虚假信息影响股价波动分析:来自沪深股市的证据

Study of Stock Volatility Affected by Fraudulent Information:Evidence from Shanghai and Shenzhen Stock Exchanges

以2000-2009年沪深两市上市公司的澄清公告为样本,运用事件研究法对虚假信息是否影响股价波动进行分析后发现:(1)虚假信息的发布与传播加剧了股价波动,期间还存在明显的信息操纵现象;(2)流通市值较小的股票受虚假信息的影响更大,也更容易成为虚假信息的攻击对象;(3)利好的虚假信息对股价的影响程度要大于利空的虚假信息。如果上市公司能选择合理时机对虚假信息进行澄清,将会有效减少庄家信息操纵的超额收益,有利于保护中小投资者和理性投资者的利益。

Tacking the clarification announcements of the companies listed in Shanghai and Shenzhen stock market from 2000 to 2009 as samples, this paper analyzes the effects of fraudulent information on the stock volatility with the event study method. The results indicate that the release and spread of fraudulent information intensify the stock price volatility; also there exists an obvious phenomenon of information manipulation during the period. The stocks with smaller circulation market have been affected much greater and therefore they are more likely to be a target of fraudulent information. False favorable information has greater impact on the share price than the false negative information. If the listed companies are able to select a reasonable opportunity to clarify the fraudulent information at the right time, it will effectively reduce the abnormal earnings of the market makers from the information manipulation, which will help to protect the interests of the small investors and the rational investors.