry based on intra-industry information transfer effect theory. This empirical research uses event study and regression method. The results show that there is a positive relationship between the cumulative abnormal returns （CAR） of the post-ex-rights stock and that of the pre-ex-rights stock in most industries. Therefore, it can be said that Chinese stock market has intra-industry information transfer effects in ex-rights event.